LJM Partners : LJM Moderately Aggressive Strategy

archived programs
Year-to-Date
N / A
Jan Performance
-4.45%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.95%
Sharpe (RFR=1%)
0.93
CAROR
17.04%
Assets
$ 366.0M
Worst DD
-43.10
S&P Correlation
0.22

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
4/2003
LJM Moderately Aggressive Strategy -4.45 -2.70 - 9.92 57.85 58.90 219.90 932.45
S&P 500 5.62 9.65 - 22.66 40.12 86.59 102.74 188.59
+/- S&P 500 -10.07 -12.35 - -12.75 17.73 -27.69 117.16 743.86

Strategy Description

Summary

The LJM Moderately Aggressive Strategy manages a dynamic, moderately hedged portfolio of long and short S&P index equity options to garner returns through the inefficiencies of options pricing and time decay. The strategy targets absolute rates of return with an annualized target... 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
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

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

The LJM Moderately Aggressive Strategy manages a dynamic, moderately hedged portfolio of long and short S&P index equity options to garner returns through the inefficiencies of options pricing and time decay. The strategy targets absolute rates of return with an annualized target of 18-24%. This product is suited for investors who understand and accept the risks and potential volatility associated with aggressive returns.

Investment Strategy

Annualized profit objectives are targeted at 24-28%. Given the potential variability in short term performance the moderately aggressive investor should have a two to four year timeline or longer.

Risk Management

The trading strategy for the Moderately Aggressive adds hedging to reduce risk and to limit exposure to gap down movements of 20% or less in the underlying S&P index. The hedging strategy will include long puts (i.e. put spreads) with the goal of reducing maximum capital loss relative to purely unhedged positions.

   

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
-43.10 2 29 8/1/2008 10/1/2008
-31.56 2 8 6/1/2011 8/1/2011
-15.87 1 7 9/1/2014 10/1/2014
-14.13 3 10 2/1/2013 5/1/2013
-12.42 1 1 12/1/2007 1/1/2008
-12.18 3 5 1/1/2007 4/1/2007
-8.74 1 4 7/1/2015 8/1/2015
-4.45 1 - 12/1/2017 1/1/2018
-2.01 1 1 4/1/2006 5/1/2006
-1.87 1 1 11/1/2003 12/1/2003
-1.78 1 2 5/1/2016 6/1/2016
-1.54 1 2 9/1/2004 10/1/2004
-1.24 1 1 6/1/2014 7/1/2014
-1.14 1 1 1/1/2017 2/1/2017
-0.73 1 1 6/1/2012 7/1/2012
-0.73 1 1 8/1/2012 9/1/2012
-0.67 1 1 10/1/2005 11/1/2005
-0.37 1 1 12/1/2012 1/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
61.06 10 9/1/2011 6/1/2012
52.69 7 2/1/2008 8/1/2008
36.81 5 8/1/2007 12/1/2007
36.69 9 1/1/2004 9/1/2004
29.37 12 11/1/2004 10/1/2005
25.52 9 11/1/2014 7/1/2015
24.46 8 6/1/2006 1/1/2007
24.45 8 4/1/2003 11/1/2003
21.74 9 10/1/2010 6/1/2011
17.81 5 12/1/2005 4/1/2006
16.56 5 11/1/2009 3/1/2010
16.36 10 3/1/2017 12/1/2017
15.06 3 6/1/2010 8/1/2010
13.29 4 11/1/2008 2/1/2009
13.26 3 4/1/2009 6/1/2009
13.04 7 7/1/2016 1/1/2017
12.70 7 11/1/2015 5/1/2016
9.92 3 6/1/2013 8/1/2013
9.84 4 3/1/2014 6/1/2014
7.41 1 9/1/2015 9/1/2015
7.19 2 5/1/2007 6/1/2007
7.19 3 11/1/2013 1/1/2014
6.64 2 8/1/2014 9/1/2014
5.76 1 8/1/2012 8/1/2012
5.54 3 10/1/2012 12/1/2012
5.13 2 8/1/2009 9/1/2009
1.31 1 2/1/2013 2/1/2013
0.04 1 3/1/2007 3/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-43.10 2 9/1/2008 10/1/2008
-31.56 2 7/1/2011 8/1/2011
-15.87 1 10/1/2014 10/1/2014
-14.13 3 3/1/2013 5/1/2013
-12.42 1 1/1/2008 1/1/2008
-9.54 1 4/1/2007 4/1/2007
-8.74 1 8/1/2015 8/1/2015
-6.59 2 4/1/2010 5/1/2010
-5.71 1 7/1/2007 7/1/2007
-4.45 1 1/1/2018 1/1/2018
-4.23 1 7/1/2009 7/1/2009
-4.01 2 9/1/2013 10/1/2013
-2.96 1 2/1/2007 2/1/2007
-2.28 1 3/1/2009 3/1/2009
-2.01 1 5/1/2006 5/1/2006
-1.87 1 12/1/2003 12/1/2003
-1.78 1 6/1/2016 6/1/2016
-1.54 1 10/1/2004 10/1/2004
-1.24 1 7/1/2014 7/1/2014
-1.20 1 2/1/2014 2/1/2014
-1.14 1 2/1/2017 2/1/2017
-0.74 1 10/1/2015 10/1/2015
-0.73 1 9/1/2012 9/1/2012
-0.73 1 7/1/2012 7/1/2012
-0.67 1 11/1/2005 11/1/2005
-0.37 1 1/1/2013 1/1/2013
-0.26 1 9/1/2010 9/1/2010
-0.10 1 10/1/2009 10/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods178.00176.00173.00167.00161.00155.00143.00131.00119.00
Percent Profitable80.9086.3683.2485.0391.3094.1998.60100.00100.00
Average Period Return1.474.579.2318.5627.5837.4158.3079.47104.42
Average Gain3.117.2613.7723.9031.0240.0459.3479.47104.42
Average Loss-5.48-12.44-13.28-11.77-8.56-5.34-14.61
Best Period14.6027.4346.5575.5978.8187.09148.23206.60339.48
Worst Period-34.69-42.48-35.54-29.79-16.85-10.91-25.3024.4526.07
Standard Deviation5.189.1913.1018.6820.2825.3837.4246.3260.40
Gain Standard Deviation2.244.677.5214.3017.6223.7136.6346.3260.40
Loss Standard Deviation7.8012.2511.619.245.904.6415.11
Sharpe Ratio (1%)0.270.470.670.941.291.391.481.631.64
Average Gain / Average Loss0.570.581.042.033.637.504.06
Profit / Loss Ratio2.413.705.1511.5338.07121.64286.32
Downside Deviation (10%)4.236.727.967.405.174.323.880.14
Downside Deviation (5%)4.156.457.326.063.412.072.44
Downside Deviation (0%)4.126.387.175.753.031.662.14
Sortino Ratio (10%)0.250.500.851.833.876.2810.97539.20
Sortino Ratio (5%)0.330.671.192.907.6517.1422.66
Sortino Ratio (0%)0.360.721.293.239.1122.4827.24

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 3 1.64 6/2017
Stock Index Trader Index Month 8 1.64 6/2017
Option Strategy Index Month 5 1.67 5/2017
Stock Index Trader Index Month 10 1.67 5/2017
Stock Index Trader Index Month 7 1.77 4/2017
Option Strategy Index Month 4 1.77 4/2017
Stock Index Trader Index Month 4 2.63 3/2017
Option Strategy Index Month 2 2.63 3/2017
Discretionary Trader Index Month 7 2.63 3/2017
Stock Index Trader Index Month 7 2.16 1/2017
Option Strategy Index Month 2 2.16 1/2017
IASG CTA Index Year Rolling 8 19.03 2015 - 2016
IASG CTA Index 5 Year Rolling 9 89.45 2011 - 2016
Option Strategy Index Month 10 0.64 11/2016
Stock Index Trader Index Month 7 2.13 10/2016
Option Strategy Index Month 3 2.13 10/2016
Option Strategy Index Month 3 2.33 9/2016
Discretionary Trader Index Month 9 2.33 9/2016
Stock Index Trader Index Month 9 2.33 9/2016
Discretionary Trader Index Month 9 3.71 8/2016
IASG CTA Index Month 8 3.71 8/2016
Stock Index Trader Index Month 2 3.71 8/2016
Option Strategy Index Month 2 3.71 8/2016
Option Strategy Index Month 5 1.31 7/2016
Stock Index Trader Index Month 10 1.31 7/2016
IASG CTA Index Month 3 3.65 5/2016
Option Strategy Index Month 2 3.65 5/2016
Stock Index Trader Index Month 1 3.65 5/2016
Discretionary Trader Index Month 4 3.65 5/2016
Option Strategy Index Month 5 0.71 4/2016
Stock Index Trader Index Month 6 0.71 4/2016
Discretionary Trader Index Month 9 1.39 3/2016
Option Strategy Index Month 5 1.39 3/2016
Stock Index Trader Index Month 4 1.39 3/2016
Stock Index Trader Index Month 4 2.55 2/2016
Option Strategy Index Month 3 2.55 2/2016
Option Strategy Index Month 3 0.85 1/2016
Stock Index Trader Index Month 5 0.85 1/2016
Option Strategy Index Month 5 1.09 12/2015
Stock Index Trader Index Month 10 1.09 12/2015
IASG CTA Index Year Rolling 9 20.72 2014 - 2015
Stock Index Trader Index Month 9 1.79 11/2015
Option Strategy Index Month 4 1.79 11/2015
Option Strategy Index Month 9 -0.74 10/2015
Option Strategy Index Month 3 7.28 9/2015
Stock Index Trader Index Month 2 7.28 9/2015
Discretionary Trader Index Month 5 7.28 9/2015
Option Strategy Index Month 5 3.19 7/2015
Stock Index Trader Index Month 10 3.19 7/2015
Stock Index Trader Index Month 9 2.36 5/2015
Option Strategy Index Month 5 2.36 5/2015
Option Strategy Index Month 6 1.90 4/2015
Stock Index Trader Index Month 9 1.90 4/2015
Option Strategy Index Month 5 3.26 3/2015
Stock Index Trader Index Month 4 3.26 3/2015
Option Strategy Index Month 5 4.95 2/2015
Discretionary Trader Index Month 8 4.95 2/2015
Stock Index Trader Index Month 9 4.95 2/2015
Stock Index Trader Index Month 10 2.11 1/2015
Option Strategy Index Month 8 2.11 1/2015
Option Strategy Index Month 9 0.11 12/2014
Discretionary Trader Index Month 8 3.90 11/2014
Option Strategy Index Month 5 3.90 11/2014
Stock Index Trader Index Month 6 3.90 11/2014
Stock Index Trader Index Month 8 3.03 9/2014
Option Strategy Index Month 4 3.03 9/2014
Option Strategy Index Month 9 3.53 8/2014
Stock Index Trader Index Month 10 1.84 6/2014
Option Strategy Index Month 8 1.84 6/2014
Stock Index Trader Index Month 10 2.00 5/2014
Option Strategy Index Month 4 4.95 3/2014
Discretionary Trader Index Month 5 4.95 3/2014
Stock Index Trader Index Month 5 4.95 3/2014
Discretionary Trader Index Month 9 3.10 1/2014
Stock Index Trader Index Month 6 3.10 1/2014
Option Strategy Index Month 5 3.10 1/2014
Option Strategy Index Month 6 3.21 12/2013
Stock Index Trader Index Month 8 3.21 12/2013
Discretionary Trader Index Month 10 3.21 12/2013
Stock Index Trader Index Month 9 2.54 8/2013
Option Strategy Index Month 7 2.54 8/2013
Option Strategy Index Month 9 1.92 7/2013
Discretionary Trader Index Month 7 5.44 6/2013
Stock Index Trader Index Month 5 5.44 6/2013
Option Strategy Index Month 3 5.44 6/2013
Stock Index Trader Index Month 10 1.37 12/2012
Stock Index Trader Index Month 5 3.79 10/2012
Option Strategy Index Month 6 3.79 10/2012
Option Strategy Index Month 5 5.75 8/2012
Stock Index Trader Index Month 4 5.75 8/2012
Option Strategy Index Month 3 5.52 5/2012
Stock Index Trader Index Month 3 5.52 5/2012
Discretionary Trader Index Month 7 5.52 5/2012
Option Strategy Index Month 5 6.01 4/2012
Stock Index Trader Index Month 5 6.01 4/2012
Discretionary Trader Index Month 9 6.01 4/2012
Option Strategy Index Month 9 4.19 1/2012
Stock Index Trader Index Month 5 4.19 1/2012
Stock Index Trader Index Month 4 6.79 12/2011
Option Strategy Index Month 5 6.79 12/2011

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