Non Correlated Capital : Positive Theta Fund

archived programs
Year-to-Date
1.96%
Jun Performance
-0.79%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
20.85%
Sharpe (RFR=1%)
1.08
CAROR
23.65%
Assets
$ 1.1M
Worst DD
-24.90
S&P Correlation
0.18

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
10/2007
Positive Theta Fund -0.79 -0.36 1.96 2.13 -14.06 3.60 - 692.18
S&P 500 0.33 2.41 8.08 15.29 23.44 77.64 - 56.15
+/- S&P 500 -1.12 -2.77 -6.12 -13.16 -37.49 -74.04 - 636.03

Strategy Description

Summary

The Positive Theta Fund engages in a hybrid option volatility strategy. Tactical allocation remains flexible and can be adjusted to benefit from expansion in market volatility as well as the typical volatility compression that occurs when markets remain range-bound for long periods... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
5000 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
15.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
30.00%
1-30 Days
65.00%
Intraday
0%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Option-purchasing
20.00%
Option-spreads
20.00%
Option-writing
50.00%
Spreading/hedging
10.00%
Strategy Pie Chart

Composition

Energy
50.00%
Stock Indices
10.00%
Interest Rates
10.00%
Precious Metals
10.00%
Currency Futures
10.00%
Softs
5.00%
Grains
5.00%
Composition Pie Chart

Summary

The Positive Theta Fund engages in a hybrid option volatility strategy. Tactical allocation remains flexible and can be adjusted to benefit from expansion in market volatility as well as the typical volatility compression that occurs when markets remain range-bound for long periods of time. Fund capital is deployed across three allocations - the “Core Allocation”, “Macro Allocation and the “Tail Allocation”.

Investment Strategy

The Core Allocation has a single market focus and utilises hedging and risk management methods appropriate for that market. The Macro Allocation has a diversified focus with exposure across thirteen of the most liquid US future markets and an allocation matrix that stops trade concentration, and spreads trade flow over time. The Tail Allocation has a risk focus with emphasis on lowering annual volatility and reversing an unlimited risk profile into a potential gain profile.

Risk Management

The Core Allocation implements a three-tiered risk management model that is based on drawdown, premium expansion/contraction and technical market factors. Custom risk management software monitors these factors in real-time and provides an alerting mechanism, with multiple redundancies, for hedging and position liquidation. The Macro Allocation relies on a unique allocation model that maximises diversification and minimises market correlation. The allocation model serves to minimise individual market risk. The Macro Allocation employs price level based liquidation triggers and a hedging method based on a well-researched qualitative overlay. The Tail Allocation is an additional risk management overlay, designed to act as tail risk insurance. Non Correlated Capital will expend up to 3% of total capital each calendar year for that cover. The fund maintains a 20% margin to equity ratio but will increase exposure up to 40% in times of greater perceived opportunity.

   

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
-24.90 16 - 9/1/2014 1/1/2016
-14.55 1 1 11/1/2008 12/1/2008
-13.92 1 4 12/1/2007 1/1/2008
-10.84 2 8 12/1/2010 2/1/2011
-9.65 1 2 4/1/2009 5/1/2009
-9.50 2 1 8/1/2008 10/1/2008
-8.73 1 2 4/1/2010 5/1/2010
-8.18 3 8 5/1/2013 8/1/2013
-5.13 1 1 7/1/2010 8/1/2010
-3.14 1 1 3/1/2013 4/1/2013
-1.72 1 1 1/1/2009 2/1/2009
-0.85 1 1 10/1/2010 11/1/2010
-0.56 1 1 5/1/2012 6/1/2012
-0.54 1 1 6/1/2014 7/1/2014
-0.46 1 1 1/1/0001 10/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
216.94 11 6/1/2009 4/1/2010
47.40 7 2/1/2008 8/1/2008
34.25 9 9/1/2011 5/1/2012
22.94 2 3/1/2009 4/1/2009
22.89 1 1/1/2009 1/1/2009
21.25 1 11/1/2008 11/1/2008
18.11 9 7/1/2012 3/1/2013
14.05 2 9/1/2010 10/1/2010
13.92 2 6/1/2010 7/1/2010
13.40 7 2/1/2016 8/1/2016
10.56 10 9/1/2013 6/1/2014
7.39 2 3/1/2011 4/1/2011
7.24 2 11/1/2007 12/1/2007
4.66 3 12/1/2016 2/1/2017
4.24 2 6/1/2011 7/1/2011
3.80 1 5/1/2013 5/1/2013
3.53 1 9/1/2015 9/1/2015
2.32 1 12/1/2010 12/1/2010
1.98 1 10/1/2016 10/1/2016
1.80 2 8/1/2014 9/1/2014
1.42 1 4/1/2015 4/1/2015
1.29 1 6/1/2015 6/1/2015
0.55 1 11/1/2015 11/1/2015
0.43 2 4/1/2017 5/1/2017
0.06 1 2/1/2015 2/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.55 1 12/1/2008 12/1/2008
-13.92 1 1/1/2008 1/1/2008
-12.41 4 10/1/2014 1/1/2015
-11.03 2 7/1/2015 8/1/2015
-10.84 2 1/1/2011 2/1/2011
-9.65 1 5/1/2009 5/1/2009
-9.50 2 9/1/2008 10/1/2008
-8.73 1 5/1/2010 5/1/2010
-8.18 3 6/1/2013 8/1/2013
-8.02 2 12/1/2015 1/1/2016
-6.04 1 5/1/2011 5/1/2011
-5.13 1 8/1/2010 8/1/2010
-3.52 1 11/1/2016 11/1/2016
-3.14 1 4/1/2013 4/1/2013
-2.18 1 9/1/2016 9/1/2016
-1.72 1 2/1/2009 2/1/2009
-0.90 1 5/1/2015 5/1/2015
-0.89 1 8/1/2011 8/1/2011
-0.85 1 11/1/2010 11/1/2010
-0.79 1 6/1/2017 6/1/2017
-0.70 1 3/1/2017 3/1/2017
-0.66 1 3/1/2015 3/1/2015
-0.56 1 6/1/2012 6/1/2012
-0.55 1 10/1/2015 10/1/2015
-0.54 1 7/1/2014 7/1/2014
-0.46 1 10/1/2007 10/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods117.00115.00112.00106.00100.0094.0082.0070.0058.00
Percent Profitable70.0970.4372.3279.2573.0067.0271.9578.57100.00
Average Period Return1.966.1814.0834.0959.5889.81140.20203.08276.22
Average Gain4.4610.5921.6245.5685.32139.21199.68260.42276.22
Average Loss-3.92-4.34-5.61-9.73-10.02-10.60-12.39-7.17
Best Period22.8949.81108.84221.35340.55421.72533.29678.91866.21
Worst Period-14.55-9.90-13.89-20.92-23.54-21.56-21.05-12.213.60
Standard Deviation6.0212.3925.6956.4791.91130.48179.12239.41293.78
Gain Standard Deviation5.0012.1426.5058.1895.45134.17178.79240.02293.78
Loss Standard Deviation3.653.403.955.026.845.643.914.69
Sharpe Ratio (1%)0.320.490.540.590.640.680.770.840.93
Average Gain / Average Loss1.142.443.854.688.5113.1416.1236.34
Profit / Loss Ratio2.675.8210.0617.8823.0126.7041.34133.25
Downside Deviation (10%)3.083.534.747.189.8512.4315.2014.247.46
Downside Deviation (5%)2.933.033.705.176.607.387.634.75
Downside Deviation (0%)2.912.983.594.966.276.876.873.92
Sortino Ratio (10%)0.501.402.454.055.286.408.1812.7433.31
Sortino Ratio (5%)0.652.003.746.508.9212.0318.1742.36
Sortino Ratio (0%)0.672.073.926.879.5013.0820.4251.75

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 3 1.89 2/2017
Option Strategy Index Month 5 1.56 12/2016
Option Strategy Index Month 4 1.98 10/2016
Diversified Trader Index Month 10 1.98 10/2016
Systematic Trader Index Month 9 1.53 8/2016
Diversified Trader Index Month 6 1.53 8/2016
Option Strategy Index Month 6 1.53 8/2016
Option Strategy Index Month 9 0.93 7/2016
Option Strategy Index Month 7 0.94 6/2016
IASG CTA Index Month 7 3.15 5/2016
Systematic Trader Index Month 7 3.15 5/2016
Option Strategy Index Month 5 3.15 5/2016
Diversified Trader Index Month 3 3.15 5/2016
Option Strategy Index Month 2 3.67 3/2016
Option Strategy Index Month 4 2.32 2/2016
Option Strategy Index Month 6 -0.55 10/2015
Option Strategy Index Month 7 3.53 9/2015
IASG CTA Index 5 Year Rolling 2 595.30 2008 - 2013
Option Strategy Index Month 7 2.54 10/2013
Option Strategy Index Month 2 3.80 5/2013
Option Strategy Index Month 8 0.96 3/2013
Option Strategy Index Month 6 1.56 1/2013
IASG CTA Index 3 Year Rolling 6 129.43 2009 - 2012
IASG CTA Index 5 Year Rolling 2 718.93 2007 - 2012
Option Strategy Index Month 9 1.58 12/2012
Option Strategy Index Month 8 2.65 11/2012
Option Strategy Index Month 8 1.95 9/2012
Option Strategy Index Month 7 1.99 7/2012
Option Strategy Index Month 9 3.63 4/2012
Option Strategy Index Month 10 4.18 1/2012
IASG CTA Index 3 Year Rolling 1 440.99 2008 - 2011
Option Strategy Index Month 10 5.24 11/2011
Systematic Trader Index Month 8 6.31 10/2011
Diversified Trader Index Month 8 6.31 10/2011
Option Strategy Index Month 5 6.31 10/2011
Option Strategy Index Month 8 4.20 9/2011
Option Strategy Index Month 9 -0.89 8/2011
Option Strategy Index Month 10 1.12 7/2011
Option Strategy Index Month 6 3.09 6/2011
Option Strategy Index Month 5 3.63 4/2011
Option Strategy Index Month 5 3.63 3/2011
IASG CTA Index 3 Year Rolling 2 477.29 2007 - 2010
Option Strategy Index Month 8 2.32 12/2010
IASG CTA Index Year Rolling 8 61.73 2009 - 2010
Option Strategy Index Month 10 2.00 10/2010
Option Strategy Index Month 2 11.81 9/2010
Option Strategy Index Month 3 4.51 7/2010
Systematic Trader Index Month 5 9.00 6/2010
Diversified Trader Index Month 5 9.00 6/2010
IASG CTA Index Month 6 9.00 6/2010
Option Strategy Index Month 1 9.00 6/2010
Option Strategy Index Month 1 4.16 4/2010
Option Strategy Index Month 1 10.62 3/2010
Option Strategy Index Month 1 10.32 2/2010
Systematic Trader Index Month 6 10.32 2/2010
Diversified Trader Index Month 5 10.32 2/2010
IASG CTA Index Month 9 10.32 2/2010
IASG CTA Index Month 3 11.49 1/2010
Option Strategy Index Month 1 11.49 1/2010
Diversified Trader Index Month 1 11.49 1/2010
Systematic Trader Index Month 1 11.49 1/2010
Systematic Trader Index Month 1 18.75 12/2009
IASG CTA Index Month 1 18.75 12/2009
IASG CTA Index Year Rolling 1 200.04 2008 - 2009
Diversified Trader Index Month 1 18.75 12/2009
Option Strategy Index Month 1 18.75 12/2009
Option Strategy Index Month 1 12.59 11/2009
Option Strategy Index Month 1 12.05 10/2009
IASG CTA Index Month 2 12.05 10/2009
Diversified Trader Index Month 1 12.05 10/2009
Systematic Trader Index Month 1 12.05 10/2009
Diversified Trader Index Month 1 13.34 9/2009
Option Strategy Index Month 1 13.34 9/2009
Systematic Trader Index Month 2 13.34 9/2009
IASG CTA Index Month 4 13.34 9/2009
Option Strategy Index Month 3 6.74 8/2009
Diversified Trader Index Month 2 12.71 7/2009
IASG CTA Index Month 3 12.71 7/2009
Option Strategy Index Month 1 12.71 7/2009
Systematic Trader Index Month 2 12.71 7/2009
Option Strategy Index Month 1 9.48 6/2009
Systematic Trader Index Month 4 9.48 6/2009
Diversified Trader Index Month 6 9.48 6/2009
IASG CTA Index Month 8 9.48 6/2009
Diversified Trader Index Month 2 16.89 4/2009
Systematic Trader Index Month 2 16.89 4/2009
IASG CTA Index Month 2 16.89 4/2009
Option Strategy Index Month 1 16.89 4/2009
Option Strategy Index Month 2 5.18 3/2009
Systematic Trader Index Month 4 5.18 3/2009
Diversified Trader Index Month 7 5.18 3/2009
Option Strategy Index Month 1 22.89 1/2009
Systematic Trader Index Month 1 22.89 1/2009
Diversified Trader Index Month 1 22.89 1/2009
IASG CTA Index Month 1 22.89 1/2009
IASG CTA Index Month 1 21.25 11/2008
Systematic Trader Index Month 1 21.25 11/2008
Diversified Trader Index Month 1 21.25 11/2008
Option Strategy Index Month 1 21.25 11/2008
Option Strategy Index Month 6 -4.73 10/2008

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.