Oak Investment Group : Ag Options Program

archived programs
Year-to-Date
N / A
Feb Performance
-16.22%
Min Investment
$ 50k
Mgmt. Fee
1.00%
Perf. Fee
30.00%
Annualized Vol
62.35%
Sharpe (RFR=1%)
-0.06
CAROR
-23.84%
Assets
$ 1.0M
Worst DD
-87.42
S&P Correlation
0.09

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
6/2008
Ag Options Program -16.22 - - - - - -67.04 -72.57
S&P 500 1.11 - - - - - 80.04 170.64
+/- S&P 500 -17.33 - - - - - -147.08 -243.20

Strategy Description

Summary

The Agricultural Sector Option Specific Trading Program of the Advisor utilizes a short options strangle strategy, primarily, but not limited to U.S. Exchange traded livestock futures and options. A short options strangle strategy consists of selling (going short) an out of the... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 30.00%
Average Commission $15.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 7000 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 42.00%
Sector Focus Agricultural Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 95.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Livestock
100.00%
Composition Pie Chart

Summary

The Agricultural Sector Option Specific Trading Program of the Advisor utilizes a short options strangle strategy, primarily, but not limited to U.S. Exchange traded livestock futures and options. A short options strangle strategy consists of selling (going short) an out of the money call option, above the current futures price, while simultaneously selling (going short) an out of the money put option, below the current futures price, effectively bracketing the market. The intent being that the short options will expire with the underlying futures price falling between the short option strike prices.

Investment Strategy

The Agricultural Sector Option Specific Trading Program of the Advisor utilizes a short options strangle strategy, primarily, but not limited to U.S. Exchange traded livestock futures and options. A short options strangle strategy consists of selling (going short) an out of the money call option, above the current futures price, while simultaneously selling (going short) an out of the money put option, below the current futures price, effectively bracketing the market. The intent being that the short options will expire with the underlying futures price falling between the short option strike prices.

Risk Management

The Advisor’s Trading Strategy is to actively manage that risk exposure through constant monitoring of futures market price and direction, and the use of protective futures hedges, when needed. The primary indication of the need to initiate a protective futures hedge is an underlying futures price at or beyond either the short call or short put strike price. Should a protective futures hedge or hedges need to be enacted, the effect is that the risk exposure is limited to the difference between the price at which the futures were initiated and the strike price of the short option. This is a cost, which both reduces, and protects potential profits. The goal of the Advisor’s Trading Strategy is to collect as much premium as possible, and then retain as much as possible of that premium as profits for clients. Customer and Proprietary performance for the Advisor’s trading strategy is included on Pages 15 and 16 of this Disclosure Document.

   

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
-87.42 26 - 2/1/2010 4/1/2012
-43.05 4 13 9/1/2008 1/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
166.33 8 5/1/2012 12/1/2012
69.44 10 2/1/2009 11/1/2009
49.30 2 1/1/2012 2/1/2012
29.57 4 4/1/2010 7/1/2010
26.16 1 11/1/2011 11/1/2011
22.87 2 8/1/2011 9/1/2011
20.41 2 9/1/2010 10/1/2010
16.70 4 6/1/2008 9/1/2008
12.55 3 12/1/2010 2/1/2011
7.01 2 1/1/2010 2/1/2010
2.67 1 4/1/2011 4/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-66.92 2 3/1/2012 4/1/2012
-65.60 3 5/1/2011 7/1/2011
-43.05 4 10/1/2008 1/1/2009
-33.91 1 3/1/2010 3/1/2010
-33.05 1 12/1/2011 12/1/2011
-30.57 2 1/1/2013 2/1/2013
-17.56 1 8/1/2010 8/1/2010
-11.76 1 10/1/2011 10/1/2011
-10.58 1 3/1/2011 3/1/2011
-7.92 1 11/1/2010 11/1/2010
-2.17 1 12/1/2009 12/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods57.0055.0052.0046.0040.0034.0022.00
Percent Profitable68.4254.5542.3126.0940.0020.590.00
Average Period Return-0.25-0.72-3.07-16.01-25.90-37.74-63.55
Average Gain8.7620.4036.2032.1416.1433.66
Average Loss-19.79-26.07-31.87-33.00-53.92-56.25-63.55
Best Period41.0381.28127.8571.9651.9049.89-35.83
Worst Period-62.75-65.60-67.07-84.44-85.20-82.25-81.82
Standard Deviation18.0029.9141.6638.6840.3142.4913.88
Gain Standard Deviation9.0615.8428.5627.2214.4013.11
Loss Standard Deviation17.1221.9820.8225.5523.9122.8913.88
Sharpe Ratio (1%)-0.02-0.03-0.09-0.44-0.68-0.94-4.80
Average Gain / Average Loss0.440.781.140.970.300.60
Profit / Loss Ratio0.960.940.830.340.200.16
Downside Deviation (10%)14.7123.4430.3639.1951.0062.5580.46
Downside Deviation (5%)14.5722.9329.0936.3746.6055.6467.95
Downside Deviation (0%)14.5322.8028.7735.6845.5353.9764.98
Sortino Ratio (10%)-0.04-0.08-0.18-0.54-0.66-0.77-0.99
Sortino Ratio (5%)-0.02-0.04-0.12-0.47-0.59-0.71-0.98
Sortino Ratio (0%)-0.02-0.03-0.11-0.45-0.57-0.70-0.98

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.