Heritage Ltd : High Frequency Options Strategy

archived programs
Year-to-Date
N / A
Dec Performance
0.66%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
50.00%
Annualized Vol
26.54%
Sharpe (RFR=1%)
3.05
CAROR
-
Assets
$ 150k
Worst DD
-14.66
S&P Correlation
0.50

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
10/2010
High Frequency Options Strategy 0.66 - - - - - - 159.07
S&P 500 0.85 - - - - - - 192.76
+/- S&P 500 -0.19 - - - - - - -33.69

Strategy Description

Summary

The strategy is the Tuning Prop Trading of Eurostoxx50 Options Strategy listed into IASG.com... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 50.00%
Average Commission $20.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 7-14 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 20000 RT/YR/$M
Avg. Margin-to-Equity 70%
Targeted Worst DD -100.00%
Worst Peak-to-Trough 30.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 60.00%
Intraday 40.00%

Decision-Making

Discretionary 75.00%
Systematic 25.00%

Composition

Stock Indices
70.00%
Interest Rates
30.00%
Composition Pie Chart

Summary

The strategy is the Tuning Prop Trading of Eurostoxx50 Options Strategy listed into IASG.com

Investment Strategy

Total Return

Risk Management

The strategy is risky managed during intraday session. The strategy was and is backtested and forward tested with real money in one of the worst and high volatility period of the Global Markets.

   

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
-14.66 1 - 7/1/2011 8/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
176.69 10 10/1/2010 7/1/2011
9.72 4 9/1/2011 12/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.66 1 8/1/2011 8/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods15.0013.0010.00
Percent Profitable93.3376.9290.00
Average Period Return6.8323.6355.72
Average Gain8.3633.0262.17
Average Loss-14.66-7.66-2.31
Best Period16.1248.26106.46
Worst Period-14.66-10.27-2.31
Standard Deviation7.6621.7143.88
Gain Standard Deviation5.0114.1441.22
Loss Standard Deviation4.18
Sharpe Ratio (1%)0.881.081.26
Average Gain / Average Loss0.574.3126.85
Profit / Loss Ratio7.9914.36241.69
Downside Deviation (10%)3.894.571.51
Downside Deviation (5%)3.814.140.89
Downside Deviation (0%)3.794.030.73
Sortino Ratio (10%)1.654.9035.20
Sortino Ratio (5%)1.775.6562.06
Sortino Ratio (0%)1.805.8676.11

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.