Intex Capital : Covered Options Program

archived programs
Year-to-Date
N / A
Jan Performance
1.08%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
4.89%
Sharpe (RFR=1%)
2.29
CAROR
12.79%
Assets
$ 4.8M
Worst DD
-4.10
S&P Correlation
0.27

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
1/2012
Covered Options Program 1.08 1.60 - 8.88 33.26 68.95 - 107.96
S&P 500 5.62 9.65 - 22.66 40.12 86.59 - 112.99
+/- S&P 500 -4.54 -8.06 - -13.79 -6.86 -17.64 - -5.03

Strategy Description

Investment Strategy

The covered options program is focused on using market neutral spreads miainly in the energy markets, with a minor participation in other markets. The primary purpose of the program is to sell credit spreads and either let the spread expire worthless, or close the spread... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 25k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
25.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
8000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
4.00%
Sector Focus
Diversified 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
50.00%
Systematic
50.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Energy
50.00%
Stock Indices
50.00%
Composition Pie Chart

Investment Strategy

The covered options program is focused on using market neutral spreads miainly in the energy markets, with a minor participation in other markets. The primary purpose of the program is to sell credit spreads and either let the spread expire worthless, or close the spread before maturity. Adjustments are made in line with market conditions.

Risk Management

Using spreads seeks to limit the initial risk. In addition, the manager may make adjustments, depending on the direction and intensity of market moves, including establishing net long positions when appropriate.

   

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
-4.10 1 3 7/1/2015 8/1/2015
-2.82 3 1 9/1/2014 12/1/2014
-1.80 1 1 12/1/2013 1/1/2014
-0.58 1 1 2/1/2015 3/1/2015
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
32.55 29 9/1/2015 1/1/2018
21.88 8 2/1/2014 9/1/2014
13.31 4 1/1/2012 4/1/2012
12.61 5 11/1/2012 3/1/2013
5.45 4 4/1/2015 7/1/2015
5.16 2 1/1/2015 2/1/2015
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-4.10 1 8/1/2015 8/1/2015
-2.82 3 10/1/2014 12/1/2014
-1.80 10 4/1/2013 1/1/2014
-0.58 1 3/1/2015 3/1/2015
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable71.2378.8791.18100.00100.00100.00100.00100.00
Average Period Return1.022.985.8412.1018.5225.7741.1658.84
Average Gain1.613.896.4312.1018.5225.7741.1658.84
Average Loss-1.56-1.58-1.80
Best Period4.5710.4616.0722.8530.5735.7851.1767.72
Worst Period-4.10-2.82-1.803.5410.5819.8331.9950.82
Standard Deviation1.412.743.693.593.703.634.314.04
Gain Standard Deviation1.102.323.293.593.703.634.314.04
Loss Standard Deviation1.320.96
Sharpe Ratio (1%)0.661.001.453.094.606.548.8513.55
Average Gain / Average Loss1.032.463.57
Profit / Loss Ratio8.9634.44221.46
Downside Deviation (10%)0.690.860.890.18
Downside Deviation (5%)0.580.490.31
Downside Deviation (0%)0.560.420.22
Sortino Ratio (10%)0.892.053.8038.44
Sortino Ratio (5%)1.605.6017.22
Sortino Ratio (0%)1.807.0226.73

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 10 0.84 2/2017
Option Strategy Index Month 10 0.56 12/2016
IASG CTA Index Sharpe 4 2.20 2015 - 2016
Option Strategy Index Month 6 1.11 11/2016
Option Strategy Index Month 8 0.52 9/2016
Option Strategy Index Month 10 1.09 8/2016
Option Strategy Index Month 6 1.18 7/2016
Option Strategy Index Month 8 0.50 6/2016
Option Strategy Index Month 10 1.38 5/2016
Option Strategy Index Month 6 0.59 4/2016
Discretionary Trader Index Month 10 1.28 3/2016
Option Strategy Index Month 6 1.28 3/2016
Option Strategy Index Month 7 1.29 2/2016
Option Strategy Index Month 2 1.44 1/2016
IASG CTA Index Sharpe 3 2.03 2014 - 2015
Option Strategy Index Month 4 1.61 12/2015
Discretionary Trader Index Month 8 1.61 12/2015
Option Strategy Index Month 6 1.50 11/2015
Option Strategy Index Month 2 1.30 10/2015
Option Strategy Index Month 8 -4.10 8/2015
Option Strategy Index Month 7 2.46 7/2015

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