Los Altos Capital Management, LLC : Stock Index Options Program

archived programs
Year-to-Date
N / A
Aug Performance
2.29%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.61%
Sharpe (RFR=1%)
1.37
CAROR
19.01%
Assets
$ 3.6M
Worst DD
-12.91
S&P Correlation
0.06

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
6/2006
Stock Index Options Program 2.29 - - - - - - 47.94
S&P 500 1.22 - - - - - - 172.72
+/- S&P 500 1.07 - - - - - - -124.78

Strategy Description

Summary

-&The Stock Index Options Program primarily sells (writes) call and put options on S&P 500 Index futures monthly. The premium of options generally decays with time and expires at the expiration date so long as the underlying futures are not at or outside the strike price for which... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $7.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-&The Stock Index Options Program primarily sells (writes) call and put options on S&P 500 Index futures monthly. The premium of options generally decays with time and expires at the expiration date so long as the underlying futures are not at or outside the strike price for which the options were written. Mr. Albert Hu may also occasionally use a small percentage of investment capital to speculate by purchasing outright calls or call spreads, or puts or put spreads under certain market conditions. However, this is expected to occur no more frequently than a few times in any given year.The volatility and changing distance of the strike price of the underlying futures can affect premiums either gradually or sharply, so risk control is paramount. Mr. Hu has conducted extensive actuarial studies on the S&P 500?s daily closing price?including data from 1991 to present?and continues to analyze ongoing data to determine the right options to write and how much leverage to use. These ongoing studies have also been used over the last year by Mr. Hu to develop a more active options management program that involves rewriting adjusted call and put options in the same month to maintain more delta-neutral positions and exert finer control over risks as well as enhance returns.Mr. Hu has been a stock trader since 1973 and was registered as a Commodity Trading Advisor from 1987 through 2006 when he began devoting his time to managing a hedge fund. He developed a stock index options writing system and re-registered with the National Futures Association in April of 2008. More detailed information about Mr. Hu and his previous programs can be found in Los Altos Capital Management?s Disclosure Document.&

   

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
-12.91 3 4 1/1/2007 4/1/2007
-1.71 1 1 12/1/2007 1/1/2008
-0.81 1 1 6/1/2006 7/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
29.87 5 8/1/2007 12/1/2007
16.17 7 2/1/2008 8/1/2008
7.89 6 8/1/2006 1/1/2007
4.09 2 5/1/2007 6/1/2007
4.04 1 6/1/2006 6/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.91 3 2/1/2007 4/1/2007
-1.71 1 1/1/2008 1/1/2008
-1.15 1 7/1/2007 7/1/2007
-0.81 1 7/1/2006 7/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods27.0025.0022.0016.0010.00
Percent Profitable77.7888.0077.2781.25100.00
Average Period Return1.524.529.3320.3527.79
Average Gain2.776.6114.6925.5627.79
Average Loss-2.82-10.78-8.92-2.23
Best Period11.9017.8028.3844.9835.56
Worst Period-10.22-12.91-10.40-3.3323.04
Standard Deviation3.647.2212.3617.563.99
Gain Standard Deviation2.574.598.1115.103.99
Loss Standard Deviation3.652.110.951.63
Sharpe Ratio (1%)0.400.590.711.106.59
Average Gain / Average Loss0.980.611.6511.46
Profit / Loss Ratio3.434.495.6049.65
Downside Deviation (10%)2.194.215.443.19
Downside Deviation (5%)2.083.874.511.51
Downside Deviation (0%)2.063.784.271.12
Sortino Ratio (10%)0.510.781.264.82
Sortino Ratio (5%)0.691.101.9612.79
Sortino Ratio (0%)0.741.202.1818.11

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.