Macrotheme Capital Management LLC : Commercial Hedge Grantor (Prop)

archived programs
Year-to-Date
N / A
Apr Performance
-2.04%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
35.33%
Sharpe (RFR=1%)
0.27
CAROR
4.55%
Assets
$ 207k
Worst DD
-38.93
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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
7/2009
Commercial Hedge Grantor (Prop) -2.04 - - - - - -6.17 18.61
S&P 500 1.81 - - - - - 74.20 262.96
+/- S&P 500 -3.85 - - - - - -80.38 -244.36

Strategy Description

Summary

Macrotheme Capital Management, LLC was formed as a Texas Limited Liability Company on June 19th, 2009. Macrotheme Capital Management, LLC became registered with the Commodity Futures Trading Commission (“CTFC”) as a Commodity Trading Advisor (“CTA”) and approved as an NFA member on... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 20.00%
Average Commission $15.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 800 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 60.00%
1-3 Months 40.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-writing
85.00%
Trend-following
15.00%
Strategy Pie Chart

Composition

Currency Futures
20.00%
Precious Metals
20.00%
Energy
20.00%
Interest Rates
20.00%
Stock Indices
20.00%
Composition Pie Chart

Summary

Macrotheme Capital Management, LLC was formed as a Texas Limited Liability Company on June 19th, 2009. Macrotheme Capital Management, LLC became registered with the Commodity Futures Trading Commission (“CTFC”) as a Commodity Trading Advisor (“CTA”) and approved as an NFA member on July 17th, 2009.

Investment Strategy

The Commercial Hedge Grantor (CH-G) trading program is an option seller. The two major trading strategies are: 1) directional short option, and 2) strangle. The advisor uses 100% discretion in trading.

Risk Management

1) Covered call or put, either at the money, at the break even, or out of money (trend following). 2) Offset the short option with loss.

   

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
-38.93 2 - 6/1/2011 8/1/2011
-27.30 4 1 12/1/2010 4/1/2011
-5.67 1 1 10/1/2009 11/1/2009
-2.39 1 3 7/1/2010 8/1/2010
-2.04 1 1 1/1/0001 7/1/2009
-0.41 1 1 3/1/2010 4/1/2010
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
54.22 2 5/1/2011 6/1/2011
32.55 5 9/1/2011 1/1/2012
13.31 4 12/1/2009 3/1/2010
9.68 3 5/1/2010 7/1/2010
7.71 3 3/1/2012 5/1/2012
7.18 3 8/1/2009 10/1/2009
5.66 4 9/1/2010 12/1/2010
3.52 5 10/1/2012 2/1/2013
2.13 1 2/1/2011 2/1/2011
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-38.93 2 7/1/2011 8/1/2011
-26.98 2 3/1/2011 4/1/2011
-5.67 1 11/1/2009 11/1/2009
-5.06 2 3/1/2013 4/1/2013
-2.52 1 1/1/2011 1/1/2011
-2.39 1 8/1/2010 8/1/2010
-2.04 1 7/1/2009 7/1/2009
-1.91 1 2/1/2012 2/1/2012
-0.45 4 6/1/2012 9/1/2012
-0.41 1 4/1/2010 4/1/2010
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable65.2268.1882.9365.7137.9365.22
Average Period Return0.892.153.536.035.865.52
Average Gain4.327.097.9115.7726.3710.37
Average Loss-6.81-8.44-17.76-12.64-6.68-3.56
Best Period44.7845.6930.0239.4144.3341.74
Worst Period-35.36-34.95-31.23-27.66-22.09-14.51
Standard Deviation10.2012.5811.6015.5317.7513.25
Gain Standard Deviation8.519.355.698.239.5313.90
Loss Standard Deviation11.0112.299.035.635.194.57
Sharpe Ratio (1%)0.080.150.260.320.250.27
Average Gain / Average Loss0.630.840.451.253.952.91
Profit / Loss Ratio1.461.802.162.392.415.46
Downside Deviation (10%)6.818.629.0610.8111.9210.02
Downside Deviation (5%)6.718.288.308.597.574.20
Downside Deviation (0%)6.698.208.118.056.593.28
Sortino Ratio (10%)0.070.110.120.10-0.15-0.47
Sortino Ratio (5%)0.120.230.360.590.580.84
Sortino Ratio (0%)0.130.260.430.750.891.68

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.