Kingsview Management : Theta Stock Index Strategy

archived programs
Year-to-Date
N / A
Feb Performance
3.99%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
24.23%
Sharpe (RFR=1%)
0.31
CAROR
5.76%
Assets
$ 7.4M
Worst DD
-41.75
S&P Correlation
-0.05

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
10/2008
Theta Stock Index Strategy 3.99 - - - - - 12.58 28.05
S&P 500 1.11 - - - - - 80.04 243.56
+/- S&P 500 2.88 - - - - - -67.46 -215.51

Strategy Description

Summary

The Kingsview Managed Account Program 1 creates put and call option credit spreads with differing strike prices and expiration dates. Using the S&P 500 futures contracts, the program may profit from price differences between the long and short options due to the: • Volatility inherent... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $20.00
Available to US Investors Yes

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 10000 RT/YR/$M
Avg. Margin-to-Equity 40%
Targeted Worst DD 16.62%
Worst Peak-to-Trough -26.58%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
34.00%
Option-spreads
33.00%
Option-writing
33.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Kingsview Managed Account Program 1 creates put and call option credit spreads with differing strike prices and expiration dates. Using the S&P 500 futures contracts, the program may profit from price differences between the long and short options due to the: • Volatility inherent in the market • The spread between the market and option strike prices • The decrease in the time to expiration of the options The CTA purchases out of the money puts with differing strike prices to hedge the downside risk associated with extreme downward events in the market, significant increases in volatility, and to take advantage of time premium decay. Losses can and do occur.

Investment Strategy

The advisor combines a sophisticated limited risk option strategy, Sincethe trading methodology is proprietary and confidential, the description below is of a general nature and is not intended to be exhaustive. The investment objective of the Advisor is to generate a return on investment for its clients by employing a mostly neutral trading strategy. The strategy consists of buying and selling combinations of options on futures contracts, primarily on the S&P 500 futures contract. The Advisor simultaneously buys and sells out-of-the-money put and call options to collect premium, commonly known as selling credit spreads. Profits are derived when the price of the options that have been sold declines more than the price of the options that were bought. Profits or losses are realized when the options are closed or they expire worthless. The Advisor, on behalf of its clients, seeks to generate profits due to the decrease in the value of options as a function of time, rather than through a directional movement of the market. The value of the time component in an option’s price and the rate at which that value declines is fundamental to the portfolio’s composition. A main benefit of this strategy is that the investor’s risk is limited and 3 quantifiable upfront. However, a commission is charged on each leg of the spread, resulting in two commission charges for each spread executed. In formulating options strategies, the Advisor may utilize a variety of options, including, but not limited to, options on: any price, index, spread or other financial indicator or any combination thereof, such as the price or value of an equity security, equity index or futures contract, the price or value appreciation or depreciation of a basket of securities and/or indices, or any other market selected by the Advisor. Option strategies may include, but will not be limited to, investments in call and put options, option spreads, and other option combinations. These option strategies are briefly described below. These options strategies are intended to provide issuer market capitalization and market diversification. The funds deposited in the futures trading accounts to margin futures positions on U.S. exchanges are required to be segregated pursuant to Section 4d(2) of the Commodity Exchange Act as amended (the CEA) and Commodities Futures Trading Commission (“CFTC”) rules thereunder, under which requirement the custodian may invest customer funds only in certain government securities and may not commingle customer funds with the custodian’s funds.

Risk Management

Risk management is a main priority of the Advisor. The Advisor actively manages the level of risk in its portfolio through the buying and selling of options with different expiration dates and strike prices. The primary risk to the client is that of a major volatile event. To hedge this risk the Advisor does NOT sell un-covered (commonly known as naked) options. Since there is a significantly greater probability of a downward volatile move in the market than an upward one, the Advisor places an extra significance on hedging downside market risk. To manage this downside risk the Advisor employs a supplemental hedging strategy that consists of buying outof-the money puts so that there is net positive number of puts. The Advisor’s risk management may also include the realizing of losses to minimize or reduce risk, and the rolling of options positions to other strikes and/or expiration dates.The Advisor may purchase or sell futures contracts on occasion as part of a protective strategy. The Advisor may purchase U.s. Treasury Securities with funds on deposit with the FCM for the purpose of earning interest on those funds. However, like any security, the value of the Treasury securities can fluctuate in value and result in a loss if they must be sold to meet margin requirements.

   

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
-41.75 29 - 6/1/2009 11/1/2011
-1.79 1 1 12/1/2008 1/1/2009
-1.10 1 1 10/1/2008 11/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
35.76 6 12/1/2011 5/1/2012
34.16 5 2/1/2009 6/1/2009
30.81 5 10/1/2009 2/1/2010
27.65 8 7/1/2012 2/1/2013
10.93 4 3/1/2011 6/1/2011
10.35 2 7/1/2010 8/1/2010
9.33 4 10/1/2010 1/1/2011
8.64 1 12/1/2008 12/1/2008
4.25 1 8/1/2009 8/1/2009
0.04 1 10/1/2008 10/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-36.67 5 7/1/2011 11/1/2011
-21.65 4 3/1/2010 6/1/2010
-16.62 1 9/1/2009 9/1/2009
-15.45 1 7/1/2009 7/1/2009
-10.43 1 6/1/2012 6/1/2012
-5.56 1 2/1/2011 2/1/2011
-3.38 1 9/1/2010 9/1/2010
-1.79 1 1/1/2009 1/1/2009
-1.10 1 11/1/2008 11/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods53.0051.0048.0042.0036.0030.0018.00
Percent Profitable69.8160.7858.3350.0036.1156.6727.78
Average Period Return0.712.183.181.81-1.61-0.83-3.98
Average Gain4.2910.4813.4215.5311.107.299.61
Average Loss-7.55-10.69-11.16-11.92-8.79-11.45-9.20
Best Period19.1329.5435.7647.9031.4422.8212.35
Worst Period-17.36-28.86-36.28-32.11-23.54-24.03-29.17
Standard Deviation6.9912.9915.2717.0112.1211.9810.85
Gain Standard Deviation3.896.908.9610.908.647.174.68
Loss Standard Deviation5.389.079.598.896.627.937.27
Sharpe Ratio (1%)0.090.150.180.05-0.26-0.24-0.65
Average Gain / Average Loss0.570.981.201.301.260.641.04
Profit / Loss Ratio1.311.521.681.300.710.830.40
Downside Deviation (10%)5.229.2910.6713.4614.1815.8722.38
Downside Deviation (5%)5.088.819.6511.009.7210.1911.98
Downside Deviation (0%)5.048.699.4010.428.739.059.82
Sortino Ratio (10%)0.060.100.07-0.24-0.65-0.70-0.88
Sortino Ratio (5%)0.120.220.280.07-0.32-0.28-0.59
Sortino Ratio (0%)0.140.250.340.17-0.18-0.09-0.41

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.