Newport Private Capital, LLC : Optimum Income Program

archived programs
Year-to-Date
N / A
Oct Performance
-7.17%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.88%
Sharpe (RFR=1%)
0.66
CAROR
4.18%
Assets
$ 18.4M
Worst DD
-14.45
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
2/2008
Optimum Income Program -7.17 - - - - - -3.36 26.57
S&P 500 4.46 - - - - - 67.15 160.34
+/- S&P 500 -11.63 - - - - - -70.51 -133.76

Strategy Description

Summary

OPTIMUM INCOME PROGRAM --- The strategy is to generate income by selling short-term options on the S&P 500 Index futures contract at strike prices that are significantly out-of-the-money. It is designed to be free from directional bias so that we can potentially profit in up or down... 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 20.00%
Average Commission $6.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough 0%
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-spreads
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

OPTIMUM INCOME PROGRAM --- The strategy is to generate income by selling short-term options on the S&P 500 Index futures contract at strike prices that are significantly out-of-the-money. It is designed to be free from directional bias so that we can potentially profit in up or down markets. Generally, we only trade short term options because it is easier to forecast the potential move in the S&P over a three to five week time frame than it is over a three to five year time frame, which is the time horizon most money managers use as their holding period for stocks.

Investment Strategy

The investment objective of the Optimum Income Program is to conservatively generate a consistent monthly return of .5% to .75% per month. Our strategy to accomplish this objective is achieved by selling short-term call and put spreads on the S&P 500 Index futures contract (“S&P”) at strike prices that are significantly out-of-the-money that have a high probability of expiring worthless.

Our investment philosophy is that capital preservation and consistent returns are the most significant factors in successful asset management. Therefore, loss of opportunity is preferable to loss of capital. We believe that exogenous, “black swan” type events must be expected and planned for in an option strategy and that proper risk management tools must be employed AT ALL TIMES that an account is exposed to this type of risk.

Risk Management

We believe in taking calculated risks and that opportunity presents itself, and profits can be made, in rising or declining market environments.

   

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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Sharpe Ratio: (RF=1%)
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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
-14.45 8 - 2/1/2013 10/1/2013
-1.42 1 2 8/1/2012 9/1/2012
-0.88 1 3 7/1/2011 8/1/2011
-0.26 1 1 3/1/2011 4/1/2011
-0.23 1 1 6/1/2012 7/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
36.19 38 2/1/2008 3/1/2011
5.21 8 11/1/2011 6/1/2012
3.38 5 10/1/2012 2/1/2013
1.94 1 8/1/2013 8/1/2013
1.93 3 5/1/2011 7/1/2011
0.74 1 8/1/2012 8/1/2012
0.57 1 6/1/2013 6/1/2013
0.37 1 9/1/2011 9/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.69 2 9/1/2013 10/1/2013
-6.91 3 3/1/2013 5/1/2013
-1.82 1 7/1/2013 7/1/2013
-1.42 1 9/1/2012 9/1/2012
-0.88 1 8/1/2011 8/1/2011
-0.34 1 10/1/2011 10/1/2011
-0.26 1 4/1/2011 4/1/2011
-0.23 1 7/1/2012 7/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods69.0067.0064.0058.0052.0046.0034.0022.00
Percent Profitable84.0688.0690.6389.6688.4693.4897.06100.00
Average Period Return0.351.272.676.039.6413.2220.3228.01
Average Gain0.781.963.727.4111.4214.3921.0728.01
Average Loss-1.89-3.80-7.55-5.95-3.98-3.53-4.36
Best Period2.284.728.4413.0018.3225.6235.0041.06
Worst Period-7.17-7.03-13.46-12.36-11.51-7.80-4.363.44
Standard Deviation1.412.373.895.036.447.599.359.90
Gain Standard Deviation0.481.091.962.904.176.298.409.90
Loss Standard Deviation2.373.123.023.183.913.71
Sharpe Ratio (1%)0.190.430.561.001.261.481.852.42
Average Gain / Average Loss0.410.520.491.252.874.074.83
Profit / Loss Ratio2.173.804.7710.7921.9958.40159.44
Downside Deviation (10%)1.292.033.223.684.154.375.244.73
Downside Deviation (5%)1.201.732.602.422.221.641.270.13
Downside Deviation (0%)1.171.662.462.131.811.190.75
Sortino Ratio (10%)-0.040.020.060.280.490.680.871.37
Sortino Ratio (5%)0.230.590.832.073.666.8413.64180.83
Sortino Ratio (0%)0.300.771.082.835.3111.1227.17

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.