iTTa Asset Management Ltd. : Managed Options Program

archived programs
Year-to-Date
N / A
Oct Performance
-0.84%
Min Investment
$ 300k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.51%
Sharpe (RFR=1%)
0.54
CAROR
-
Assets
$ 4.0M
Worst DD
-2.31
S&P Correlation
-0.82

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
5/2012
Managed Options Program -0.84 - - - - - - 2.67
S&P 500 -1.98 - - - - - - 164.41
+/- S&P 500 1.14 - - - - - - -161.74

Strategy Description

Summary

The portfolio primarily uses iTTa Asset Management proprietary market timing and risk management model to trade S&P 500, Euro Stoxx 50, KOSPI index options and global equity index futures. It aims to deliver competitive returns with a low level of volatility under consideration of... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 300k
Trading Level Incremental Increase $ 300k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD -15.00%
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 90.00%
1-30 Days 0%
Intraday 10.00%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Option-purchasing
5.00%
Option-spreads
10.00%
Option-writing
45.00%
Trend-following
40.00%
Strategy Pie Chart

Composition

Stock Indices
95.00%
VIX
5.00%
Composition Pie Chart

Summary

The portfolio primarily uses iTTa Asset Management proprietary market timing and risk management model to trade S&P 500, Euro Stoxx 50, KOSPI index options and global equity index futures. It aims to deliver competitive returns with a low level of volatility under consideration of capital preservation and liquidity. The portfolio primarily uses iTTa Asset Management proprietary market timing and risk management model to trade S&P 500, Euro Stoxx 50, KOSPI index options and global equity index futures. It aims to deliver competitive returns with a low level of volatility under consideration of capital preservation and liquidity.

Investment Strategy

Using our options timing model to determine the optimal time to roll and short straddles (short at-the-money calls and puts at the same time) Combining with our momentum based algo hedging program, which itself makes money over time and is negatively correlated with our short options position. The combination of our options selling strategy with our momentum based hedging program attempts to create a smooth equity curve and at the same time protecting against market swings.

Risk Management

Our options timing model is being set up to minimize delta exposure and maximize risk adjusted returns during volatile time.

   

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
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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
-2.31 5 - 5/1/2012 10/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
5.10 1 5/1/2012 5/1/2012
1.32 1 7/1/2012 7/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.28 3 8/1/2012 10/1/2012
-1.33 1 6/1/2012 6/1/2012
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Time Windows Analysis

 1 Month3 Month
Number of Periods6.004.00
Percent Profitable33.3325.00
Average Period Return0.470.54
Average Gain3.215.07
Average Loss-0.91-0.98
Best Period5.105.07
Worst Period-1.33-2.28
Standard Deviation2.463.16
Gain Standard Deviation2.67
Loss Standard Deviation0.361.15
Sharpe Ratio (1%)0.160.09
Average Gain / Average Loss3.545.20
Profit / Loss Ratio1.771.73
Downside Deviation (10%)1.102.07
Downside Deviation (5%)0.851.33
Downside Deviation (0%)0.781.17
Sortino Ratio (10%)0.05-0.33
Sortino Ratio (5%)0.450.22
Sortino Ratio (0%)0.590.46

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.