GNE Management, LLC : S&P Futures and Options Strategy (Client)

archived programs
Year-to-Date
N / A
Jan Performance
0.74%
Min Investment
$ 200k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
11.11%
Sharpe (RFR=1%)
1.43
CAROR
17.56%
Assets
$ 15.5M
Worst DD
-8.87
S&P Correlation
0.02

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jan Qtr YTD 1yr 3yr 5yr 10yr Since
12/2013
S&P Futures and Options Strategy (Client) 0.74 -3.57 - 2.20 51.85 - - 96.24
S&P 500 5.62 9.65 - 22.66 40.12 - - 43.19
+/- S&P 500 -4.88 -13.22 - -20.46 11.73 - - 53.05

Strategy Description

Summary

The Trading Program (CLIENT PROGRAM) was designed to deliver positive returns in any market condition with low performance volatility. For more information please visit us at www.gnemanagement.com... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
0%
Performance Fee
25.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
2500 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
10.00%
Worst Peak-to-Trough
-8.87%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
50.00%
1-30 Days
50.00%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Momentum
20.00%
Option-spreads
40.00%
Option-writing
40.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Trading Program (CLIENT PROGRAM) was designed to deliver positive returns in any market condition with low performance volatility. For more information please visit us at www.gnemanagement.com

Investment Strategy

GNE’s trading program “S&P Futures and Options Strategies” is based on the core belief that "markets can remain irrational much longer than one can remain solvent". GNE uses negatively correlated trading strategies against the same underlying to take advantage of statistically calculated opportunities while minimizing risks when markets stop conforming to overbought or oversold conditions as calculated by our indicators. The GNE Team has developed a rules-based Options strategy which uses market timing techniques to take advantage of mean reverting nature of volatility and a number of algorithmically traded Futures strategies which take advantage of directional market moves. Both directional and mean reverting strategies use the S&P 500 Index as the underlying thus ensuring perfect negative correlation.

Risk Management

Risk Management is at the core of GNE’s Trading Strategy. By using negatively correlated trading strategies against the same underlying, GNE significantly reduces the impact of low probability (Black Swan) events. Automatic stop loss orders are used for Futures strategies to limit trade related risk and strict position sizes are enforced on Futures and Options strategies to ensure margin compliance at any level of trade cycle.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-8.87 1 3 7/1/2015 8/1/2015
-8.55 3 - 8/1/2017 11/1/2017
-3.57 1 3 8/1/2014 9/1/2014
-3.56 1 1 6/1/2014 7/1/2014
-3.24 1 1 1/1/2017 2/1/2017
-2.17 1 1 6/1/2016 7/1/2016
-1.96 1 1 2/1/2016 3/1/2016
-0.32 1 1 4/1/2014 5/1/2014
-0.21 1 1 1/1/0001 12/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
23.95 10 10/1/2014 7/1/2015
20.08 4 1/1/2014 4/1/2014
15.72 6 8/1/2016 1/1/2017
13.10 6 3/1/2017 8/1/2017
10.46 4 11/1/2015 2/1/2016
8.81 1 9/1/2015 9/1/2015
8.71 3 4/1/2016 6/1/2016
5.85 1 8/1/2014 8/1/2014
2.12 2 12/1/2017 1/1/2018
0.64 1 6/1/2014 6/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.87 1 8/1/2015 8/1/2015
-8.55 3 9/1/2017 11/1/2017
-3.57 1 9/1/2014 9/1/2014
-3.56 1 7/1/2014 7/1/2014
-3.24 1 2/1/2017 2/1/2017
-2.17 1 7/1/2016 7/1/2016
-1.96 1 3/1/2016 3/1/2016
-0.94 1 10/1/2015 10/1/2015
-0.32 1 5/1/2014 5/1/2014
-0.21 1 12/1/2013 12/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods50.0048.0045.0039.0033.0027.0015.00
Percent Profitable76.0077.0893.33100.00100.00100.00100.00
Average Period Return1.414.268.8219.1330.6042.8770.52
Average Gain2.746.439.7719.1330.6042.8770.52
Average Loss-2.80-3.04-4.48
Best Period8.8114.9820.4629.0942.3857.3487.10
Worst Period-8.87-8.55-4.682.2014.8524.0651.85
Standard Deviation3.215.055.756.196.568.6910.71
Gain Standard Deviation2.043.174.656.196.568.6910.71
Loss Standard Deviation2.532.780.18
Sharpe Ratio (1%)0.410.791.452.934.444.706.30
Average Gain / Average Loss0.982.112.18
Profit / Loss Ratio3.107.1130.52
Downside Deviation (10%)1.972.411.830.54
Downside Deviation (5%)1.842.021.29
Downside Deviation (0%)1.811.931.16
Sortino Ratio (10%)0.511.263.4826.34
Sortino Ratio (5%)0.721.986.47
Sortino Ratio (0%)0.782.207.62

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 10 1.07 6/2017
Option Strategy Index Month 4 1.69 5/2017
Stock Index Trader Index Month 8 1.69 5/2017
Stock Index Trader Index Month 10 1.52 4/2017
Option Strategy Index Month 6 1.52 4/2017
Option Strategy Index Month 1 5.11 3/2017
Systematic Trader Index Month 2 5.11 3/2017
Stock Index Trader Index Month 2 5.11 3/2017
IASG CTA Index Month 4 5.11 3/2017
Stock Index Trader Index Month 6 2.84 1/2017
IASG CTA Index Sharpe 5 1.77 2015 - 2016
IASG CTA Index 3 Year Rolling 8 86.80 2013 - 2016
IASG CTA Index Year Rolling 9 18.91 2015 - 2016
Stock Index Trader Index Month 4 4.44 11/2016
Option Strategy Index Month 1 4.44 11/2016
Option Strategy Index Month 2 2.67 9/2016
Stock Index Trader Index Month 7 2.67 9/2016
IASG CTA Index Month 6 3.99 8/2016
Option Strategy Index Month 1 3.99 8/2016
Systematic Trader Index Month 1 3.99 8/2016
Stock Index Trader Index Month 1 3.99 8/2016
Stock Index Trader Index Month 6 2.50 6/2016
Option Strategy Index Month 2 2.50 6/2016
Systematic Trader Index Month 5 3.29 5/2016
Option Strategy Index Month 4 3.29 5/2016
Stock Index Trader Index Month 2 3.29 5/2016
Option Strategy Index Month 1 2.68 4/2016
Stock Index Trader Index Month 1 2.68 4/2016
Option Strategy Index Month 8 1.04 2/2016
Stock Index Trader Index Month 7 0.31 1/2016
Option Strategy Index Month 5 0.31 1/2016
Stock Index Trader Index Month 7 2.17 12/2015
Option Strategy Index Month 3 2.17 12/2015
Stock Index Trader Index Month 2 6.67 11/2015
Option Strategy Index Month 1 6.67 11/2015
Option Strategy Index Month 10 -0.94 10/2015

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.