LJM Partners : LJM Aggressive Strategy

Year-to-Date
14.32%
Sep Performance
0.68%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
30.51%
Sharpe (RFR=1%)
0.72
CAROR
18.45%
Assets
$ 54.0M
Worst DD
-63.83
S&P Correlation
0.28

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 YTD 1yr 3yr 5yr 10yr Since
7/1998
LJM Aggressive Strategy 0.68 4.36 14.32 18.78 51.91 89.21 206.86 2,501.46
S&P 500 1.93 3.96 12.36 16.01 27.54 74.61 64.73 124.43
+/- S&P 500 -1.25 0.41 1.96 2.77 24.37 14.60 142.13 2,377.03

Strategy Description

Summary

LJM aims to provide opportunities for individual clients and institutions to improve risk adjusted portfolio returns through exposure to well-managed alternative strategies. Short Volatility strategies with an emphasis on proper risk management provide an opportunity to earn positive,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
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
QEP
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
50%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
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

Option-writing
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

LJM aims to provide opportunities for individual clients and institutions to improve risk adjusted portfolio returns through exposure to well-managed alternative strategies. Short Volatility strategies with an emphasis on proper risk management provide an opportunity to earn positive, uncorrelated returns over the long term. LJM aims to deliver an uncorrelated, highly liquid alternative investment solution for each client's desired risk/reward profile. LJM also believes in the importance of co-investment and to fully investing our own capital alongside our clients.

Investment Strategy

The LJM Aggressive Strategy manages a dynamic portfolio of long and short S&P index equity options to garner returns through the inefficiencies of options pricing and time decay. The portfolio is non-direction in that LJM does not try to predict market direction. The strategy targets absolute rates of return that are generally uncorrelated with the broader equity markets. This product is suited for investors who understand and accept the risks and potential volatility associated with aggressive returns.

Risk Management

LJM’s Founder and Chairman is Anthony J. Caine. Mr. Caine spent the first 16 years of his professional career in the computer and software industries, including employment at Hewlett-Packard, Apple Computer and Trilogy Development Company. In 1990 Mr. Caine founded Spyglass, Inc. where he served as Spyglass’ first President and CEO. In 1995 Spyglass, Inc. was IPO’d and traded from June 1995 through March 2000 on the NASDAQ Stock Exchange. Since retiring from the software industry in November 1995, Mr. Caine has traded options and managed options accounts on a full-time basis. Mr. Caine received degrees in Economics and Mathematics from Carnegie-Mellon University in 1979.
LJM's President is J. Scott Sykora. Together with Mr. Caine, Mr. Sykora sets strategy for the firm and is responsible for executing the firm’s business plan. Mr. Sykora runs all operations including organizational development, financial reporting, regulatory compliance, marketing/advertising and sales. Mr. Sykora brings 20+ years of leadership experience from companies including Deloitte Consulting and Hewlett-Packard. Mr. Sykora has a bachelor's degree in Engineering Physics from Miami University of Ohio and an MBA from the University of Chicago.

   

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=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
-63.83 2 46 8/1/2008 10/1/2008
-46.54 2 11 5/1/2002 7/1/2002
-40.84 2 13 2/1/2000 4/1/2000
-38.11 2 6 1/1/0001 8/1/1998
-24.25 1 4 8/1/2001 9/1/2001
-19.61 1 7 9/1/2014 10/1/2014
-18.14 1 4 9/1/1999 10/1/1999
-15.69 3 10 2/1/2013 5/1/2013
-15.48 6 3 1/1/2007 7/1/2007
-14.14 1 5 7/1/2015 8/1/2015
-12.39 1 1 12/1/2007 1/1/2008
-2.48 1 1 11/1/2003 12/1/2003
-2.20 1 2 5/1/2016 6/1/2016
-1.93 1 1 6/1/2014 7/1/2014
-1.90 2 1 9/1/2004 11/1/2004
-1.86 1 1 4/1/2006 5/1/2006
-1.47 1 1 1/1/2017 2/1/2017
-0.72 1 1 8/1/2012 9/1/2012
-0.58 1 1 10/1/2005 11/1/2005
-0.09 1 1 11/1/2016 12/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
143.98 16 8/1/2002 11/1/2003
71.18 10 9/1/2011 6/1/2012
69.85 9 1/1/1999 9/1/1999
59.66 8 10/1/2001 5/1/2002
56.11 7 2/1/2008 8/1/2008
51.43 9 1/1/2004 9/1/2004
46.89 2 9/1/1998 10/1/1998
39.71 11 12/1/2004 10/1/2005
36.64 6 5/1/2000 10/1/2000
36.53 5 8/1/2007 12/1/2007
33.88 9 10/1/2010 6/1/2011
28.89 7 1/1/2015 7/1/2015
28.86 4 11/1/1999 2/1/2000
27.98 8 6/1/2006 1/1/2007
27.36 5 11/1/2009 3/1/2010
23.98 2 12/1/2000 1/1/2001
22.89 3 4/1/2009 6/1/2009
22.09 5 12/1/2005 4/1/2006
20.87 3 6/1/2010 8/1/2010
18.22 5 4/1/2001 8/1/2001
17.21 7 11/1/2015 5/1/2016
13.70 5 7/1/2016 11/1/2016
12.81 7 3/1/2017 9/1/2017
11.94 4 3/1/2014 6/1/2014
11.64 1 9/1/2015 9/1/2015
11.19 3 6/1/2013 8/1/2013
11.11 4 11/1/2008 2/1/2009
10.27 2 8/1/2009 9/1/2009
8.91 3 11/1/2013 1/1/2014
8.72 2 8/1/2014 9/1/2014
8.67 5 10/1/2012 2/1/2013
6.90 1 8/1/2012 8/1/2012
4.77 1 6/1/2007 6/1/2007
4.53 1 11/1/2014 11/1/2014
2.85 1 1/1/2017 1/1/2017
0.07 1 3/1/2007 3/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-63.83 2 9/1/2008 10/1/2008
-46.54 2 6/1/2002 7/1/2002
-40.84 2 3/1/2000 4/1/2000
-39.67 2 7/1/2011 8/1/2011
-38.11 2 7/1/1998 8/1/1998
-24.25 1 9/1/2001 9/1/2001
-19.61 1 10/1/2014 10/1/2014
-18.14 1 10/1/1999 10/1/1999
-15.69 3 3/1/2013 5/1/2013
-14.14 1 8/1/2015 8/1/2015
-12.39 1 1/1/2008 1/1/2008
-12.15 2 4/1/2007 5/1/2007
-7.31 2 4/1/2010 5/1/2010
-6.72 1 7/1/2009 7/1/2009
-5.42 1 7/1/2007 7/1/2007
-4.64 2 9/1/2013 10/1/2013
-4.64 1 11/1/2000 11/1/2000
-3.09 1 3/1/2009 3/1/2009
-2.98 1 2/1/2007 2/1/2007
-2.63 2 2/1/2001 3/1/2001
-2.48 1 12/1/2003 12/1/2003
-2.20 1 6/1/2016 6/1/2016
-1.93 1 7/1/2014 7/1/2014
-1.90 2 10/1/2004 11/1/2004
-1.86 1 5/1/2006 5/1/2006
-1.47 1 2/1/2017 2/1/2017
-1.36 1 2/1/2014 2/1/2014
-1.20 1 10/1/2015 10/1/2015
-1.18 2 11/1/1998 12/1/1998
-0.94 1 7/1/2012 7/1/2012
-0.72 1 9/1/2012 9/1/2012
-0.58 1 11/1/2005 11/1/2005
-0.52 1 10/1/2009 10/1/2009
-0.50 1 12/1/2014 12/1/2014
-0.50 1 9/1/2010 9/1/2010
-0.09 1 12/1/2016 12/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods231.00229.00226.00220.00214.00208.00196.00184.00172.00
Percent Profitable78.7981.6679.2078.6486.4584.6288.7897.28100.00
Average Period Return1.915.9611.9823.8435.2149.1181.77121.84174.08
Average Gain4.7211.2520.7935.3844.7661.7093.95125.31174.08
Average Loss-8.55-17.58-21.56-18.62-25.71-20.14-14.59-2.47
Best Period41.7345.4865.47123.94160.07231.85346.12525.75571.05
Worst Period-57.15-63.62-59.81-53.39-40.63-38.07-43.85-4.182.11
Standard Deviation8.8114.8821.6531.7639.4050.5276.80111.60142.90
Gain Standard Deviation4.006.9011.7723.8233.0944.2172.87111.17142.90
Loss Standard Deviation13.0317.8717.4718.4012.8412.598.091.78
Sharpe Ratio (1%)0.210.380.530.720.860.931.031.061.18
Average Gain / Average Loss0.550.640.961.901.743.066.4450.80
Profit / Loss Ratio2.052.853.676.9911.1116.8550.931818.80
Downside Deviation (10%)7.2311.0513.5013.8113.1312.9210.905.184.61
Downside Deviation (5%)7.1510.7512.7812.3711.049.956.481.140.29
Downside Deviation (0%)7.1210.6712.6012.0410.549.275.560.48
Sortino Ratio (10%)0.210.430.701.362.103.016.0619.3731.80
Sortino Ratio (5%)0.260.530.901.853.054.7312.16103.57583.74
Sortino Ratio (0%)0.270.560.951.983.345.2914.71251.86

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 1 11.64 9/2015
Discretionary Trader Index Month 1 11.64 9/2015
Stock Index Trader Index Month 1 11.64 9/2015
Option Strategy Index Month 1 11.64 9/2015
Option Strategy Index Month 3 5.14 7/2015
Stock Index Trader Index Month 5 5.14 7/2015
Discretionary Trader Index Month 10 5.14 7/2015
Option Strategy Index Month 10 1.47 6/2015
Discretionary Trader Index Month 7 3.60 5/2015
Stock Index Trader Index Month 4 3.60 5/2015
Option Strategy Index Month 2 3.60 5/2015
Option Strategy Index Month 4 2.67 4/2015
Stock Index Trader Index Month 6 2.67 4/2015
Discretionary Trader Index Month 10 2.67 4/2015
Discretionary Trader Index Month 8 4.41 3/2015
Option Strategy Index Month 3 4.41 3/2015
Stock Index Trader Index Month 3 4.41 3/2015
Discretionary Trader Index Month 4 6.36 2/2015
Option Strategy Index Month 2 6.36 2/2015
Stock Index Trader Index Month 6 6.36 2/2015
Option Strategy Index Month 6 2.52 1/2015
Stock Index Trader Index Month 8 2.52 1/2015
Stock Index Trader Index Month 5 4.53 11/2014
Option Strategy Index Month 4 4.53 11/2014
Discretionary Trader Index Month 5 4.53 11/2014
Stock Index Trader Index Month 5 4.09 9/2014
Option Strategy Index Month 2 4.09 9/2014
Option Strategy Index Month 7 4.50 8/2014
Stock Index Trader Index Month 10 4.50 8/2014
Stock Index Trader Index Month 8 2.45 6/2014
Option Strategy Index Month 7 2.45 6/2014
Stock Index Trader Index Month 8 2.05 5/2014
Option Strategy Index Month 9 2.05 5/2014
IASG CTA Index Month 9 5.36 3/2014
Option Strategy Index Month 3 5.36 3/2014
Stock Index Trader Index Month 3 5.36 3/2014
Discretionary Trader Index Month 4 5.36 3/2014
Option Strategy Index Month 4 3.71 1/2014
Stock Index Trader Index Month 5 3.71 1/2014
Discretionary Trader Index Month 7 3.71 1/2014
Discretionary Trader Index Month 8 3.89 12/2013
Option Strategy Index Month 5 3.89 12/2013
Stock Index Trader Index Month 6 3.89 12/2013
Option Strategy Index Month 5 3.14 8/2013
Stock Index Trader Index Month 7 3.14 8/2013
Discretionary Trader Index Month 10 3.14 8/2013
Option Strategy Index Month 7 2.22 7/2013
Discretionary Trader Index Month 6 5.46 6/2013
Stock Index Trader Index Month 4 5.46 6/2013
Option Strategy Index Month 2 5.46 6/2013
Option Strategy Index Month 8 1.56 2/2013
Option Strategy Index Month 7 1.84 12/2012
IASG CTA Index Year Rolling 9 45.75 2011 - 2012
Stock Index Trader Index Month 6 1.84 12/2012
Stock Index Trader Index Month 3 4.62 10/2012
Option Strategy Index Month 3 4.62 10/2012
Discretionary Trader Index Month 8 4.62 10/2012
Discretionary Trader Index Month 9 6.90 8/2012
Option Strategy Index Month 3 6.90 8/2012
Stock Index Trader Index Month 2 6.90 8/2012
Option Strategy Index Month 1 6.96 5/2012
Stock Index Trader Index Month 1 6.96 5/2012
Discretionary Trader Index Month 5 6.96 5/2012
Discretionary Trader Index Month 6 7.73 4/2012
Stock Index Trader Index Month 2 7.73 4/2012
Option Strategy Index Month 3 7.73 4/2012
IASG CTA Index Month 9 7.73 4/2012
Option Strategy Index Month 9 3.10 2/2012
Stock Index Trader Index Month 10 3.10 2/2012
Stock Index Trader Index Month 3 5.56 1/2012
Option Strategy Index Month 4 5.56 1/2012
IASG CTA Index Month 6 8.72 12/2011
Option Strategy Index Month 2 8.72 12/2011
Stock Index Trader Index Month 2 8.72 12/2011
Discretionary Trader Index Month 2 8.72 12/2011
Option Strategy Index Month 2 9.72 11/2011
Stock Index Trader Index Month 3 9.72 11/2011
Discretionary Trader Index Month 4 9.72 11/2011
Option Strategy Index Month 8 3.48 10/2011
Discretionary Trader Index Month 9 6.95 9/2011
Option Strategy Index Month 5 6.95 9/2011
Stock Index Trader Index Month 6 6.95 9/2011
Stock Index Trader Index Month 8 1.66 6/2011
IASG CTA Index Month 10 6.71 5/2011
Discretionary Trader Index Month 5 6.71 5/2011
Stock Index Trader Index Month 4 6.71 5/2011
Option Strategy Index Month 2 6.71 5/2011
Option Strategy Index Month 3 4.33 3/2011
Stock Index Trader Index Month 5 4.33 3/2011
Option Strategy Index Month 4 3.94 1/2011
Stock Index Trader Index Month 5 3.94 1/2011
Option Strategy Index Month 4 3.39 12/2010
Stock Index Trader Index Month 7 3.39 12/2010
Stock Index Trader Index Month 5 2.89 11/2010
Discretionary Trader Index Month 5 2.89 11/2010
Option Strategy Index Month 2 2.89 11/2010
Option Strategy Index Month 2 5.62 10/2010
Stock Index Trader Index Month 4 5.62 10/2010
Option Strategy Index Month 1 8.19 8/2010
Stock Index Trader Index Month 3 8.19 8/2010

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