Junzi Capital Engineering, LLC : Tang Gamma Opportunity (Aggressive)

archived programsClosed to new investments
Year-to-Date
N / A
Jul Performance
-0.78%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
16.45%
Sharpe (RFR=1%)
1.57
CAROR
28.78%
Assets
$ 22.0M
Worst DD
-9.04
S&P Correlation
0.10

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
10/2009
Tang Gamma Opportunity (Aggressive) -0.78 - - - - - 66.24 163.67
S&P 500 4.95 - - - - - 70.19 234.31
+/- S&P 500 -5.73 - - - - - -3.96 -70.65

Strategy Description

Summary

This program implements a volatility arbitrage strategy in the commodity futures markets. The objective is to produce attractive absolute-returns uncorrelated to equity and commodity market price levels. We seek to exploit systematic mispricings in the option prices of exchanged-traded... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 30.00%
Average Commission $4.00
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 15000 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 9.00%
Sector Focus Arbitrage & Spread 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 5.00%
Systematic 95.00%

Strategy

Arbitrage
30.00%
Option-writing
30.00%
Pattern Recognition
40.00%
Strategy Pie Chart

Composition

Energy
35.00%
Grains
25.00%
Softs
25.00%
Precious Metals
5.00%
Livestock
5.00%
Stock Indices
5.00%
Composition Pie Chart

Summary

This program implements a volatility arbitrage strategy in the commodity futures markets. The objective is to produce attractive absolute-returns uncorrelated to equity and commodity market price levels. We seek to exploit systematic mispricings in the option prices of exchanged-traded commodity futures, by actively trading the underlying futures contract on an intraday basis.

Investment Strategy

A comprehensive volatility model based on extensive statistical research and extensive backtesting is used to identify option mispricings, both long and short. Positions are selected on a discretionary basis. A proprietary, fully automated black-box application then monitors price/volume movements in the underlying instrument. As long as electronic markets are open, the application makes hedging decisions on a minute-by-minute basis; completely automated trades may be placed up to 23 hours a day, 6 days a week. The strategy is designed to be price neutral: profits and losses are determined only by the realized volatility of the underlying commodity.

The Manager believes that a unique opportunity exists in the futures markets; statistical research indicates that, at certain times and for certain instruments, highly liquid exchange-traded options can be mispriced by as much as 10%-20%. This mispricing is exposed using a proprietary dynamic active-frequency delta/gamma-hedging strategy to exploit the statistical differences between intra-day and multi-day volatility.

Fully automated trading algorithms monitor the underlying instrument as long as electronic markets are open and adequate liquidity is available. In the case of some products, that means trading up to 23 hours a day, 5 days a week. Depending on intra-day and inter- day price and volume action, our live volatility model, and other relative factors, hedging decisions are made dynamically: underlying instruments are bought or sold in a fully systematic process. This hedging occurs until option expiration.

Risk Management

Investments are made in a diverse set of uncorrelated commodities. Long option hedges are used aggressively when electronic futures markets are not available for trading (weekends/holidays).

Instruments are grouped into rough correlation categories, on the basis of price and volatility correlation (crude/refined product group being the most obvious example). No single category will consume a majority of portfolio risk capital.

In order to avoid “iceberg” or hidden risk, deep out-of-the-money strikes are avoided. Options sold are limited to strike prices within one standard-deviation of current underlying price. Protective long option positions are used to hedge against jumps in the underlying.

   

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
-9.04 1 2 9/1/2010 10/1/2010
-9.01 2 7 4/1/2011 6/1/2011
-8.08 4 - 3/1/2013 7/1/2013
-7.22 2 2 4/1/2010 6/1/2010
-2.77 2 1 5/1/2012 7/1/2012
-1.08 1 1 1/1/2013 2/1/2013
-0.50 1 1 10/1/2009 11/1/2009
-0.46 1 1 1/1/2011 2/1/2011
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
46.82 5 12/1/2009 4/1/2010
31.53 6 12/1/2011 5/1/2012
22.50 6 8/1/2012 1/1/2013
18.85 3 11/1/2010 1/1/2011
14.91 3 7/1/2010 9/1/2010
7.68 2 3/1/2011 4/1/2011
6.56 4 7/1/2011 10/1/2011
6.30 1 10/1/2009 10/1/2009
1.69 1 3/1/2013 3/1/2013
0.14 1 6/1/2013 6/1/2013
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-9.04 1 10/1/2010 10/1/2010
-9.01 2 5/1/2011 6/1/2011
-7.49 2 4/1/2013 5/1/2013
-7.22 2 5/1/2010 6/1/2010
-2.77 2 6/1/2012 7/1/2012
-2.14 1 11/1/2011 11/1/2011
-1.08 1 2/1/2013 2/1/2013
-0.78 1 7/1/2013 7/1/2013
-0.50 1 11/1/2009 11/1/2009
-0.46 1 2/1/2011 2/1/2011
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable69.5775.0087.80100.00100.00100.00
Average Period Return2.247.0013.7427.3742.8357.06
Average Gain4.4910.4816.1027.3742.8357.06
Average Loss-2.92-3.47-3.30
Best Period16.8037.2249.4165.5680.5485.61
Worst Period-9.04-7.36-7.548.6717.8743.13
Standard Deviation4.759.7213.0613.0816.3211.25
Gain Standard Deviation3.488.6412.1213.0816.3211.25
Loss Standard Deviation2.852.682.50
Sharpe Ratio (1%)0.450.691.012.022.534.89
Average Gain / Average Loss1.543.024.88
Profit / Loss Ratio3.529.0735.14
Downside Deviation (10%)2.382.672.22
Downside Deviation (5%)2.242.251.54
Downside Deviation (0%)2.212.151.39
Sortino Ratio (10%)0.772.165.07
Sortino Ratio (5%)0.962.998.60
Sortino Ratio (0%)1.013.259.87

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.