Kawaller & Company LLC : Long Option Convergence Trading Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Sep Performance -1.62% Min Investment $ 25k Mgmt. Fee 2.00% Perf. Fee 10.00% Annualized Vol 48.46% Sharpe (RFR=1%) 0.36 CAROR 8.17% Assets $ 2.2M Worst DD -56.80 S&P Correlation -0.12 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 Sep Qtr 2020 1yr 3yr 5yr 10yr Since7/1999 Long Option Convergence Trading -1.62 - - - - - -2.50 161.78 S&P 500 -7.18 - - - - - 8.68 179.76 +/- S&P 500 5.56 - - - - - -11.19 -17.98 Strategy Description Summary Understanding our approach requires an appreciation of the difference between the spot price (relevant for imminent delivery) for any good or commodity and a futures price (relevant for delivery at some prescribed time in the future) for that same good. Ultimately, when futures contracts... Read More Account & Fees Type Fund Minimum Investment $ 25k Trading Level Incremental Increase $ 10k CTA Max Funding Factor Management Fee 2.00% Performance Fee 10.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 500 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD -5.00% Worst Peak-to-Trough 50.68% Sector Focus Financial & Metals Traders Holding Periods Over 12 Months 5.00% 4-12 Months 15.00% 1-3 Months 25.00% 1-30 Days 55.00% Intraday 0% Decision-Making Discretionary 50.00% Systematic 50.00% Strategy Option-purchasing 100.00% Composition Interest Rates 100.00% Summary Understanding our approach requires an appreciation of the difference between the spot price (relevant for imminent delivery) for any good or commodity and a futures price (relevant for delivery at some prescribed time in the future) for that same good. Ultimately, when futures contracts expire, these two prices must necessarily converge. While this price convergence may be either a cost or benefit to futures traders, we restrict our activities to buying options on futures contracts – but only when this convergence effect works in our favor to a greater extent than option time decay works against us. While purchasing options has the attribute of offering the potential of unlimited gain with limited risk, these options have the added benefit of necessarily appreciating if held to their expirations when underlying spot prices are stable. This is a condition that can be determined at the point of purchase, and we believe it to be an edge that is available only in connection with the market for options on futures contracts.Investment StrategyWhile the above philosophy dictates the allowable portfolio holdings, the size of our positioning is discretionary. We employ a systematic process of adding to our positions when eligible options become cheaper and reducing our holdings when these same options become more expensive. This process enforces a discipline of buying low and selling high. Most funds achieve leverage through debt.Risk ManagementA purchased option offers the prospect of unlimited gains and limited losses, equal to the original price paid for the option. Thus, given that our portfolio is restricted to long options, the amount at risk at any point in time is the value of the options held. Our “value at risk” is truly the amount of option premium we have expended. This is a concrete, real number, as opposed to a theoretical abstraction that changes with each and every adjustment to the portfolio. We necessarily conserve the vast majority of our capital at any point in time, to assure (a) that the magnitude of those losses will be contained and (b) that we’ll maintain sufficient capital to continue trading after these current losses are realized. 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 -56.80 22 6 1/1/0001 4/1/2001 -50.68 47 - 3/1/2004 2/1/2008 -35.47 5 2 10/1/2001 3/1/2002 -25.32 2 8 5/1/2003 7/1/2003 -18.10 2 1 9/1/2002 11/1/2002 -3.88 1 1 12/1/2002 1/1/2003 Show More Consecutive Gains Run-up Length (Mos.) Start End 320.03 6 4/1/2002 9/1/2002 144.72 4 7/1/2001 10/1/2001 65.59 2 1/1/2000 2/1/2000 64.48 1 10/1/1999 10/1/1999 56.26 5 6/1/2000 10/1/2000 45.88 5 3/1/2008 7/1/2008 35.03 1 12/1/2002 12/1/2002 33.54 4 12/1/2003 3/1/2004 31.17 4 2/1/2003 5/1/2003 28.47 4 3/1/2005 6/1/2005 24.29 4 3/1/2007 6/1/2007 23.01 2 8/1/2003 9/1/2003 21.26 2 12/1/2006 1/1/2007 16.28 10 1/1/2010 10/1/2010 14.41 2 7/1/2004 8/1/2004 10.49 5 7/1/2009 11/1/2009 8.30 5 5/1/2006 9/1/2006 7.01 2 4/1/2009 5/1/2009 5.04 2 1/1/2002 2/1/2002 3.91 3 4/1/2011 6/1/2011 3.42 1 8/1/2005 8/1/2005 2.51 1 5/1/2001 5/1/2001 1.97 2 1/1/2009 2/1/2009 1.82 1 8/1/2011 8/1/2011 1.08 1 10/1/2004 10/1/2004 0.97 1 12/1/2010 12/1/2010 Show More Consecutive Losses Run-up Length (Mos.) Start End -55.31 3 7/1/1999 9/1/1999 -52.87 6 11/1/2000 4/1/2001 -38.31 8 7/1/2007 2/1/2008 -38.10 3 4/1/2004 6/1/2004 -34.56 3 3/1/2000 5/1/2000 -31.02 5 8/1/2008 12/1/2008 -26.36 2 11/1/1999 12/1/1999 -25.32 1 3/1/2002 3/1/2002 -25.32 2 6/1/2003 7/1/2003 -21.17 8 9/1/2005 4/1/2006 -18.17 2 10/1/2003 11/1/2003 -18.10 2 10/1/2002 11/1/2002 -17.75 2 11/1/2001 12/1/2001 -12.46 4 11/1/2004 2/1/2005 -10.42 1 7/1/2005 7/1/2005 -6.33 1 9/1/2004 9/1/2004 -5.81 2 10/1/2006 11/1/2006 -5.57 1 2/1/2007 2/1/2007 -5.39 3 1/1/2011 3/1/2011 -3.88 1 1/1/2003 1/1/2003 -3.40 1 12/1/2009 12/1/2009 -2.42 1 11/1/2010 11/1/2010 -1.62 1 9/1/2011 9/1/2011 -1.00 1 7/1/2011 7/1/2011 -0.72 1 6/1/2009 6/1/2009 -0.36 1 3/1/2009 3/1/2009 -0.30 1 6/1/2001 6/1/2001 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods147.00145.00142.00136.00130.00124.00112.00100.0088.00 Percent Profitable54.4255.1757.0454.4153.0857.2650.0052.0061.36 Average Period Return1.565.4612.3326.9950.6875.81108.52110.02108.94 Average Gain9.2820.3334.3663.90111.96146.14231.79226.84190.92 Average Loss-7.67-12.83-16.92-17.07-18.63-18.41-14.75-16.54-21.26 Best Period64.48130.33320.02411.12633.49822.04847.24739.41508.49 Worst Period-40.36-55.31-52.87-51.18-47.33-55.85-44.39-49.25-49.58 Standard Deviation13.9928.3448.0081.42140.35184.58198.69181.44157.71 Gain Standard Deviation13.0129.0852.9295.32170.65219.17220.46186.58151.57 Loss Standard Deviation8.4612.1012.4413.1412.0811.1211.4510.6014.76 Sharpe Ratio (1%)0.110.180.250.320.350.400.530.580.66 Average Gain / Average Loss1.211.582.033.746.017.9415.7113.718.98 Profit / Loss Ratio1.451.952.704.476.8010.6315.7114.8614.26 Downside Deviation (10%)7.8612.3815.0717.3419.8020.1823.2727.7432.73 Downside Deviation (5%)7.7111.8913.9915.0416.0515.1714.9216.0218.72 Downside Deviation (0%)7.6811.7713.7314.5015.1714.0213.1613.5716.01 Sortino Ratio (10%)0.150.340.651.272.183.253.993.192.48 Sortino Ratio (5%)0.190.440.851.733.064.877.076.615.55 Sortino Ratio (0%)0.200.460.901.863.345.418.258.116.80 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