Junzi Capital Engineering, LLC : Tang Gamma Opportunity (Aggressive) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since10/2009 Tang Gamma Opportunity (Aggressive) -0.78 - - - - - 52.34 163.67 S&P 500 4.95 - - - - - 70.19 258.74 +/- S&P 500 -5.73 - - - - - -17.86 -95.08 Strategy Description SummaryThis 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% Composition Energy 35.00% Grains 25.00% Softs 25.00% Precious Metals 5.00% Livestock 5.00% Stock Indices 5.00% SummaryThis 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 StrategyA 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 ManagementInvestments 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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. x {{title}} x {{title}} Add Cancel