Newport Private Capital, LLC : TEOW

archived programsClosed to new investments
Year-to-Date
N / A
Jun Performance
-8.22%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.75%
Sharpe (RFR=1%)
0.36
CAROR
6.78%
Assets
$ 1.5M
Worst DD
-49.29
S&P Correlation
0.15

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
12/2001
TEOW -8.22 - - - - - -10.38 113.85
S&P 500 -1.50 - - - - - 64.80 201.73
+/- S&P 500 -6.72 - - - - - -75.18 -87.88

Strategy Description

Summary

PROGRAM 1 - TECHNICAL ENTRY PROGRAM (OPTION WRITING) This program only trades financial futures, with a focus on the S&P 500 futures contract and options on that contract. The Advisor uses a systematic approach to futures trading which emphasizes making a technically correct "buy"... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
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
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 25%
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-writing
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

PROGRAM 1 - TECHNICAL ENTRY PROGRAM (OPTION WRITING) This program only trades financial futures, with a focus on the S&P 500 futures contract and options on that contract. The Advisor uses a systematic approach to futures trading which emphasizes making a technically correct "buy" or "sell" of the S&P 500 stock index future. The Advisor uses several proprietary technical tools to determine long term support and resistance price levels on the S&P 500 futures contract. These price levels are what the Advisor calls Pivot Points. It is the expectation of the Advisor that the index will either reverse its trend at a Pivot Point or, at a minimum, see short term stagnation in price movement. The Advisor sells naked put and call options against Pivot Points on the S&P index. Most of the options that are sold by the Advisor expire worthless at expiration because the options that the Advisor sells are generally significantly out of the money. In the event that the market closes above or below a Pivot Point and the futures contract is actually put to the account or called away from the account, the Advisor will then utilize the same technical tools to determine logical profit objectives and buy or sell stop placement on the contracts that were delivered to the account. By selling options at a predetermined price level the Advisor is assured of entering or exiting a trade at the most technically advantageous level. This methodology for trading ensures that the client will be buying or selling the S&P 500 contract at a technically and historically advantageous long term support or resistance area. The Advisor may "leg" into a trade. This means that the timing of selling a put option may not be the best time to sell a call option based upon market technicals. Time of entry into a trade is one of the most important elements of the trade decision. The Advisor will generally seek to sell options after large momentum days that have high volatility and broad price ranges. These types of trading days tend to create imbalance in the pricing of the options and allow for excess time premium to be captured at the time of the option sale. The execution of this program i.e., determining the number of contracts to trade, the prices of the options, and which maturities are the most favorable, depends upon both technical and fundamental considerations. A hedging component is also used when the market closes above or below a significant moving average and the Advisor will hedge the options position by buying or selling contracts in the direction of the trend. The management strategy is not a "black box" strategy that indicates a buy or sell signal. There is significant subjectivity involved by the Advisor in determining both entries and exits into futures and options positions. The Advisor intends to trade futures and options on financial futures contracts, with an emphasis on the S&P 500 contract. No other commodities are traded in this program. Assets committed to initial margin generally will range between 40-60% of equity but at times margin commitments may be above or below that range.

   

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
-49.29 21 - 8/1/2008 5/1/2010
-27.69 1 5 12/1/2007 1/1/2008
-16.88 4 4 3/1/2003 7/1/2003
-16.09 3 5 3/1/2007 6/1/2007
-8.98 2 2 11/1/2002 1/1/2003
-7.34 2 3 11/1/2003 1/1/2004
-7.30 1 1 9/1/2006 10/1/2006
-0.17 1 1 11/1/2005 12/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
54.68 7 2/1/2008 8/1/2008
44.89 15 2/1/2004 4/1/2005
36.06 2 2/1/2003 3/1/2003
31.96 6 7/1/2007 12/1/2007
29.93 4 12/1/2001 3/1/2002
27.80 6 9/1/2011 2/1/2012
22.49 4 8/1/2003 11/1/2003
20.31 7 12/1/2008 6/1/2009
17.68 5 11/1/2006 3/1/2007
14.40 4 11/1/2009 2/1/2010
14.28 5 7/1/2002 11/1/2002
13.23 3 6/1/2010 8/1/2010
12.78 9 1/1/2006 9/1/2006
10.04 4 9/1/2012 12/1/2012
8.69 5 7/1/2005 11/1/2005
6.54 3 10/1/2010 12/1/2010
5.74 1 4/1/2013 4/1/2013
5.31 2 4/1/2012 5/1/2012
4.47 2 8/1/2009 9/1/2009
3.79 2 6/1/2011 7/1/2011
3.44 1 6/1/2003 6/1/2003
1.38 1 3/1/2011 3/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-44.70 3 9/1/2008 11/1/2008
-33.09 3 3/1/2010 5/1/2010
-27.69 1 1/1/2008 1/1/2008
-17.06 3 6/1/2012 8/1/2012
-16.09 3 4/1/2007 6/1/2007
-15.67 2 4/1/2003 5/1/2003
-14.62 2 5/1/2013 6/1/2013
-9.60 2 1/1/2011 2/1/2011
-8.98 2 12/1/2002 1/1/2003
-7.84 3 1/1/2013 3/1/2013
-7.63 1 8/1/2011 8/1/2011
-7.34 2 12/1/2003 1/1/2004
-7.30 1 10/1/2006 10/1/2006
-4.71 1 7/1/2003 7/1/2003
-4.02 1 7/1/2009 7/1/2009
-3.63 1 3/1/2012 3/1/2012
-1.69 1 9/1/2010 9/1/2010
-1.13 2 4/1/2011 5/1/2011
-0.69 1 10/1/2009 10/1/2009
-0.17 1 12/1/2005 12/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods139.00137.00134.00128.00122.00116.00104.0092.0080.00
Percent Profitable70.5070.8070.9068.7565.5763.7952.8861.9652.50
Average Period Return0.802.484.468.3412.2816.7225.2833.0337.97
Average Gain3.648.1511.9619.6526.9435.5663.2166.6689.84
Average Loss-6.82-11.55-13.81-16.53-15.64-16.47-17.29-21.73-19.35
Best Period32.7534.8251.4448.4855.7087.20123.45173.18207.73
Worst Period-34.12-44.70-40.73-36.05-31.06-45.41-47.75-43.79-46.65
Standard Deviation6.8611.9114.9319.8823.7431.2247.6760.7970.35
Gain Standard Deviation3.956.618.0010.8313.9521.7733.2853.9160.55
Loss Standard Deviation7.7410.6311.7610.118.4111.0011.4311.048.60
Sharpe Ratio (1%)0.100.190.270.370.450.470.470.480.47
Average Gain / Average Loss0.530.710.871.191.722.163.663.074.64
Profit / Loss Ratio1.451.762.112.623.283.804.105.005.13
Downside Deviation (10%)5.358.8310.7913.2914.5017.4924.0728.6632.96
Downside Deviation (5%)5.248.439.9411.2811.1812.9015.9617.2717.84
Downside Deviation (0%)5.218.339.7310.7910.3911.8714.1814.9914.56
Sortino Ratio (10%)0.070.140.180.250.320.370.400.400.31
Sortino Ratio (5%)0.140.270.400.650.961.141.391.681.84
Sortino Ratio (0%)0.150.300.460.771.181.411.782.202.61

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.