Goodnight Capital Management : S&P Option Program

archived programs
Year-to-Date
N / A
Sep Performance
-2.16%
Min Investment
$ 50k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
17.08%
Sharpe (RFR=1%)
0.25
CAROR
3.76%
Assets
$ 2.4M
Worst DD
-25.15
S&P Correlation
0.40

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
4/2005
S&P Option Program -2.16 - - - - - - 13.79
S&P 500 -9.08 - - - - - - 179.74
+/- S&P 500 6.92 - - - - - - -165.95

Strategy Description

Summary

-GCM uses a systematic approach to trading, in that it relies heavily on a program of selling or ?writing? out-of-the-money options on the S&P 500 Stock Index. GCM may also, from time to time, purchase options on the S&P 500 Stock Index to reduce risk exposure during highly volatile... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $40.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 1700 RT/YR/$M
Avg. Margin-to-Equity 40%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-GCM uses a systematic approach to trading, in that it relies heavily on a program of selling or ?writing? out-of-the-money options on the S&P 500 Stock Index. GCM may also, from time to time, purchase options on the S&P 500 Stock Index to reduce risk exposure during highly volatile market conditions. The implementation of the program will rely on both fundamental and technical analysis in order to give the best risk/reward possible. Option contracts are usually written on 3-4 weeks prior to option expiration dates in each cycle. The options traded will be at a sufficient distance, deep out-of-the-money to attempt to allow the options to expire worthless. GCM also implements strong risk management by repositioning options during extreme market conditions. In addition, an alternative option writing strategy is the credit spread, which involves selling an option as well as purchasing another less expensive option. When writing a credit spread, the writing is ?credited? the difference between the premium collected from writing the option, less the cost of the option purchased. Unlike writing uncovered options, where the potential for unlimited loss exists, option credit spreads risk is limited to the difference between the strike price of the option written and the purchased, plus commission and fees. The option credit spread offers the advantage of limited risk but also reduces the potential gain. GCM will implement this strategy during highly volatile market conditions to reduce both risk and margin requirement.

   

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:
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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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-25.15 2 - 11/1/2007 1/1/2008
-13.03 1 6 1/1/2007 2/1/2007
-0.47 1 1 5/1/2005 6/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
31.15 19 7/1/2005 1/1/2007
15.30 4 8/1/2007 11/1/2007
13.94 4 3/1/2007 6/1/2007
6.17 7 2/1/2008 8/1/2008
2.50 2 4/1/2005 5/1/2005
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.15 2 12/1/2007 1/1/2008
-13.03 1 2/1/2007 2/1/2007
-4.27 1 7/1/2007 7/1/2007
-2.16 1 9/1/2008 9/1/2008
-0.47 1 6/1/2005 6/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods42.0040.0037.0031.0025.0019.00
Percent Profitable85.7185.0072.9770.9764.0052.63
Average Period Return0.441.352.415.398.8511.41
Average Gain1.784.308.3612.8520.2027.95
Average Loss-7.56-15.36-13.65-12.85-11.33-6.96
Best Period8.3912.4218.2321.4429.0232.56
Worst Period-24.28-24.82-22.51-18.13-13.78-10.95
Standard Deviation4.938.1711.2113.2416.4118.11
Gain Standard Deviation1.752.543.706.536.233.03
Loss Standard Deviation9.399.218.374.194.472.39
Sharpe Ratio (1%)0.070.130.170.330.450.52
Average Gain / Average Loss0.230.280.611.001.784.02
Profit / Loss Ratio1.411.581.652.443.174.46
Downside Deviation (10%)4.427.209.359.9111.6311.95
Downside Deviation (5%)4.346.878.447.768.106.37
Downside Deviation (0%)4.326.788.217.247.255.04
Sortino Ratio (10%)0.010.02-0.010.040.110.10
Sortino Ratio (5%)0.080.160.230.570.911.48
Sortino Ratio (0%)0.100.200.290.741.222.27

Top Performer Badges

Index Award Type Rank Performance Period

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