Martin Fund Management LLC : Martin Options Program

Year-to-Date
11.17%
Oct Performance
0.15%
Min Investment
$ 250k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
18.32%
Sharpe (RFR=1%)
1.18
CAROR
-
Assets
$ 55.0M
Worst DD
-2.60
S&P Correlation
0.31

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
5/2020
Martin Options Program 0.15 0.21 11.17 - - - - 11.17
S&P 500 -2.77 -0.04 1.21 - - - - 18.96
+/- S&P 500 2.92 0.25 9.96 - - - - -7.79

Strategy Description

Investment Strategy

Trade selection is rule-based.

MOP targets a 15% volatility, annual return goals of +20%+, with a target Sharpe ratio of 1.5+ or better. Strategy capacity USD 500M.

David Stephen Martin is the Founder and Chief Investment Officer. David is responsible... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Agricultural Traders

Holding Periods

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

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Softs
60.00%
Precious Metals
20.00%
Grains
20.00%
Composition Pie Chart

Investment Strategy

Trade selection is rule-based.

MOP targets a 15% volatility, annual return goals of +20%+, with a target Sharpe ratio of 1.5+ or better. Strategy capacity USD 500M.

David Stephen Martin is the Founder and Chief Investment Officer. David is responsible for all trading decisions and portfolio management. David founded MFM in 2013 after a multi-decade derivatives trading career as a proprietary trader and market maker at the New York Board of Trade and the New York Mercantile Exchange. David has traded across futures markets, with particular focus on relative-value futures and options strategies based on probabilistic, statistical and fundamental inputs, and expressed through proprietary trade structures. David started his career at Cooper Neff & Associates, an elite quantitative derivatives trading firm, where David traded the firm's proprietary capital. David holds a B.S. in Economics from The Wharton School of the University of Pennsylvania where he majored in Decision Sciences and Information Technology.

   

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:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-2.60 1 - 7/1/2020 8/1/2020
-2.19 1 1 5/1/2020 6/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
11.35 1 7/1/2020 7/1/2020
4.58 1 5/1/2020 5/1/2020
0.21 2 9/1/2020 10/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.60 1 8/1/2020 8/1/2020
-2.19 1 6/1/2020 6/1/2020
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Time Windows Analysis

 1 Month3 Month
Number of Periods6.004.00
Percent Profitable66.6775.00
Average Period Return1.896.53
Average Gain4.049.50
Average Loss-2.40-2.40
Best Period11.3513.90
Worst Period-2.60-2.40
Standard Deviation5.296.79
Gain Standard Deviation5.314.00
Loss Standard Deviation0.29
Sharpe Ratio (1%)0.340.93
Average Gain / Average Loss1.683.97
Profit / Loss Ratio3.3711.90
Downside Deviation (10%)1.631.81
Downside Deviation (5%)1.441.32
Downside Deviation (0%)1.391.20
Sortino Ratio (10%)0.912.93
Sortino Ratio (5%)1.264.75
Sortino Ratio (0%)1.365.45

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.