Hyman Beck and Company : Volatility Analytics

archived programs
Year-to-Date
N / A
Oct Performance
-0.02%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
3.45%
Sharpe (RFR=1%)
0.17
CAROR
1.53%
Assets
$ 89.8M
Worst DD
-10.17
S&P Correlation
-0.24

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
12/2006
Volatility Analytics -0.02 - - - - - -9.53 11.04
S&P 500 4.46 - - - - - 67.15 144.25
+/- S&P 500 -4.48 - - - - - -76.68 -133.21

Strategy Description

Summary

The Volatility Analytics Portfolio incorporates relative value and volatility arbitrage trading strategies which utilize quantitative models to systematically extract profits by identifying overvalued and/or undervalued options pricing and other inefficiencies in the options markets.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Arbitrage & Spread Traders

Holding Periods

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

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Composition

Summary

The Volatility Analytics Portfolio incorporates relative value and volatility arbitrage trading strategies which utilize quantitative models to systematically extract profits by identifying overvalued and/or undervalued options pricing and other inefficiencies in the options markets. Multiple strategies are employed to help diversify exposures. The strategy does not seek to earn profits from momentum or directional price movement rather it profits from movement in time or underlying volatility levels. Volatility Analytics will trade option spreads to eliminate the risk found in the selling or purchasing of naked option strategies. Trading decisions are based on the relative value of the particular spread being evaluated.

   

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
-10.17 41 - 5/1/2010 10/1/2013
-1.90 5 2 1/1/2008 6/1/2008
-1.82 1 1 3/1/2010 4/1/2010
-1.52 2 4 9/1/2009 11/1/2009
-0.68 4 6 11/1/2008 3/1/2009
-0.50 1 2 4/1/2007 5/1/2007
-0.27 1 1 8/1/2007 9/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
7.58 4 10/1/2007 1/1/2008
6.43 5 7/1/2008 11/1/2008
5.98 5 12/1/2006 4/1/2007
3.17 1 5/1/2010 5/1/2010
2.53 3 6/1/2007 8/1/2007
1.94 4 12/1/2009 3/1/2010
0.89 1 7/1/2012 7/1/2012
0.84 2 8/1/2010 9/1/2010
0.71 1 9/1/2009 9/1/2009
0.71 1 7/1/2011 7/1/2011
0.59 1 5/1/2011 5/1/2011
0.39 1 5/1/2012 5/1/2012
0.29 1 4/1/2009 4/1/2009
0.20 1 5/1/2013 5/1/2013
0.17 2 6/1/2009 7/1/2009
0.17 1 5/1/2008 5/1/2008
0.12 3 11/1/2012 1/1/2013
0.05 1 1/1/2012 1/1/2012
0.03 1 3/1/2013 3/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.23 7 10/1/2010 4/1/2011
-1.82 1 4/1/2010 4/1/2010
-1.74 3 2/1/2008 4/1/2008
-1.52 2 10/1/2009 11/1/2009
-1.32 5 8/1/2011 12/1/2011
-1.08 2 6/1/2010 7/1/2010
-1.07 1 6/1/2011 6/1/2011
-1.00 3 8/1/2012 10/1/2012
-0.97 5 6/1/2013 10/1/2013
-0.81 1 6/1/2012 6/1/2012
-0.68 4 12/1/2008 3/1/2009
-0.50 1 5/1/2007 5/1/2007
-0.37 1 4/1/2013 4/1/2013
-0.33 1 6/1/2008 6/1/2008
-0.31 3 2/1/2012 4/1/2012
-0.27 1 9/1/2007 9/1/2007
-0.11 1 5/1/2009 5/1/2009
-0.07 1 2/1/2013 2/1/2013
-0.03 1 8/1/2009 8/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods83.0081.0078.0072.0066.0060.0048.0036.00
Percent Profitable46.9946.9144.8745.8345.4538.3343.7533.33
Average Period Return0.130.400.721.221.221.140.480.36
Average Gain0.831.923.375.777.3510.6310.0510.85
Average Loss-0.49-0.93-1.45-2.64-3.89-4.76-6.97-4.88
Best Period3.406.749.0915.6814.8621.1220.7120.82
Worst Period-2.05-3.57-5.39-7.73-8.31-8.96-9.93-8.62
Standard Deviation1.002.073.285.406.868.549.988.63
Gain Standard Deviation0.941.992.864.325.175.757.746.24
Loss Standard Deviation0.530.861.552.362.492.481.532.98
Sharpe Ratio (1%)0.050.080.070.04-0.04-0.10-0.26-0.43
Average Gain / Average Loss1.702.052.332.191.892.231.442.22
Profit / Loss Ratio1.511.821.901.851.571.391.121.11
Downside Deviation (10%)0.771.753.236.068.9912.1218.1522.83
Downside Deviation (5%)0.561.061.843.184.385.657.627.68
Downside Deviation (0%)0.520.921.562.593.404.205.344.64
Sortino Ratio (10%)-0.36-0.47-0.54-0.62-0.71-0.75-0.84-0.93
Sortino Ratio (5%)0.090.150.120.07-0.07-0.15-0.33-0.48
Sortino Ratio (0%)0.250.440.460.470.360.270.090.08

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.