Harbor Financial LLC : MAP (Fund Performance)

archived programs
Year-to-Date
N / A
Aug Performance
2.43%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.85%
Sharpe (RFR=1%)
1.15
CAROR
19.54%
Assets
$ 6.3M
Worst DD
-23.53
S&P Correlation
-0.23

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
12/2005
MAP (Fund Performance) 2.43 - - - - - 29.78 298.86
S&P 500 -3.13 - - - - - 61.97 177.51
+/- S&P 500 5.56 - - - - - -32.20 121.35

Strategy Description

Summary

Harbor Financial, LLC, seeks to achieve capital appreciation by engaging in a program of premium collection, by selling or writing options spreads on stock index futures traded on the Chicago Mercantile Exchange. An options spread consists of the simultaneous sale and purchase of... Read More

Account & Fees

Type Fund
Minimum Investment $ 25k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 3500 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD -6.50%
Worst Peak-to-Trough 23.00%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 25.00%
Systematic 75.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Harbor Financial, LLC, seeks to achieve capital appreciation by engaging in a program of premium collection, by selling or writing options spreads on stock index futures traded on the Chicago Mercantile Exchange. An options spread consists of the simultaneous sale and purchase of options of different exercise prices and/or expiration months. In a spread, the purchased option acts as a hedge or protection against a sudden increase in the value of the sold option. This technique profits as the sold option’s value declines over time. Profit is captured when sold options are repurchased at a reduced value, or when they expire worthless, allowing the investor, to retain the original sales proceeds.

Investment Strategy

Harbor Financial, LLC, seeks to achieve capital appreciation by engaging in a program of premium collection, by selling or writing options spreads on stock index futures traded on the Chicago Mercantile Exchange. An options spread consists of the simultaneous sale and purchase of options of different exercise prices and/or expiration months. In a spread, the purchased option acts as a hedge or protection against a sudden increase in the value of the sold option. This technique profits as the sold option’s value declines over time. Profit is captured when sold options are repurchased at a reduced value, or when they expire worthless, allowing the investor, to retain the original sales proceeds.

Risk Management

Harbor Financial places a strong focus on risk management with the goal to provide consistency of returns and to mitigate the extent of the losses that will occur. We do not sell “naked options”. Options sales are generally executed as “spreads” in which the options sales are paired with the simultaneous purchase of other options as a hedge. Although our strategy is narrowly focused, trades are entered into on a continuous basis across different exercise prices and expiration months for diversification purposes. Once trades are entered, we employ strict risk management procedures which are triggered by total portfolio exposure rather than individual position value. Supported by sophisticated options analysis software and many years of options trading experience, Harbor Financial will determine the correct portfolio adjustment, with changing 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:
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Average Gain:
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Risk
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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:
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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
-23.53 6 6 1/1/2007 7/1/2007
-11.49 1 1 9/1/2006 10/1/2006
-7.33 1 - 4/1/2013 5/1/2013
-6.31 1 7 6/1/2009 7/1/2009
-5.54 1 1 4/1/2006 5/1/2006
-4.71 1 2 1/1/2011 2/1/2011
-4.18 1 4 8/1/2010 9/1/2010
-2.41 1 1 3/1/2010 4/1/2010
-1.34 1 1 6/1/2011 7/1/2011
-0.59 2 1 5/1/2012 7/1/2012
-0.41 1 1 3/1/2012 4/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
120.34 23 8/1/2007 6/1/2009
29.29 4 6/1/2006 9/1/2006
26.02 3 11/1/2006 1/1/2007
22.75 5 12/1/2005 4/1/2006
13.79 8 8/1/2011 3/1/2012
13.15 9 8/1/2012 4/1/2013
10.19 4 3/1/2011 6/1/2011
9.20 4 5/1/2010 8/1/2010
6.30 6 10/1/2009 3/1/2010
6.02 4 10/1/2010 1/1/2011
5.93 1 5/1/2007 5/1/2007
3.99 1 3/1/2007 3/1/2007
3.01 1 8/1/2009 8/1/2009
2.67 1 6/1/2013 6/1/2013
2.43 1 8/1/2013 8/1/2013
1.60 1 5/1/2012 5/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.93 1 2/1/2007 2/1/2007
-11.49 1 10/1/2006 10/1/2006
-8.06 1 4/1/2007 4/1/2007
-8.00 2 6/1/2007 7/1/2007
-7.33 1 5/1/2013 5/1/2013
-6.31 1 7/1/2009 7/1/2009
-5.54 1 5/1/2006 5/1/2006
-4.71 1 2/1/2011 2/1/2011
-4.18 1 9/1/2010 9/1/2010
-2.41 1 4/1/2010 4/1/2010
-2.30 1 7/1/2013 7/1/2013
-1.34 1 7/1/2011 7/1/2011
-0.59 2 6/1/2012 7/1/2012
-0.41 1 4/1/2012 4/1/2012
-0.23 1 9/1/2009 9/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods93.0091.0088.0082.0076.0070.0058.0046.0034.00
Percent Profitable81.7284.6285.2397.56100.00100.00100.00100.00100.00
Average Period Return1.604.829.8420.0331.3045.5176.48106.85151.29
Average Gain3.036.7312.4620.6331.3045.5176.48106.85151.29
Average Loss-4.76-5.65-5.29-4.20
Best Period19.1226.0237.8459.6799.70111.31143.83175.76204.04
Worst Period-17.93-21.53-23.53-6.538.6012.6829.7839.60107.03
Standard Deviation4.587.6611.3916.9321.8825.4835.5837.1726.58
Gain Standard Deviation3.146.409.9016.6921.8825.4835.5837.1726.58
Loss Standard Deviation4.635.226.823.30
Sharpe Ratio (1%)0.330.600.821.121.361.712.062.775.50
Average Gain / Average Loss0.641.192.364.91
Profit / Loss Ratio2.846.5413.60196.44
Downside Deviation (10%)2.933.353.911.66
Downside Deviation (5%)2.833.043.360.90
Downside Deviation (0%)2.802.973.240.75
Sortino Ratio (10%)0.411.071.899.05
Sortino Ratio (5%)0.541.502.7821.24
Sortino Ratio (0%)0.571.623.0426.69

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.