Gregory P Asset Management LLC : Low Volatility Income Strategy

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

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Growth of 1,000 - VAMI

Monthly Performance

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 5/2015
Low Volatility Income Strategy	-1.02	0.86	-1.02	2.50	0.99	-	-	-13.56
S&P 500	-0.16	6.19	-0.16	19.27	40.10	-	-	51.50
+/- S&P 500	-0.86	-5.33	-0.86	-16.77	-39.11	-	-	-65.06

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%

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

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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.

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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	57.00	55.00	52.00	46.00	40.00	34.00	22.00
Percent Profitable	64.91	67.27	71.15	65.22	55.00	44.12	68.18
Average Period Return	-0.14	-0.50	-0.38	0.02	0.70	1.06	1.98
Average Gain	1.41	2.39	3.27	4.57	6.73	8.84	6.10
Average Loss	-3.03	-6.46	-9.38	-8.50	-6.66	-5.08	-6.85
Best Period	6.96	10.89	11.23	13.79	16.80	19.36	20.59
Worst Period	-27.23	-25.95	-22.18	-17.79	-15.72	-13.77	-12.36
Standard Deviation	4.43	6.69	7.44	7.40	8.05	8.24	8.79
Gain Standard Deviation	1.48	2.45	2.72	2.99	4.01	4.35	6.90
Loss Standard Deviation	6.34	8.57	7.80	5.32	4.97	4.43	5.11
Sharpe Ratio (1%)	-0.05	-0.11	-0.12	-0.13	-0.10	-0.12	-0.12
Average Gain / Average Loss	0.47	0.37	0.35	0.54	1.01	1.74	0.89
Profit / Loss Ratio	0.86	0.76	0.86	1.01	1.24	1.37	1.91
Downside Deviation (10%)	4.19	6.49	7.58	8.67	10.32	12.14	16.21
Downside Deviation (5%)	4.10	6.12	6.67	6.37	6.36	6.20	6.27
Downside Deviation (0%)	4.07	6.03	6.46	5.86	5.52	4.98	4.70
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	-0.06	0.00	0.13	0.21	0.42

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	4	0.80	9/2019
Option Strategy Index	Month	10	-1.81	8/2019
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
Discretionary Trader Index	Month	4	1.91	6/2019
Option Strategy Index	Month	2	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
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.

^#5

Top Performer

OPTION STRATEGY INDEX

FEBRUARY
2020

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More Programs by Gregory P Asset Management LLC

Program Name	CAROR
Alternative Multi Strategy	10.60%
Seasonal Spread and Options Strategy	10.15%
Low Volatility Income Strategy	-3.02%

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Gregory P Asset Management LLC : Low Volatility Income Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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