Gregory P Asset Management LLC : Seasonal Spread and Options Strategy

Year-to-Date
2.22%
Jun Performance
-3.28%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.18%
Sharpe (RFR=1%)
0.70
CAROR
10.91%
Assets
$ 2.7M
Worst DD
-25.35
S&P Correlation
-0.01

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
9/2009
Seasonal Spread and Options Strategy -3.28 -0.66 -2.22 -3.02 -4.49 12.72 - 176.92
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 - 175.41
+/- S&P 500 -10.17 -4.45 -19.56 -11.23 -43.22 -35.83 - 1.51

Strategy Description

Summary

The Seasonal Spread and Option Strategy combines discretionary and seasonal analysis to trade Agricultural, Livestock, Energy and Interest Rate futures. The program may target markets exhibiting certain correlations and/or regression characteristics allowing for the opportunity to... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
4.50
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$3.50
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
6500 RT/YR/$M
Avg. Margin-to-Equity
13%
Targeted Worst DD
-8.00%
Worst Peak-to-Trough
Sector Focus
Arbitrage & Spread Traders

Holding Periods

Over 12 Months
1.00%
4-12 Months
30.00%
1-3 Months
40.00%
1-30 Days
26.00%
Intraday
3.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Arbitrage
5.00%
Option-writing
5.00%
Seasonal/cyclical
90.00%
Strategy Pie Chart

Composition

Livestock
35.00%
Grains
30.00%
Energy
20.00%
Precious Metals
5.00%
Interest Rates
5.00%
Softs
5.00%
Composition Pie Chart

Summary

The Seasonal Spread and Option Strategy combines discretionary and seasonal analysis to trade Agricultural, Livestock, Energy and Interest Rate futures. The program may target markets exhibiting certain correlations and/or regression characteristics allowing for the opportunity to utilize spreads, butterflies, and condor positions. The strategy utilizes futures spreads in approximately 95% of the trades. The other 5% consist of options trades.

Investment Strategy

Futures Spreads, Seasonal Spreads

Risk Management

After the integration process, accounts will be managed using an asymmetric risk management system. This system will involve increasing and/or reducing the operational position volume depending on the profits or losses experienced by the account over time.

   

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
-25.35 2 52 5/1/2012 7/1/2012
-10.74 8 - 1/1/2017 9/1/2017
-3.61 1 1 2/1/2010 3/1/2010
-3.59 1 1 8/1/2011 9/1/2011
-2.86 1 1 4/1/2010 5/1/2010
-2.52 1 2 1/1/0001 9/1/2009
-1.46 1 1 11/1/2016 12/1/2016
-1.30 2 1 11/1/2010 1/1/2011
-0.86 1 1 6/1/2010 7/1/2010
-0.02 1 1 2/1/2012 3/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
51.02 7 2/1/2011 8/1/2011
47.82 5 10/1/2011 2/1/2012
27.73 7 8/1/2012 2/1/2013
15.35 4 8/1/2010 11/1/2010
13.29 2 4/1/2012 5/1/2012
8.93 1 6/1/2010 6/1/2010
8.89 1 10/1/2014 10/1/2014
6.24 5 7/1/2016 11/1/2016
5.77 2 9/1/2018 10/1/2018
5.66 2 12/1/2014 1/1/2015
5.55 1 4/1/2010 4/1/2010
5.37 5 10/1/2009 2/1/2010
5.26 2 12/1/2015 1/1/2016
5.15 1 10/1/2013 10/1/2013
5.00 2 1/1/2018 2/1/2018
4.33 2 7/1/2014 8/1/2014
4.13 2 3/1/2015 4/1/2015
3.90 2 9/1/2015 10/1/2015
3.60 3 3/1/2019 5/1/2019
3.21 1 7/1/2013 7/1/2013
3.05 1 12/1/2013 12/1/2013
2.86 2 3/1/2016 4/1/2016
2.78 1 5/1/2018 5/1/2018
2.50 2 10/1/2017 11/1/2017
1.96 1 1/1/2017 1/1/2017
1.73 2 6/1/2015 7/1/2015
1.55 1 2/1/2014 2/1/2014
1.07 1 4/1/2013 4/1/2013
0.76 1 4/1/2014 4/1/2014
0.53 2 7/1/2017 8/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.35 2 6/1/2012 7/1/2012
-7.14 1 11/1/2015 11/1/2015
-6.84 1 1/1/2014 1/1/2014
-6.42 4 11/1/2018 2/1/2019
-6.28 2 5/1/2013 6/1/2013
-6.25 5 2/1/2017 6/1/2017
-5.29 1 9/1/2017 9/1/2017
-5.23 1 3/1/2013 3/1/2013
-5.16 2 8/1/2013 9/1/2013
-4.96 3 6/1/2018 8/1/2018
-3.61 1 3/1/2010 3/1/2010
-3.59 1 9/1/2011 9/1/2011
-3.28 1 6/1/2019 6/1/2019
-2.86 1 3/1/2014 3/1/2014
-2.86 1 5/1/2010 5/1/2010
-2.81 1 11/1/2013 11/1/2013
-2.52 1 9/1/2009 9/1/2009
-2.37 1 12/1/2017 12/1/2017
-2.17 1 11/1/2014 11/1/2014
-1.95 1 5/1/2015 5/1/2015
-1.67 1 9/1/2014 9/1/2014
-1.66 1 2/1/2015 2/1/2015
-1.62 2 5/1/2016 6/1/2016
-1.62 1 8/1/2015 8/1/2015
-1.52 2 3/1/2018 4/1/2018
-1.46 1 12/1/2016 12/1/2016
-1.30 2 12/1/2010 1/1/2011
-1.18 2 5/1/2014 6/1/2014
-1.02 1 2/1/2016 2/1/2016
-0.86 1 7/1/2010 7/1/2010
-0.02 1 3/1/2012 3/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods118.00116.00113.00107.00101.0095.0083.0071.0059.00
Percent Profitable60.1764.6661.9570.0970.3074.7480.7290.1498.31
Average Period Return0.963.116.5214.5523.5132.5142.4251.9267.74
Average Gain3.337.1713.6723.2335.7445.7753.2157.8768.98
Average Loss-2.60-4.30-5.11-5.79-5.44-6.71-2.78-2.49-4.23
Best Period15.0438.1456.74103.31140.62199.74182.47171.20184.06
Worst Period-21.33-24.86-16.76-12.46-14.38-18.96-6.40-4.31-4.23
Standard Deviation4.388.8114.6926.3338.6651.6856.6357.3067.19
Gain Standard Deviation3.287.4714.2427.0740.2553.6058.0557.2967.09
Loss Standard Deviation3.305.734.313.373.294.791.651.34
Sharpe Ratio (1%)0.200.330.410.510.570.590.700.840.93
Average Gain / Average Loss1.281.672.674.026.576.8219.1123.2116.32
Profit / Loss Ratio1.933.054.359.4115.5520.1880.04212.24946.77
Downside Deviation (10%)2.804.715.396.317.619.449.8011.1013.42
Downside Deviation (5%)2.674.324.354.134.184.992.702.191.61
Downside Deviation (0%)2.644.234.113.653.454.111.410.870.55
Sortino Ratio (10%)0.200.400.751.512.092.362.722.742.99
Sortino Ratio (5%)0.330.661.383.285.276.1114.6021.8538.88
Sortino Ratio (0%)0.370.741.593.996.827.9030.1259.39123.13

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 10 2.73 10/2018
Discretionary Trader Index Month 4 2.96 9/2018
Discretionary Trader Index Month 4 2.96 9/2018
Discretionary Trader Index Month 6 2.78 5/2018
Discretionary Trader Index Month 10 3.67 1/2018
Discretionary Trader Index Month 10 2.41 4/2016
IASG CTA Index 5 Year Rolling 6 127.21 2010 - 2015
Discretionary Trader Index Month 2 3.79 12/2015
IASG CTA Index Month 4 3.79 12/2015
Discretionary Trader Index Month 8 3.28 4/2015
IASG CTA Index 5 Year Rolling 5 174.57 2009 - 2014
Discretionary Trader Index Month 3 8.89 10/2014
IASG CTA Index Month 5 8.89 10/2014
IASG CTA Index 3 Year Rolling 5 113.89 2010 - 2013
Systematic Trader Index Month 9 6.10 2/2013
IASG CTA Index 3 Year Rolling 4 155.80 2009 - 2012
Systematic Trader Index Month 4 7.44 10/2012
IASG CTA Index Month 5 7.44 10/2012
Systematic Trader Index Month 1 11.86 4/2012
IASG CTA Index Month 3 11.86 4/2012
Systematic Trader Index Month 8 9.26 2/2012
IASG CTA Index Month 9 9.26 2/2012
Systematic Trader Index Month 1 15.04 1/2012
IASG CTA Index Month 2 15.04 1/2012
IASG CTA Index Month 4 9.90 12/2011
IASG CTA Index Year Rolling 3 70.27 2010 - 2011
Systematic Trader Index Month 3 9.90 12/2011
Systematic Trader Index Month 8 3.71 6/2011
IASG CTA Index Month 9 10.47 2/2011
Systematic Trader Index Month 6 10.47 2/2011
Systematic Trader Index Month 7 8.93 6/2010
IASG CTA Index Month 8 8.93 6/2010

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