Non Correlated Capital : Positive Theta Program

Year-to-Date
1.14%
Jan Performance
1.14%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.26%
Sharpe (RFR=1%)
1.01
CAROR
19.39%
Assets
$ 13.4M
Worst DD
-27.98
S&P Correlation
0.21

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
10/2007
Positive Theta Program 1.14 0.23 1.14 13.02 -14.39 0.10 - 422.83
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 - 47.06
+/- S&P 500 -0.65 -6.96 -0.65 -4.43 -42.23 -73.54 - 375.77

Strategy Description

Summary

The Positive Theta Program 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
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
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
3000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
15.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
20.00%
1-30 Days
60.00%
Intraday
20.00%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Composition

Energy
40.00%
Currency Futures
10.00%
Stock Indices
10.00%
Grains
10.00%
Precious Metals
10.00%
Softs
10.00%
Interest Rates
10.00%
Composition Pie Chart

Summary

The Positive Theta Program 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. Program capital is deployed across three allocations - the “Core Allocation”, “Macro Allocation and the “Tail Allocation”.

Investment Strategy

The Advisor currently engages in a program of buying and selling or “writing” options (puts and calls) on a broad range of futures markets within the United States. The current market scope for the program encompasses thirteen futures markets within the United States. The Advisor will extend the scope of markets within The Positive Theta Program and as such, reserves the right to place trades in any commodity futures contract, or option contract thereon, on any exchange, at the Advisor’s sole discretion. The trading strategy utilized by the Advisor is proprietary and confidential. The following description is of general necessity and is not intended to be all-inclusive. The Advisor uses an approach to trading that relies heavily on selling or “writing” options on commodity futures markets. The Advisor may also, from time to time, purchase options and may employ the use of hedge strategies such as option spreads, strangles, straddles, or may purchase or sell futures contracts to offset an open option position.

The implementation of The Positive Theta Program relies on a systematic deployment process moderated by a qualitative overlay. The advisor will utilise the following in the qualitative process before engaging systematic trade allocation. 1) charted prices, 2) trade volumes, 3) price momentum, 4) underlying market volatility measurements, 5) the price and volatility of various options, both in absolute terms in relation to their historic levels, and in relative terms comparing the prices and volatility of puts to the prices and volatility of similar calls, and 6) fundamental considerations including the condition of the global market, the trend and volatility of the markets, supply and demand, as well as business and economic factors, governmental policies, weather, and other worldwide events, which can influence the markets.

Capital is deployed across two trading components. The “Core Allocation” and the “Macro Allocation”. The Core Allocation presides over the energy market complex and utilises hedging and risk management methods appropriate for those markets. The Macro allocation contains a subset of ten allocation principles with broad exposure to thirteen of the most liquid futures contracts.

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 program 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
-27.98 34 - 3/1/2013 1/1/2016
-14.08 1 5 12/1/2007 1/1/2008
-12.03 1 1 11/1/2008 12/1/2008
-10.23 2 8 12/1/2010 2/1/2011
-9.87 2 1 8/1/2008 10/1/2008
-8.04 1 1 4/1/2010 5/1/2010
-7.88 1 2 4/1/2009 5/1/2009
-3.39 1 1 7/1/2010 8/1/2010
-1.54 1 1 1/1/2009 2/1/2009
-0.62 1 1 1/1/0001 10/1/2007
-0.58 1 1 10/1/2010 11/1/2010
-0.46 1 1 5/1/2012 6/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
149.80 11 6/1/2009 4/1/2010
39.42 7 2/1/2008 8/1/2008
33.53 9 9/1/2011 5/1/2012
18.40 1 1/1/2009 1/1/2009
17.85 2 3/1/2009 4/1/2009
17.83 1 11/1/2008 11/1/2008
15.19 9 7/1/2012 3/1/2013
15.03 2 9/1/2010 10/1/2010
14.16 2 6/1/2010 7/1/2010
7.46 2 11/1/2007 12/1/2007
7.45 2 3/1/2011 4/1/2011
7.10 4 5/1/2016 8/1/2016
5.70 2 2/1/2016 3/1/2016
5.41 9 9/1/2013 5/1/2014
4.04 2 6/1/2011 7/1/2011
3.23 1 9/1/2015 9/1/2015
2.69 1 12/1/2010 12/1/2010
2.62 2 12/1/2016 1/1/2017
1.51 1 8/1/2014 8/1/2014
1.50 1 5/1/2013 5/1/2013
1.39 1 4/1/2015 4/1/2015
1.30 1 6/1/2015 6/1/2015
1.06 1 10/1/2016 10/1/2016
0.08 1 11/1/2015 11/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.39 7 9/1/2014 3/1/2015
-14.08 1 1/1/2008 1/1/2008
-12.03 1 12/1/2008 12/1/2008
-10.44 2 7/1/2015 8/1/2015
-10.23 2 1/1/2011 2/1/2011
-9.87 2 9/1/2008 10/1/2008
-8.11 2 12/1/2015 1/1/2016
-8.04 1 5/1/2010 5/1/2010
-7.88 1 5/1/2009 5/1/2009
-6.29 1 5/1/2011 5/1/2011
-6.19 3 6/1/2013 8/1/2013
-3.39 1 8/1/2010 8/1/2010
-3.09 1 4/1/2013 4/1/2013
-2.33 1 11/1/2016 11/1/2016
-1.54 1 2/1/2009 2/1/2009
-1.03 2 6/1/2014 7/1/2014
-0.99 1 9/1/2016 9/1/2016
-0.89 1 8/1/2011 8/1/2011
-0.86 1 5/1/2015 5/1/2015
-0.62 1 10/1/2007 10/1/2007
-0.58 1 11/1/2010 11/1/2010
-0.56 1 10/1/2015 10/1/2015
-0.46 1 6/1/2012 6/1/2012
-0.45 1 4/1/2016 4/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods112.00110.00107.00101.0095.0089.0077.0065.0053.00
Percent Profitable66.9670.0070.0969.3166.3268.5470.1378.46100.00
Average Period Return1.625.0211.2826.2645.1167.50108.42157.03208.96
Average Gain4.109.1818.6441.6973.45105.27160.87203.37208.96
Average Loss-3.41-4.68-5.98-8.59-10.67-14.79-14.72-11.77
Best Period18.4038.3079.94152.88227.71282.32364.98469.25590.45
Worst Period-14.08-11.40-14.12-21.93-25.19-24.25-26.98-17.770.10
Standard Deviation5.2710.3420.2142.1766.6191.63128.95171.46201.32
Gain Standard Deviation4.139.5219.8542.1465.4187.71120.16165.70201.32
Loss Standard Deviation3.423.194.155.767.295.397.614.25
Sharpe Ratio (1%)0.290.460.530.600.650.710.820.891.01
Average Gain / Average Loss1.201.963.124.866.887.1210.9317.28
Profit / Loss Ratio2.444.577.3110.9713.5515.5125.6662.96
Downside Deviation (10%)2.933.675.158.2011.4414.3717.2915.858.60
Downside Deviation (5%)2.793.204.196.178.209.8810.527.590.74
Downside Deviation (0%)2.763.093.965.707.468.819.025.78
Sortino Ratio (10%)0.411.031.712.593.283.995.368.5521.08
Sortino Ratio (5%)0.551.492.584.105.326.6310.0220.16274.90
Sortino Ratio (0%)0.591.632.854.616.047.6612.0327.16

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 10 1.06 10/2016
Option Strategy Index Month 9 1.20 8/2016
Option Strategy Index Month 10 0.91 7/2016
Option Strategy Index Month 6 1.45 6/2016
IASG CTA Index Month 4 3.38 5/2016
Systematic Trader Index Month 4 3.38 5/2016
Diversified Trader Index Month 2 3.38 5/2016
Option Strategy Index Month 3 3.38 5/2016
Option Strategy Index Month 3 3.58 3/2016
Option Strategy Index Month 5 2.05 2/2016
Option Strategy Index Month 7 -0.56 10/2015
Option Strategy Index Month 9 3.23 9/2015
IASG CTA Index 5 Year Rolling 4 408.13 2008 - 2013
Option Strategy Index Month 4 1.50 5/2013
Option Strategy Index Month 7 1.12 3/2013
Option Strategy Index Month 9 1.06 1/2013
IASG CTA Index 3 Year Rolling 10 118.47 2009 - 2012
IASG CTA Index 5 Year Rolling 3 487.01 2007 - 2012
Option Strategy Index Month 10 1.61 9/2012
Option Strategy Index Month 8 1.92 7/2012
Option Strategy Index Month 8 3.63 4/2012
Option Strategy Index Month 8 4.22 1/2012
IASG CTA Index 3 Year Rolling 3 319.34 2008 - 2011
Option Strategy Index Month 9 5.29 11/2011
Option Strategy Index Month 7 5.84 10/2011
Option Strategy Index Month 7 4.23 9/2011
Option Strategy Index Month 10 -0.89 8/2011
Option Strategy Index Month 9 1.15 7/2011
Option Strategy Index Month 8 2.86 6/2011
Option Strategy Index Month 4 3.66 4/2011
Option Strategy Index Month 4 3.66 3/2011
IASG CTA Index 3 Year Rolling 4 321.43 2007 - 2010
Option Strategy Index Month 7 2.69 12/2010
Option Strategy Index Month 8 2.46 10/2010
Option Strategy Index Month 1 12.27 9/2010
Option Strategy Index Month 1 4.79 7/2010
Option Strategy Index Month 2 8.94 6/2010
Systematic Trader Index Month 6 8.94 6/2010
Diversified Trader Index Month 6 8.94 6/2010
IASG CTA Index Month 7 8.94 6/2010
Option Strategy Index Month 3 3.15 4/2010
Option Strategy Index Month 2 8.26 3/2010
Option Strategy Index Month 2 8.29 2/2010
Systematic Trader Index Month 7 8.29 2/2010
Diversified Trader Index Month 7 8.29 2/2010
IASG CTA Index Month 6 8.89 1/2010
Systematic Trader Index Month 4 8.89 1/2010
Diversified Trader Index Month 4 8.89 1/2010
Option Strategy Index Month 2 8.89 1/2010
Option Strategy Index Month 2 14.81 12/2009
IASG CTA Index Month 2 14.81 12/2009
IASG CTA Index Year Rolling 2 140.09 2008 - 2009
Systematic Trader Index Month 2 14.81 12/2009
Diversified Trader Index Month 2 14.81 12/2009
Option Strategy Index Month 3 10.30 11/2009
IASG CTA Index Month 5 9.21 10/2009
Diversified Trader Index Month 4 9.21 10/2009
Option Strategy Index Month 2 9.21 10/2009
Systematic Trader Index Month 3 9.21 10/2009
Option Strategy Index Month 2 10.34 9/2009
Diversified Trader Index Month 5 10.34 9/2009
Systematic Trader Index Month 5 10.34 9/2009
IASG CTA Index Month 8 10.34 9/2009
Option Strategy Index Month 7 5.22 8/2009
IASG CTA Index Month 4 10.00 7/2009
Option Strategy Index Month 2 10.00 7/2009
Systematic Trader Index Month 3 10.00 7/2009
Diversified Trader Index Month 3 10.00 7/2009
Option Strategy Index Month 3 7.41 6/2009
Systematic Trader Index Month 5 7.41 6/2009
Diversified Trader Index Month 8 7.41 6/2009
IASG CTA Index Month 10 7.41 6/2009
Diversified Trader Index Month 3 13.35 4/2009
Systematic Trader Index Month 3 13.35 4/2009
IASG CTA Index Month 3 13.35 4/2009
Option Strategy Index Month 2 13.35 4/2009
Option Strategy Index Month 4 3.97 3/2009
Diversified Trader Index Month 10 3.97 3/2009
Systematic Trader Index Month 8 3.97 3/2009
IASG CTA Index Month 3 18.40 1/2009
Option Strategy Index Month 2 18.40 1/2009
Systematic Trader Index Month 3 18.40 1/2009
Diversified Trader Index Month 3 18.40 1/2009
Option Strategy Index Month 2 17.83 11/2008
Diversified Trader Index Month 2 17.83 11/2008
Systematic Trader Index Month 2 17.83 11/2008
IASG CTA Index Month 2 17.83 11/2008
Option Strategy Index Month 7 -5.94 10/2008
Option Strategy Index Month 3 -4.18 9/2008
Option Strategy Index Month 2 7.93 8/2008
Option Strategy Index Month 3 8.63 7/2008
Diversified Trader Index Month 5 8.63 7/2008
Systematic Trader Index Month 6 8.63 7/2008
IASG CTA Index Month 8 8.63 7/2008
Option Strategy Index Month 7 2.25 6/2008
Option Strategy Index Month 7 3.75 5/2008
Option Strategy Index Month 5 3.19 4/2008
Option Strategy Index Month 6 5.96 3/2008
Diversified Trader Index Month 9 5.96 3/2008
Option Strategy Index Month 8 2.52 2/2008

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