Liberty Funds Group, Inc : Liberty Diversified Option Strategy

archived programs
Year-to-Date
N / A
Nov Performance
-0.94%
Min Investment
$ 750k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.54%
Sharpe (RFR=0.50%)
-0.32
CAROR
-3.78%
Assets
$ 0k
Worst DD
-35.25
S&P Correlation
0.16

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
1/2009
Liberty Diversified Option Strategy -0.94 -15.18 - -14.69 -14.20 -31.73 - -20.39
S&P 500 2.45 3.20 - 14.49 65.80 88.68 - 150.31
+/- S&P 500 -3.39 -18.38 - -29.18 -80.00 -120.41 - -170.69

Strategy Description

Summary

Liberty Funds Group, Inc. was founded in 1981 and has focused on alternative investment strategies throughout its history. In 2003, after two decades of allocating to outside managers, the decision was made to begin developing its own CTA strategies. Today, in addition to this diversified... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 750k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Accredited Investors
Lock-up Period
1

Trading

Trading Frequency
2900 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
3.86%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
100.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Option-writing
60.00%
Trend-following
40.00%
Strategy Pie Chart

Composition

Energy
20.00%
Grains
20.00%
Currency Futures
10.00%
Stock Indices
10.00%
Interest Rates
10.00%
Precious Metals
10.00%
Softs
10.00%
Livestock
10.00%
Composition Pie Chart

Summary

Liberty Funds Group, Inc. was founded in 1981 and has focused on alternative investment strategies throughout its history. In 2003, after two decades of allocating to outside managers, the decision was made to begin developing its own CTA strategies. Today, in addition to this diversified option strategy, LFG operates a globally diversified trend following strategy, a short term volatility based strategy, a term structure strategy, and a commodity specific managed futures trading strategy.

Investment Strategy

In trading customer assets, LFG will employ an actively managed strategy that captures returns for a diversified portfolio of commodity and financial futures and options on those futures based on a quantitative investment approach.

The program takes advantage of two market truths. Trend following strategies generate more losing than winning signals and time value as a component of option pricing declines sharply in the weeks ahead of a particular option’s expiration. Opportunities may necessitate long or short positions to be taken in an individual commodity or financial markets or options on those markets. The resulting trades have an expected duration of 10 to 40 days. The strategy exhibits low correlation trend following strategies.

The trading program to be utilized by LFG is based on research conducted on several commodity and financial markets. The program focuses investment activity on 13 or so markets that pass a liquidity screen. The key sectors that the program currently may trade include energy, base metals, precious metals, raw materials, grains, softs, livestock, currencies, interest rates, and stock indices.

Risk Management

The strategy employs unique risk management techniques attempting to avoid the pitfalls associated with other option trading strategies designed to capture premium income.

   

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=0.50%)
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=0.50%)
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
-35.25 54 - 5/1/2010 11/1/2014
-3.85 2 2 4/1/2009 6/1/2009
-1.12 1 1 1/1/2009 2/1/2009
-0.16 1 1 1/1/2010 2/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
23.44 7 7/1/2009 1/1/2010
7.52 1 4/1/2012 4/1/2012
6.23 2 10/1/2012 11/1/2012
5.76 1 2/1/2012 2/1/2012
5.63 1 8/1/2014 8/1/2014
4.53 4 3/1/2014 6/1/2014
4.33 3 10/1/2011 12/1/2011
4.08 2 4/1/2011 5/1/2011
3.59 1 11/1/2010 11/1/2010
3.00 3 3/1/2010 5/1/2010
2.75 3 6/1/2012 8/1/2012
1.88 2 11/1/2013 12/1/2013
1.54 1 7/1/2011 7/1/2011
1.44 2 3/1/2009 4/1/2009
1.33 1 2/1/2013 2/1/2013
0.61 1 6/1/2013 6/1/2013
0.43 1 1/1/2009 1/1/2009
0.38 1 9/1/2010 9/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.18 3 9/1/2014 11/1/2014
-12.54 4 12/1/2010 3/1/2011
-11.68 2 8/1/2011 9/1/2011
-8.92 3 6/1/2010 8/1/2010
-7.41 3 3/1/2013 5/1/2013
-6.00 4 7/1/2013 10/1/2013
-4.94 2 1/1/2014 2/1/2014
-4.73 1 10/1/2010 10/1/2010
-4.58 2 12/1/2012 1/1/2013
-4.45 1 5/1/2012 5/1/2012
-4.43 1 7/1/2014 7/1/2014
-3.85 2 5/1/2009 6/1/2009
-1.16 1 6/1/2011 6/1/2011
-1.12 1 2/1/2009 2/1/2009
-1.10 1 1/1/2012 1/1/2012
-0.92 1 3/1/2012 3/1/2012
-0.16 1 2/1/2010 2/1/2010
-0.07 1 9/1/2012 9/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods71.0069.0066.0060.0054.0048.0036.0024.00
Percent Profitable52.1147.8339.3936.6737.0429.1711.1125.00
Average Period Return-0.27-0.72-0.92-2.03-5.06-7.13-9.31-13.84
Average Gain2.064.518.5913.039.273.523.263.72
Average Loss-2.80-5.51-7.10-10.76-13.49-11.52-10.88-19.69
Best Period7.5214.3522.2926.8718.4710.343.798.36
Worst Period-11.65-15.18-14.27-20.37-26.22-26.60-21.03-28.24
Standard Deviation3.336.188.9813.2212.549.536.9512.41
Gain Standard Deviation1.983.745.997.785.073.240.493.05
Loss Standard Deviation2.573.473.475.586.347.565.627.79
Sharpe Ratio (1%)-0.10-0.16-0.16-0.23-0.52-0.96-1.77-1.44
Average Gain / Average Loss0.740.821.211.210.690.310.300.19
Profit / Loss Ratio0.800.750.790.700.400.130.040.06
Downside Deviation (10%)2.835.467.9113.3217.5219.7725.9937.42
Downside Deviation (5%)2.654.846.4910.3312.8913.0114.1221.62
Downside Deviation (0%)2.614.696.149.6111.8011.5511.5118.27
Sortino Ratio (10%)-0.24-0.36-0.43-0.53-0.72-0.88-0.96-0.95
Sortino Ratio (5%)-0.13-0.20-0.22-0.29-0.51-0.70-0.87-0.83
Sortino Ratio (0%)-0.10-0.15-0.15-0.21-0.43-0.62-0.81-0.76

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 9 -3.08 10/2014
Option Strategy Index Month 2 5.63 8/2014
Option Strategy Index Month 6 4.20 5/2014
Option Strategy Index Month 8 1.62 11/2013
Diversified Trader Index Month 9 4.52 10/2012
Systematic Trader Index Month 7 4.52 10/2012
Option Strategy Index Month 4 4.52 10/2012
Option Strategy Index Month 10 1.34 7/2012
Option Strategy Index Month 4 7.52 4/2012
Systematic Trader Index Month 5 7.52 4/2012
Diversified Trader Index Month 4 7.52 4/2012
Option Strategy Index Month 2 5.76 2/2012
Option Strategy Index Month 7 1.54 7/2011
Option Strategy Index Month 8 3.15 5/2011
IASG CTA Index Month 10 3.59 11/2010
Systematic Trader Index Month 7 3.59 11/2010
Option Strategy Index Month 1 3.59 11/2010
Diversified Trader Index Month 5 3.59 11/2010
Option Strategy Index Month 7 0.39 5/2010
Option Strategy Index Month 6 1.30 4/2010
Option Strategy Index Month 8 1.28 3/2010
Option Strategy Index Month 5 3.62 10/2009
Option Strategy Index Month 4 4.44 9/2009
Option Strategy Index Month 5 5.66 8/2009
Option Strategy Index Month 9 0.94 7/2009
Option Strategy Index Month 8 1.19 3/2009

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.