GrowthPoint Investments, LLC : Iron Condor

archived programs
Year-to-Date
N / A
May Performance
-7.26%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.41%
Sharpe (RFR=1%)
0.23
CAROR
3.21%
Assets
$ 352k
Worst DD
-36.02
S&P Correlation
0.22

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2006
Iron Condor -7.26 - - - - - -3.52 22.47
S&P 500 -6.27 - - - - - 22.77 180.00
+/- S&P 500 -0.99 - - - - - -26.29 -157.53

Strategy Description

Summary

The Iron Condor program is a premium selling strategy that is currently trading exclusively on the large S&P pit-traded contract. The strategy is to sell premium on the put side only. This credit spread is fully covered and the risks are known in advance. There are no naked short... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $15.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 9000 RT/YR/$M
Avg. Margin-to-Equity 60%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 20.00%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 20.00%
Systematic 80.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Iron Condor program is a premium selling strategy that is currently trading exclusively on the large S&P pit-traded contract. The strategy is to sell premium on the put side only. This credit spread is fully covered and the risks are known in advance. There are no naked short options. The configuration is a three-legged trade which differs from a standard vertical spread in that there is a long put closer to the money than the short puts. See diagram below. This might be called a broken-wing butterfly in a 1/-4/3 configuration. The strike distances between the inside put, short put and protective puts are chosen based on market conditions and historical back-testing.

Investment Strategy

The spread is designed to collect premium when set and, often times collect additional premium when exited. The behavior at expiration depends on market volatility, price and distance, etc. but protects the spread should the trade come under pressure near expiration.

Risk Management

Trades are typically exited when 80% or more of the intended premium has been secured. Defensive strategies include rolling the trade down or down and out to the next expiration. This action is typically taken when the market price comes within 10 points of the short strike intra-day. Short strike distance from market is typically 8-12%. This represents a 5-10% probability of finishing in the money. Current leverage is less than maximum risk.

   

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
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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
-36.02 5 - 12/1/2009 5/1/2010
-27.31 5 8 2/1/2007 7/1/2007
-5.19 1 2 4/1/2006 5/1/2006
-2.30 1 2 8/1/2008 9/1/2008
-2.00 1 1 12/1/2008 1/1/2009
-0.17 1 1 11/1/2006 12/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
63.43 13 8/1/2007 8/1/2008
23.11 11 2/1/2009 12/1/2009
21.68 6 6/1/2006 11/1/2006
17.31 8 12/1/2010 7/1/2011
15.79 7 9/1/2011 3/1/2012
8.56 4 1/1/2006 4/1/2006
7.33 2 6/1/2010 7/1/2010
6.86 2 5/1/2007 6/1/2007
4.35 3 2/1/2010 4/1/2010
3.96 2 9/1/2010 10/1/2010
3.48 3 10/1/2008 12/1/2008
2.91 2 1/1/2007 2/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-35.76 1 5/1/2010 5/1/2010
-23.90 2 3/1/2007 4/1/2007
-16.38 2 4/1/2012 5/1/2012
-15.06 1 8/1/2011 8/1/2011
-10.61 1 7/1/2007 7/1/2007
-5.19 1 5/1/2006 5/1/2006
-4.56 1 1/1/2010 1/1/2010
-2.63 1 11/1/2010 11/1/2010
-2.30 1 9/1/2008 9/1/2008
-2.04 1 8/1/2010 8/1/2010
-2.00 1 1/1/2009 1/1/2009
-0.17 1 12/1/2006 12/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods77.0075.0072.0066.0060.0054.0042.0030.00
Percent Profitable81.8274.6772.2262.1261.6755.5676.1996.67
Average Period Return0.491.693.556.398.8813.4722.3926.53
Average Gain2.536.2011.7021.1425.7439.0033.7027.83
Average Loss-8.68-11.60-17.63-17.80-18.25-18.46-13.79-11.04
Best Period7.1314.5026.7556.3161.9280.2589.6486.43
Worst Period-35.76-34.23-34.94-31.29-30.25-28.88-24.56-11.04
Standard Deviation6.1810.2315.6222.6526.4333.0627.9426.84
Gain Standard Deviation1.553.736.8013.6718.3621.2521.7226.34
Loss Standard Deviation10.0511.7611.559.838.625.904.84
Sharpe Ratio (1%)0.070.140.200.240.280.350.690.84
Average Gain / Average Loss0.290.530.661.191.412.112.442.52
Profit / Loss Ratio1.311.581.721.952.272.647.8273.13
Downside Deviation (10%)5.668.6512.1415.2516.8619.5515.2711.64
Downside Deviation (5%)5.578.2911.2513.0013.3014.188.512.94
Downside Deviation (0%)5.558.2011.0312.4512.4412.897.092.01
Sortino Ratio (10%)0.010.050.090.090.080.160.430.43
Sortino Ratio (5%)0.070.170.270.410.550.812.277.65
Sortino Ratio (0%)0.090.210.320.510.711.043.1613.17

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.