LEVEX Capital Management Inc. : IPCVB

archived programs
Year-to-Date
N / A
Jun Performance
18.98%
Min Investment
$ 15k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
63.66%
Sharpe (RFR=1%)
0.59
CAROR
-
Assets
$ 15k
Worst DD
-37.41
S&P Correlation
-0.14

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
5/2008
IPCVB 18.98 - - - - - - 24.70
S&P 500 0.02 - - - - - - 131.09
+/- S&P 500 18.96 - - - - - - -106.39

Strategy Description

Summary

-There are many trading advisors and trading systems which use selling premium as their primary trading strategy. The IPCVB sells credit spreads on the SP 500 future options as well but combine this strategy with a fully systematic technical system which tries to identify “range break... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 15k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $18.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 7 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 15.00%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Fundamental
10.00%
Option-writing
70.00%
Trend-following
20.00%
Strategy Pie Chart

Summary

-There are many trading advisors and trading systems which use selling premium as their primary trading strategy. The IPCVB sells credit spreads on the SP 500 future options as well but combine this strategy with a fully systematic technical system which tries to identify “range break out” and take a future position in the MINI SP 500 as a way to protect the credit spreads as well as enhance returns.

Investment Strategy

The credit spreads are initiated based on both fundamental and technical analysis trying to predict trading range or trading bands 30-45 days ahead. The spreads use options on the BIG SP 500 as well as the mini SP 500. The credit spreads are initiated based on a few factors: 1. Time left to expiration 2. Proprietary technical indicator suggesting extreme overbought/oversold levels, hence a good time to sell option premium 3. Technical and fundamental analysis to project trading bands 30-45 days ahead 4. Volatility It is then uses the technical system to initiate long or short positions in the MINI SP futures, when and IF a signal is generated. This technical system uses an indicator which weighs in momentum, volume, price and volatility to generate buy and sell signals. The profitability of a trading system consisting of selling (“writing”) option credit spreads on an index, as this trading program would do on behalf of Clients, depends upon the subsequent price movement of the index. A credit spread consists of selling or “writing” an option and also purchasing another option on the same underlying security. The option, which is written, is sold at a higher price than the cost of the option that is purchased, thereby creating a credit to the entity doing the spread. If LEVEX writes a call credit spread on an index and the spread is not closed out before its expiration, the strategy will be profitable if the index is below the strike price of the calls which were “written” when the spread expires. If the index is above the strike price of the calls which were “written” when the spread expires, the strategy may produce a loss. The loss will be limited to the amount of the difference between the strike prices of the two options in the spread. If LEVEX writes a put spread on an index and the spread is not closed out before its expiration, the strategy will be profitable if the index is above the strike price of the put which was “written” when the spread expires. If the index is below the strike price of the puts when the put which was “written” expires, the strategy may produce a loss. The loss will be limited to the amount of the difference between the strike prices of the two options in the spread. It is the intention of LEVEX to write mainly “out-of-the-money” credit spreads, which means that it will write puts which have strike prices below the current price of the index and/or write calls which have strike prices above the current price of the index. Thus, if LEVEX has written both put and call spreads and if the index remains near its current price range (trading bands) until the options expire, both the put spread and the call spread will be profitable. If the index moves up above the strike price of the calls, which were written, the call spread may be unprofitable. If the index moves down below the strike price of the puts, which were written, the put spread may be unprofitable. LEVEX believes that the addition of a systematic, range break out trading system using the Mini SP future program allows for this trading system to be profitable not only when the market is range bound but also when volatility increases and the range is broken.

Risk Management

Options are written as SPREADS, hence their is a maximum risk on each option spread position. Each future position entered has an immediate stop loss placed

   

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
-37.41 1 - 12/1/2008 1/1/2009
-12.16 1 1 6/1/2008 7/1/2008
-4.06 1 1 8/1/2008 9/1/2008
-2.56 1 1 1/1/0001 5/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
55.71 2 2/1/2009 3/1/2009
27.03 3 10/1/2008 12/1/2008
19.79 1 8/1/2008 8/1/2008
18.98 1 6/1/2009 6/1/2009
2.97 1 6/1/2008 6/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-37.41 1 1/1/2009 1/1/2009
-16.42 2 4/1/2009 5/1/2009
-12.16 1 7/1/2008 7/1/2008
-4.06 1 9/1/2008 9/1/2008
-2.56 1 5/1/2008 5/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable57.1450.0055.56
Average Period Return3.215.318.01
Average Gain14.7920.1019.27
Average Loss-12.22-9.48-6.06
Best Period41.0441.4528.24
Worst Period-37.41-29.93-11.67
Standard Deviation18.3819.9614.84
Gain Standard Deviation12.3415.328.10
Loss Standard Deviation12.8210.794.95
Sharpe Ratio (1%)0.170.250.51
Average Gain / Average Loss1.212.123.18
Profit / Loss Ratio1.612.123.97
Downside Deviation (10%)11.2710.296.37
Downside Deviation (5%)11.129.795.23
Downside Deviation (0%)11.089.674.95
Sortino Ratio (10%)0.250.400.87
Sortino Ratio (5%)0.280.521.44
Sortino Ratio (0%)0.290.551.62

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.