ITB Capital Advisors LLC : ITB Time Value Trading Program

archived programs
Year-to-Date
N / A
Nov Performance
2.19%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.67%
Sharpe (RFR=1%)
0.54
CAROR
10.76%
Assets
$ 3.8M
Worst DD
-40.49
S&P Correlation
0.19

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
1/2009
ITB Time Value Trading Program 2.19 0.80 - -11.46 0.32 -14.22 175.59 175.59
S&P 500 1.79 -4.87 - 6.78 31.33 51.31 204.81 200.42
+/- S&P 500 0.40 5.67 - -18.25 -31.01 -65.53 -29.23 -24.84

Strategy Description

Summary

The stated returns for the period from November 2011 through March 2012, including the compounded annual returns for 2011 and 2012, do not reflect losses arising from the sale to a third party of its MF Global, Inc. commodities customer claim. The rates of return, have been calculated... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
1.50
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
1200 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
49.64%
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
100.00%
Systematic
0%

Strategy

Option-purchasing
20.00%
Option-spreads
20.00%
Option-writing
60.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The stated returns for the period from November 2011 through March 2012, including the compounded annual returns for 2011 and 2012, do not reflect losses arising from the sale to a third party of its MF Global, Inc. commodities customer claim. The rates of return, have been calculated on the basis of only those assets available for trading during the impacted periods.

ITB Capital Advisors is an alternative investment management firm specializing in managed futures, utilizing various options strategies. We are registered with both the Commodity Futures Trading Comission (CFTC), as well as the National Futures Assoc. (NFA).

Investment Strategy

The investment programs employed in our ITB Time Value Trading Program Composite are discretionary, and revolve around various options strategies, both long and short, based on the implied volatility of the S&P 500, and the perceived movement over the life of the selected options. The options we trade are on S&P 500 futures contracts, with the great majority bought or sold on the current front month. The objective is to generate income,combined with opportunistic long investments for hedging purposes and incremental returns.

Risk Management

Proactive monitoring and management of all investment positions in relaiton to risk is a vital function within our firm. Our strategies incorporate various hedging models to protect against downside risk, including extreme events.

   

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
-40.49 3 5 6/1/2011 9/1/2011
-37.46 6 - 7/1/2015 1/1/2016
-13.35 1 7 9/1/2014 10/1/2014
-12.66 1 6 6/1/2009 7/1/2009
-12.60 3 5 2/1/2013 5/1/2013
-10.61 2 3 3/1/2010 5/1/2010
-4.84 2 2 2/1/2014 4/1/2014
-3.96 1 1 2/1/2009 3/1/2009
-2.79 1 1 6/1/2014 7/1/2014
-0.99 1 1 3/1/2011 4/1/2011
-0.61 1 1 6/1/2012 7/1/2012
-0.25 1 1 8/1/2010 9/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
100.74 9 10/1/2011 6/1/2012
29.52 9 6/1/2013 2/1/2014
28.02 5 11/1/2009 3/1/2010
27.98 6 10/1/2010 3/1/2011
20.48 7 8/1/2012 2/1/2013
19.10 7 1/1/2015 7/1/2015
15.93 3 6/1/2010 8/1/2010
15.44 3 4/1/2009 6/1/2009
15.10 2 1/1/2009 2/1/2009
10.93 2 8/1/2014 9/1/2014
10.43 7 5/1/2016 11/1/2016
10.02 2 5/1/2014 6/1/2014
9.57 7 3/1/2017 9/1/2017
8.79 1 11/1/2014 11/1/2014
7.79 2 5/1/2011 6/1/2011
7.18 7 3/1/2018 9/1/2018
4.89 2 2/1/2016 3/1/2016
4.18 1 8/1/2009 8/1/2009
2.19 1 11/1/2018 11/1/2018
1.05 1 11/1/2015 11/1/2015
0.95 1 1/1/2017 1/1/2017
0.63 1 12/1/2017 12/1/2017
0.05 1 9/1/2015 9/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-40.49 3 7/1/2011 9/1/2011
-25.58 1 8/1/2015 8/1/2015
-18.05 2 1/1/2018 2/1/2018
-13.35 1 10/1/2014 10/1/2014
-13.13 2 12/1/2015 1/1/2016
-12.66 1 7/1/2009 7/1/2009
-12.60 3 3/1/2013 5/1/2013
-10.61 2 4/1/2010 5/1/2010
-5.61 1 12/1/2014 12/1/2014
-4.84 2 3/1/2014 4/1/2014
-4.32 1 10/1/2015 10/1/2015
-3.96 1 3/1/2009 3/1/2009
-2.79 1 7/1/2014 7/1/2014
-2.57 2 9/1/2009 10/1/2009
-1.71 1 12/1/2016 12/1/2016
-1.36 1 10/1/2018 10/1/2018
-0.99 1 4/1/2011 4/1/2011
-0.61 1 7/1/2012 7/1/2012
-0.55 2 10/1/2017 11/1/2017
-0.25 1 9/1/2010 9/1/2010
-0.20 1 2/1/2017 2/1/2017
-0.11 1 4/1/2016 4/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods119.00117.00114.00108.00102.0096.0084.0072.0060.00
Percent Profitable73.1172.6570.1874.0767.6569.7960.7179.1786.67
Average Period Return1.073.306.3212.8520.1327.6545.9265.1585.00
Average Gain3.558.8414.6923.2436.8946.0783.9486.2899.27
Average Loss-5.70-11.42-13.38-16.82-14.90-14.90-12.83-15.13-7.75
Best Period20.7448.7275.67111.36138.74139.84207.24179.45224.44
Worst Period-30.22-40.49-37.46-31.35-30.48-25.43-32.19-26.87-12.78
Standard Deviation6.2512.8318.5425.9832.0038.2458.0568.3577.82
Gain Standard Deviation3.258.4914.3121.6324.5630.5542.3261.0073.79
Loss Standard Deviation7.4210.6110.788.628.888.558.939.314.15
Sharpe Ratio (1%)0.160.240.310.460.580.670.740.891.03
Average Gain / Average Loss0.620.771.101.382.483.096.545.7012.80
Profit / Loss Ratio1.702.062.583.955.187.1410.1121.6683.22
Downside Deviation (10%)4.948.5810.4311.9413.7414.7519.0018.4914.41
Downside Deviation (5%)4.838.199.5510.0410.5710.3811.379.694.91
Downside Deviation (0%)4.808.099.339.599.839.409.758.043.17
Sortino Ratio (10%)0.130.240.370.660.911.181.592.363.98
Sortino Ratio (5%)0.200.370.611.181.762.473.776.3016.27
Sortino Ratio (0%)0.220.410.681.342.052.944.718.1126.85

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 7 0.00 12/2018
Option Strategy Index Month 10 0.00 10/2018
Stock Index Trader Index Month 9 1.26 9/2018
Option Strategy Index Month 5 1.26 9/2018
Option Strategy Index Month 6 1.15 9/2016
Stock Index Trader Index Month 9 1.32 8/2016
Option Strategy Index Month 8 1.32 8/2016
Stock Index Trader Index Month 7 1.50 7/2016
Option Strategy Index Month 3 1.50 7/2016
Option Strategy Index Month 5 1.54 6/2016
Stock Index Trader Index Month 10 1.54 6/2016
Option Strategy Index Month 9 1.67 5/2016
Option Strategy Index Month 7 1.19 3/2016
Stock Index Trader Index Month 6 1.19 3/2016
Stock Index Trader Index Month 3 3.66 2/2016
Option Strategy Index Month 2 3.66 2/2016
Discretionary Trader Index Month 8 3.66 2/2016
Option Strategy Index Month 8 1.05 11/2015
Stock Index Trader Index Month 9 2.41 6/2015
Option Strategy Index Month 6 2.41 6/2015
Stock Index Trader Index Month 7 3.12 5/2015
Option Strategy Index Month 4 3.12 5/2015
Discretionary Trader Index Month 10 3.12 5/2015
Option Strategy Index Month 5 2.16 4/2015
Stock Index Trader Index Month 7 2.16 4/2015
Option Strategy Index Month 10 1.94 3/2015
Option Strategy Index Month 7 4.00 2/2015
Stock Index Trader Index Month 7 2.60 1/2015
Option Strategy Index Month 5 2.60 1/2015
IASG CTA Index 3 Year Rolling 6 84.74 2011 - 2014
IASG CTA Index 5 Year Rolling 6 162.58 2009 - 2014
Stock Index Trader Index Month 2 8.79 11/2014
Discretionary Trader Index Month 1 8.79 11/2014
Option Strategy Index Month 2 8.79 11/2014
Stock Index Trader Index Month 3 5.32 9/2014
Option Strategy Index Month 1 5.32 9/2014
Stock Index Trader Index Month 3 5.33 8/2014
Option Strategy Index Month 3 5.33 8/2014
Discretionary Trader Index Month 7 5.33 8/2014
Discretionary Trader Index Month 5 5.58 6/2014
Stock Index Trader Index Month 3 5.58 6/2014
Option Strategy Index Month 2 5.58 6/2014
Stock Index Trader Index Month 4 4.21 5/2014
Option Strategy Index Month 5 4.21 5/2014
Option Strategy Index Month 6 2.15 2/2014
Option Strategy Index Month 7 3.13 12/2013
Stock Index Trader Index Month 9 3.13 12/2013
IASG CTA Index 3 Year Rolling 10 90.59 2010 - 2013
Discretionary Trader Index Month 9 4.63 11/2013
Option Strategy Index Month 5 4.63 11/2013
Stock Index Trader Index Month 3 4.63 11/2013
Option Strategy Index Month 10 2.03 10/2013
Stock Index Trader Index Month 10 2.40 9/2013
Option Strategy Index Month 9 2.40 9/2013
Stock Index Trader Index Month 3 5.03 8/2013
Option Strategy Index Month 2 5.03 8/2013
Discretionary Trader Index Month 5 5.03 8/2013
Stock Index Trader Index Month 7 4.06 7/2013
Option Strategy Index Month 2 4.06 7/2013
Option Strategy Index Month 9 2.01 6/2013
Discretionary Trader Index Month 10 3.75 2/2013
Option Strategy Index Month 2 3.75 2/2013
Stock Index Trader Index Month 4 3.75 2/2013
Option Strategy Index Month 10 0.88 1/2013
IASG CTA Index 3 Year Rolling 9 120.60 2009 - 2012
Option Strategy Index Month 2 2.51 12/2012
IASG CTA Index Year Rolling 6 55.21 2011 - 2012
Stock Index Trader Index Month 4 2.51 12/2012
Discretionary Trader Index Month 6 2.51 12/2012
Stock Index Trader Index Month 10 1.80 11/2012
Option Strategy Index Month 5 4.13 10/2012
Stock Index Trader Index Month 4 4.13 10/2012
Option Strategy Index Month 6 5.62 8/2012
Stock Index Trader Index Month 5 5.62 8/2012
Option Strategy Index Month 2 4.37 6/2012
Stock Index Trader Index Month 8 4.37 6/2012
Stock Index Trader Index Month 2 6.15 5/2012
Option Strategy Index Month 2 6.15 5/2012
Discretionary Trader Index Month 6 6.15 5/2012
Stock Index Trader Index Month 9 3.14 4/2012
Option Strategy Index Month 10 3.14 4/2012
Stock Index Trader Index Month 8 3.49 3/2012
Option Strategy Index Month 5 3.49 3/2012
Stock Index Trader Index Month 4 4.77 2/2012
Option Strategy Index Month 3 4.77 2/2012
Discretionary Trader Index Month 8 4.77 2/2012
Option Strategy Index Month 2 9.49 1/2012
Stock Index Trader Index Month 1 9.49 1/2012
Discretionary Trader Index Month 5 9.49 1/2012
Stock Index Trader Index Month 1 12.50 12/2011
Discretionary Trader Index Month 1 12.50 12/2011
Option Strategy Index Month 1 12.50 12/2011
IASG CTA Index Month 2 12.50 12/2011
IASG CTA Index Month 2 20.74 11/2011
Discretionary Trader Index Month 2 20.74 11/2011
Option Strategy Index Month 1 20.74 11/2011
Stock Index Trader Index Month 1 20.74 11/2011
Stock Index Trader Index Month 3 8.94 10/2011
Option Strategy Index Month 3 8.94 10/2011
Discretionary Trader Index Month 6 8.94 10/2011

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