LJM Partners : LJM Preservation & Growth Strategy

archived programs
Year-to-Date
N / A
Jan Performance
-4.74%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
0%
Annualized Vol
8.94%
Sharpe (RFR=1%)
0.79
CAROR
7.97%
Assets
$ 46.0M
Worst DD
-12.65
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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
5/2006
LJM Preservation & Growth Strategy -4.74 -4.27 - 2.52 31.07 23.63 105.97 146.16
S&P 500 5.62 9.65 - 22.66 40.12 86.59 102.74 108.35
+/- S&P 500 -10.36 -13.92 - -20.14 -9.05 -62.96 3.24 37.82

Strategy Description

Summary

The LJM Preservation & Growth Strategy manages a dynamic, strongly hedged 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 positioned to maximize preservation of capital during equity... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
0%
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
1500 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
Worst Peak-to-Trough
-6.97%
Sector Focus
Stock Index 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
100.00%
Systematic
0%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The LJM Preservation & Growth Strategy manages a dynamic, strongly hedged 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 positioned to maximize preservation of capital during equity market selloffs, and therefore, the portfolio is positioned to accept greater exposure to strong bull markets. LJM introduced the LJM Preservation and Growth Strategy in 2006 to target a consistent, moderate rate of return of 8-12% with low to slightly negative correlation to the S&P equity index.

Investment Strategy

Annualized profit objectives are targeted at 8-14% with the goal of capital preservation (i.e. capped loss targeted at 5% or below) in down markets (including major market drawdowns) and low performance volatility in many market conditions other than when the S&P500 futures index rallies more than 5% in a 30 day period or experiences a large instantaneous gap movement. Investment timeline should be no less than two years. The trading strategy for Preservation and Growth will include a variety of derivatives trading including (but not limited to) put spreads against the S&P500 futures index, as well as short call options.

   

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
-12.65 3 16 2/1/2013 5/1/2013
-12.13 1 8 9/1/2014 10/1/2014
-11.09 2 3 6/1/2011 8/1/2011
-6.97 2 2 8/1/2008 10/1/2008
-6.80 1 5 7/1/2015 8/1/2015
-5.41 4 2 3/1/2007 7/1/2007
-4.74 1 - 12/1/2017 1/1/2018
-4.22 1 3 6/1/2009 7/1/2009
-2.52 1 1 2/1/2009 3/1/2009
-2.30 2 1 8/1/2006 10/1/2006
-1.73 1 1 8/1/2012 9/1/2012
-1.59 2 1 5/1/2012 7/1/2012
-1.41 1 1 3/1/2011 4/1/2011
-1.36 1 2 5/1/2016 6/1/2016
-1.08 2 1 2/1/2010 4/1/2010
-0.80 1 2 8/1/2010 9/1/2010
-0.78 1 1 10/1/2017 11/1/2017
-0.65 1 1 1/1/2017 2/1/2017
-0.63 1 1 12/1/2007 1/1/2008
-0.44 1 1 12/1/2012 1/1/2013
-0.24 1 1 1/1/2011 2/1/2011
-0.17 1 1 11/1/2010 12/1/2010
-0.09 1 1 11/1/2016 12/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
24.56 9 9/1/2011 5/1/2012
14.59 5 8/1/2007 12/1/2007
13.51 7 1/1/2015 7/1/2015
12.80 7 2/1/2008 8/1/2008
10.59 7 8/1/2009 2/1/2010
10.20 4 11/1/2008 2/1/2009
9.49 7 11/1/2015 5/1/2016
9.34 5 11/1/2006 3/1/2007
8.84 4 5/1/2010 8/1/2010
7.80 8 3/1/2017 10/1/2017
7.62 5 7/1/2016 11/1/2016
7.11 3 4/1/2009 6/1/2009
6.15 4 3/1/2014 6/1/2014
5.89 3 6/1/2013 8/1/2013
5.82 3 11/1/2013 1/1/2014
5.66 1 9/1/2015 9/1/2015
4.43 2 8/1/2014 9/1/2014
3.86 4 5/1/2006 8/1/2006
3.70 2 5/1/2011 6/1/2011
3.54 1 11/1/2014 11/1/2014
3.39 3 10/1/2012 12/1/2012
3.37 1 8/1/2012 8/1/2012
2.66 1 6/1/2007 6/1/2007
2.27 2 10/1/2010 11/1/2010
1.51 1 3/1/2011 3/1/2011
1.49 1 1/1/2017 1/1/2017
1.28 1 12/1/2017 12/1/2017
1.25 1 1/1/2011 1/1/2011
0.69 1 2/1/2013 2/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.65 3 3/1/2013 5/1/2013
-12.13 1 10/1/2014 10/1/2014
-11.09 2 7/1/2011 8/1/2011
-6.97 2 9/1/2008 10/1/2008
-6.80 1 8/1/2015 8/1/2015
-5.21 2 4/1/2007 5/1/2007
-4.74 1 1/1/2018 1/1/2018
-4.22 1 7/1/2009 7/1/2009
-4.03 2 9/1/2013 10/1/2013
-2.79 1 7/1/2007 7/1/2007
-2.52 1 3/1/2009 3/1/2009
-2.30 2 9/1/2006 10/1/2006
-1.73 1 9/1/2012 9/1/2012
-1.59 2 6/1/2012 7/1/2012
-1.41 1 10/1/2015 10/1/2015
-1.41 1 4/1/2011 4/1/2011
-1.36 1 6/1/2016 6/1/2016
-1.25 1 2/1/2014 2/1/2014
-1.08 2 3/1/2010 4/1/2010
-0.81 1 7/1/2014 7/1/2014
-0.80 1 9/1/2010 9/1/2010
-0.78 1 11/1/2017 11/1/2017
-0.65 1 2/1/2017 2/1/2017
-0.63 1 12/1/2014 12/1/2014
-0.63 1 1/1/2008 1/1/2008
-0.44 1 1/1/2013 1/1/2013
-0.24 1 2/1/2011 2/1/2011
-0.17 1 12/1/2010 12/1/2010
-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 Periods141.00139.00136.00130.00124.00118.00106.0094.0082.00
Percent Profitable73.0579.1485.2988.4687.1095.7699.06100.00100.00
Average Period Return0.672.104.258.6113.2917.6226.0234.4642.97
Average Gain1.813.705.8610.4715.6718.6826.2734.4642.97
Average Loss-2.40-3.97-5.08-5.70-2.79-6.40-0.65
Best Period6.6913.8418.5027.1530.2434.9053.2664.7583.98
Worst Period-12.13-12.65-11.84-10.36-7.78-9.50-0.659.3818.85
Standard Deviation2.584.075.237.068.279.9013.6416.0318.22
Gain Standard Deviation1.242.373.534.975.778.6813.4516.0318.22
Loss Standard Deviation2.773.433.313.262.552.44
Sharpe Ratio (1%)0.230.450.721.081.431.581.691.902.08
Average Gain / Average Loss0.750.931.151.845.622.9240.72
Profit / Loss Ratio2.043.536.6914.0837.9066.004276.06
Downside Deviation (10%)2.042.843.203.894.014.554.703.171.53
Downside Deviation (5%)1.922.472.472.521.781.800.36
Downside Deviation (0%)1.892.382.312.211.341.390.06
Sortino Ratio (10%)0.130.310.560.931.421.622.184.0810.05
Sortino Ratio (5%)0.310.751.523.026.628.6563.16
Sortino Ratio (0%)0.360.881.843.899.9312.66415.23

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 9 1.11 6/2017
Option Strategy Index Month 8 1.67 3/2017
Option Strategy Index Month 7 1.49 1/2017
Stock Index Trader Index Month 8 1.38 10/2016
Option Strategy Index Month 6 1.38 10/2016
Option Strategy Index Month 4 1.90 9/2016
Stock Index Trader Index Month 10 1.90 9/2016
Option Strategy Index Month 4 2.94 8/2016
Stock Index Trader Index Month 4 2.94 8/2016
Option Strategy Index Month 8 1.12 7/2016
Stock Index Trader Index Month 5 2.88 5/2016
Option Strategy Index Month 6 2.88 5/2016
Discretionary Trader Index Month 10 2.88 5/2016
Stock Index Trader Index Month 8 0.45 4/2016
Option Strategy Index Month 8 0.45 4/2016
Option Strategy Index Month 8 0.89 3/2016
Option Strategy Index Month 6 1.95 2/2016
Stock Index Trader Index Month 6 1.95 2/2016
Option Strategy Index Month 4 0.81 1/2016
Stock Index Trader Index Month 6 0.81 1/2016
Option Strategy Index Month 7 0.73 12/2015
Option Strategy Index Month 7 1.44 11/2015
Discretionary Trader Index Month 8 5.56 9/2015
Option Strategy Index Month 5 5.56 9/2015
Stock Index Trader Index Month 3 5.56 9/2015
Option Strategy Index Month 10 2.14 7/2015
Stock Index Trader Index Month 8 2.42 3/2015
Option Strategy Index Month 7 2.42 3/2015
Option Strategy Index Month 8 3.66 2/2015
Option Strategy Index Month 8 3.54 11/2014
Stock Index Trader Index Month 9 3.54 11/2014
Stock Index Trader Index Month 10 2.19 9/2014
Option Strategy Index Month 6 2.19 9/2014
Option Strategy Index Month 10 1.32 6/2014
Option Strategy Index Month 9 2.98 3/2014
Discretionary Trader Index Month 10 2.86 1/2014
Stock Index Trader Index Month 9 2.86 1/2014
Option Strategy Index Month 7 2.86 1/2014
Option Strategy Index Month 10 1.40 7/2013
Option Strategy Index Month 8 2.43 6/2013
Option Strategy Index Month 10 2.64 10/2012
Option Strategy Index Month 10 3.37 8/2012
Stock Index Trader Index Month 8 3.37 8/2012
Stock Index Trader Index Month 7 5.44 11/2011
Option Strategy Index Month 8 5.44 11/2011
Discretionary Trader Index Month 9 5.44 11/2011
Stock Index Trader Index Month 7 6.69 9/2011
Option Strategy Index Month 6 6.69 9/2011
Discretionary Trader Index Month 10 6.69 9/2011
Option Strategy Index Month 10 2.85 5/2011
Option Strategy Index Month 10 2.30 8/2010
Option Strategy Index Month 9 3.90 6/2010
Stock Index Trader Index Month 7 3.90 6/2010
Option Strategy Index Month 6 1.74 5/2010
Stock Index Trader Index Month 7 0.71 10/2009
Option Strategy Index Month 10 0.71 10/2009
Option Strategy Index Month 10 2.12 9/2009
Stock Index Trader Index Month 9 2.12 9/2009
Stock Index Trader Index Month 7 1.99 5/2009
Option Strategy Index Month 9 1.99 5/2009
Stock Index Trader Index Month 10 3.26 4/2009
Option Strategy Index Month 10 3.26 4/2009
Stock Index Trader Index Month 7 4.14 12/2008
Option Strategy Index Month 4 4.14 12/2008
Discretionary Trader Index Month 9 4.14 12/2008
Option Strategy Index Month 4 3.27 11/2008
Discretionary Trader Index Month 4 3.27 11/2008
Stock Index Trader Index Month 3 3.27 11/2008
Option Strategy Index Month 9 -6.45 10/2008
Option Strategy Index Month 2 -0.56 9/2008
Stock Index Trader Index Month 9 -0.56 9/2008
Option Strategy Index Month 9 1.02 8/2008
Option Strategy Index Month 9 0.98 7/2008
Stock Index Trader Index Month 10 0.98 7/2008
Option Strategy Index Month 8 2.16 6/2008
Stock Index Trader Index Month 6 2.16 6/2008
Stock Index Trader Index Month 9 1.95 5/2008
Option Strategy Index Month 9 1.95 5/2008
Option Strategy Index Month 9 0.86 4/2008
Option Strategy Index Month 9 1.33 3/2008
Stock Index Trader Index Month 9 1.33 3/2008
Option Strategy Index Month 6 3.88 2/2008
Stock Index Trader Index Month 8 3.88 2/2008
Stock Index Trader Index Month 3 -0.63 1/2008
Option Strategy Index Month 1 -0.63 1/2008
Stock Index Trader Index Month 8 2.47 12/2007
Option Strategy Index Month 8 2.47 12/2007
Stock Index Trader Index Month 9 1.87 11/2007
Option Strategy Index Month 9 1.87 11/2007
Stock Index Trader Index Month 9 1.19 10/2007
Option Strategy Index Month 7 1.19 10/2007
Stock Index Trader Index Month 6 3.31 9/2007
Option Strategy Index Month 6 3.31 9/2007
Discretionary Trader Index Month 7 5.01 8/2007
Stock Index Trader Index Month 7 5.01 8/2007
Option Strategy Index Month 4 5.01 8/2007
Option Strategy Index Month 4 -2.79 7/2007
Option Strategy Index Month 7 2.66 6/2007
Stock Index Trader Index Month 10 2.66 6/2007
Option Strategy Index Month 6 -1.13 5/2007

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