Gregory P Asset Management LLC : Low Volatility Income Strategy

Year-to-Date
1.21%
Aug Performance
-1.81%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.03%
Sharpe (RFR=1%)
-0.22
CAROR
-3.89%
Assets
$ 185k
Worst DD
-27.23
S&P Correlation
0.31

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
5/2015
Low Volatility Income Strategy -1.81 1.24 1.21 -5.52 0.13 - - -15.80
S&P 500 -1.81 6.34 16.73 0.85 33.43 - - 37.45
+/- S&P 500 0.00 -5.10 -15.52 -6.37 -33.30 - - -53.26

Strategy Description

Summary

The Low Volatility Income Strategy (“LVIS”) seeks superior returns by trading global indices that exhibit great volume and liquidity. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
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
1200 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
10.00%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
30.00%
1-3 Months
70.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-spreads
50.00%
Option-writing
50.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Low Volatility Income Strategy (“LVIS”) seeks superior returns by trading global indices that exhibit great volume and liquidity.

Investment Strategy

Options are utilized extensively in the strategy, together with futures to form spreads, and as stand-alone trades known as “naked options.”LVIS both buys and sells puts, calls, and futures contracts simultaneously, depending on the bias of the market. Normally, buying of an option is meant to cover a position in case of a sharp movement in the underlying index contract. Various time frames are utilized, with most positions initiated three to six months from option expiration. LVIS may hold a position until expiration in certain circumstances, or roll into new time frames, though most options are covered or offset at 15% to 25% of value in an effort to mitigate risk. Margin usage will typically be approximately 25%, but could be higher or lower depending on market conditions

Risk Management

Strict and adjusting based on the market conditions

   

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
-27.23 1 - 7/1/2015 8/1/2015
-1.02 2 1 1/1/0001 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
11.23 6 9/1/2015 2/1/2016
10.89 3 3/1/2018 5/1/2018
9.38 3 5/1/2019 7/1/2019
4.17 4 1/1/2017 4/1/2017
3.17 4 4/1/2016 7/1/2016
2.60 1 7/1/2015 7/1/2015
2.21 3 11/1/2017 1/1/2018
1.71 1 11/1/2018 11/1/2018
1.38 2 9/1/2016 10/1/2016
1.37 1 1/1/2019 1/1/2019
0.73 1 8/1/2017 8/1/2017
0.55 2 8/1/2018 9/1/2018
0.26 1 6/1/2017 6/1/2017
0.07 1 3/1/2019 3/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-27.23 1 8/1/2015 8/1/2015
-9.08 1 2/1/2018 2/1/2018
-8.22 1 12/1/2018 12/1/2018
-6.84 1 4/1/2019 4/1/2019
-1.81 1 8/1/2019 8/1/2019
-1.23 2 11/1/2016 12/1/2016
-1.13 2 9/1/2017 10/1/2017
-1.02 2 5/1/2015 6/1/2015
-0.97 2 6/1/2018 7/1/2018
-0.78 1 3/1/2016 3/1/2016
-0.42 1 10/1/2018 10/1/2018
-0.32 1 7/1/2017 7/1/2017
-0.28 1 2/1/2019 2/1/2019
-0.11 1 5/1/2017 5/1/2017
-0.07 1 8/1/2016 8/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods52.0050.0047.0041.0035.0029.0017.00
Percent Profitable63.4666.0068.0968.2960.0051.7264.71
Average Period Return-0.21-0.68-0.800.181.131.622.16
Average Gain1.472.493.224.636.978.847.67
Average Loss-3.13-6.84-9.38-9.41-7.64-6.11-7.96
Best Period6.9610.8911.2313.7916.8019.3620.59
Worst Period-27.23-25.95-22.18-17.79-15.72-13.77-12.36
Standard Deviation4.636.987.657.708.508.8210.03
Gain Standard Deviation1.562.542.653.073.944.357.47
Loss Standard Deviation6.498.687.805.525.234.764.58
Sharpe Ratio (1%)-0.06-0.13-0.17-0.11-0.04-0.04-0.09
Average Gain / Average Loss0.470.360.340.490.911.450.96
Profit / Loss Ratio0.820.710.731.061.371.551.77
Downside Deviation (10%)4.386.817.978.8010.3512.0816.69
Downside Deviation (5%)4.296.427.026.586.606.487.04
Downside Deviation (0%)4.266.336.796.085.795.315.34
Sortino Ratio (10%)-0.14-0.28-0.41-0.55-0.62-0.71-0.82
Sortino Ratio (5%)-0.07-0.15-0.19-0.12-0.06-0.06-0.12
Sortino Ratio (0%)-0.05-0.11-0.120.030.200.310.40

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 3 1.17 7/2019
Discretionary Trader Index Month 8 1.17 7/2019
Stock Index Trader Index Month 8 1.17 7/2019
Option Strategy Index Month 2 1.91 6/2019
Discretionary Trader Index Month 4 1.91 6/2019
Discretionary Trader Index Month 2 6.09 5/2019
Stock Index Trader Index Month 1 6.09 5/2019
Option Strategy Index Month 1 6.09 5/2019
IASG CTA Index Month 9 6.09 5/2019
Option Strategy Index Month 9 0.07 3/2019
Option Strategy Index Month 7 1.37 1/2019
Option Strategy Index Month 2 1.71 11/2018
Option Strategy Index Month 10 0.42 9/2018
Option Strategy Index Month 9 0.42 9/2018
Option Strategy Index Month 7 0.13 8/2018
Option Strategy Index Month 8 -0.12 7/2018
Option Strategy Index Month 4 0.52 5/2018
Stock Index Trader Index Month 1 6.96 4/2018
Option Strategy Index Month 1 6.96 4/2018
IASG CTA Index Month 1 6.96 4/2018
Discretionary Trader Index Month 1 6.96 4/2018
IASG CTA Index Month 1 6.96 4/2018
Discretionary Trader Index Month 1 6.96 4/2018
Option Strategy Index Month 1 6.96 4/2018
Stock Index Trader Index Month 1 6.96 4/2018
Discretionary Trader Index Month 4 3.14 3/2018
Option Strategy Index Month 2 3.14 3/2018
Stock Index Trader Index Month 7 3.14 3/2018
Option Strategy Index Month 9 -9.08 2/2018
Option Strategy Index Month 3 0.85 1/2018
Option Strategy Index Month 4 0.43 12/2017
Option Strategy Index Month 4 0.91 11/2017
Option Strategy Index Month 9 0.73 8/2017
Option Strategy Index Month 9 0.85 2/2017
Stock Index Trader Index Month 10 0.85 2/2017
Option Strategy Index Month 6 1.64 1/2017

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