Gregory P Asset Management LLC : Low Volatility Income Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.02% Jan Performance -1.02% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 15.34% Sharpe (RFR=1%) -0.18 CAROR -3.02% Assets $ 190k Worst DD -27.23 S&P Correlation 0.31 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since5/2015 Low Volatility Income Strategy -1.02 - -1.02 0.80 -1.29 -14.88 - -13.56 S&P 500 -0.16 - -0.16 19.27 40.10 60.04 - 53.64 +/- S&P 500 -0.86 - -0.86 -18.47 -41.39 -74.92 - -67.20 Strategy Description SummaryThe 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% Composition Stock Indices 100.00% SummaryThe Low Volatility Income Strategy (“LVIS”) seeks superior returns by trading global indices that exhibit great volume and liquidity. Investment StrategyOptions 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 conditionsRisk ManagementStrict and adjusting based on the market conditions Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 3.72 4 9/1/2019 12/1/2019 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 Show More 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 1 1/1/2020 1/1/2020 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods57.0055.0052.0046.0040.0034.0022.00 Percent Profitable64.9167.2771.1565.2255.0044.1268.18 Average Period Return-0.14-0.50-0.380.020.701.061.98 Average Gain1.412.393.274.576.738.846.10 Average Loss-3.03-6.46-9.38-8.50-6.66-5.08-6.85 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 Deviation4.436.697.447.408.058.248.79 Gain Standard Deviation1.482.452.722.994.014.356.90 Loss Standard Deviation6.348.577.805.324.974.435.11 Sharpe Ratio (1%)-0.05-0.11-0.12-0.13-0.10-0.12-0.12 Average Gain / Average Loss0.470.370.350.541.011.740.89 Profit / Loss Ratio0.860.760.861.011.241.371.91 Downside Deviation (10%)4.196.497.588.6710.3212.1416.21 Downside Deviation (5%)4.106.126.676.376.366.206.27 Downside Deviation (0%)4.076.036.465.865.524.984.70 Sortino Ratio (10%)-0.13-0.27-0.38-0.57-0.67-0.76-0.85 Sortino Ratio (5%)-0.06-0.12-0.13-0.15-0.13-0.15-0.17 Sortino Ratio (0%)-0.04-0.08-0.060.000.130.210.42 Top Performer Badges Index Award Type Rank Performance Period Option Strategy Index Month 5 0.00 2/2020 Option Strategy Index Month 4 1.12 12/2019 Option Strategy Index Month 3 0.77 11/2019 Option Strategy Index Month 3 0.98 10/2019 Option Strategy Index Month 5 0.80 9/2019 Option Strategy Index Month 10 -1.81 8/2019 Discretionary Trader Index Month 8 1.17 7/2019 Stock Index Trader Index Month 8 1.17 7/2019 Option Strategy Index Month 3 1.17 7/2019 Discretionary Trader Index Month 4 1.91 6/2019 Option Strategy Index Month 2 1.91 6/2019 Stock Index Trader Index Month 1 6.09 5/2019 Option Strategy Index Month 1 6.09 5/2019 Discretionary Trader Index Month 2 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 7 0.13 8/2018 Option Strategy Index Month 8 -0.12 7/2018 Option Strategy Index Month 4 0.52 5/2018 Option Strategy Index Month 1 6.96 4/2018 Stock Index 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 2 3.14 3/2018 Discretionary Trader Index Month 4 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. x {{title}} x {{title}} Add Cancel