Opes Capital Group, LLC : Opes Capital Group Trading Program

archived programs
Year-to-Date
N / A
Feb Performance
-10.12%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
15.86%
Sharpe (RFR=1%)
1.00
CAROR
16.77%
Assets
$ 6.8M
Worst DD
-15.25
S&P Correlation
-0.28

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
10/2009
Opes Capital Group Trading Program -10.12 - - - - - 44.71 90.78
S&P 500 4.31 - - - - - 62.38 234.31
+/- S&P 500 -14.43 - - - - - -17.67 -143.54

Strategy Description

Summary

The Opes Trading Program trades the equity markets (trend and counter trend) using options on the S&P e-mini futures. Some traders use stocks, others futures; we use options. Our strategy is discretionary and based on proprietary technical models, a systematic capital deployment program,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $2.50
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 3000 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD 5.00%
Worst Peak-to-Trough -14.83%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 10.00%
1-30 Days 90.00%
Intraday 0%

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Counter-trend
10.00%
Momentum
10.00%
Option-writing
50.00%
Pattern Recognition
10.00%
Technical
10.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Opes Trading Program trades the equity markets (trend and counter trend) using options on the S&P e-mini futures. Some traders use stocks, others futures; we use options. Our strategy is discretionary and based on proprietary technical models, a systematic capital deployment program, and a dynamic risk management system.

Investment Strategy

We begin with a 3-6 month economic and market outlook, then break it down into 4-6 week trading windows. This process encompasses analyzing current and expected economic conditions, historical precedent, current and expected volatility, various technical indicators and multiple proprietary technical models. Current implied volatility and any immediate expected changes are incorporated into the short term focus when selecting optimal strikes to add to the portfolio. Potential trades are filtered through a risk management model which includes value at risk and margin considerations. The program’s focus is the S&P 500 index to minimize the portfolio's unsystematic risk. As option/volatility sellers, our risk framework is crucial to our program’s sustainability. The trades are executed according to the Portfolio Managers instructions. Positions are monitored daily and adjusted if market view changes or if the position values are adversely affected by market fluctuations, violating predetermined risk management criteria.

Risk Management

Implicit risk management through systematic capital deployment. Discretionary parameters set by peak to trough analysis. We hedge directly by using vertical spreads when trading puts. Additionally, our positions have low delta and strict position limits to counter risk. As a result, in such markets our maximum loss is defined upon entry. Spreads also help mitigate our gamma risk.

   

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%)
Skewness:
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Reward
Compound RoR:
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Average Gain:
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Risk
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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
-15.25 3 3 2/1/2013 5/1/2013
-10.12 1 - 1/1/2014 2/1/2014
-2.05 1 3 8/1/2012 9/1/2012
-1.63 1 1 3/1/2011 4/1/2011
-1.48 1 1 7/1/2011 8/1/2011
-1.48 1 1 12/1/2009 1/1/2010
-0.84 1 1 12/1/2012 1/1/2013
-0.36 4 1 8/1/2013 12/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
35.64 14 2/1/2010 3/1/2011
19.74 12 9/1/2011 8/1/2012
15.05 1 8/1/2013 8/1/2013
13.47 1 1/1/2014 1/1/2014
11.43 1 6/1/2013 6/1/2013
9.08 3 10/1/2009 12/1/2009
7.05 3 5/1/2011 7/1/2011
3.95 3 10/1/2012 12/1/2012
1.25 1 2/1/2013 2/1/2013
1.10 1 4/1/2013 4/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.83 1 5/1/2013 5/1/2013
-10.12 1 2/1/2014 2/1/2014
-6.66 1 7/1/2013 7/1/2013
-2.05 1 9/1/2012 9/1/2012
-1.63 1 4/1/2011 4/1/2011
-1.57 1 3/1/2013 3/1/2013
-1.48 1 8/1/2011 8/1/2011
-1.48 1 1/1/2010 1/1/2010
-0.84 1 1/1/2013 1/1/2013
-0.36 4 9/1/2013 12/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods50.0051.0048.0042.0036.0030.0018.00
Percent Profitable80.0082.3587.5085.7186.1190.0083.33
Average Period Return1.414.884.7511.1418.6726.8839.61
Average Gain2.789.849.0917.3026.0034.1352.90
Average Loss-4.08-18.23-25.67-25.82-26.74-38.43-26.85
Best Period15.05112.2630.0833.6745.7758.6278.39
Worst Period-14.83-46.73-45.71-45.76-43.63-39.32-27.62
Standard Deviation4.5823.4214.1218.4022.1426.2134.74
Gain Standard Deviation3.3521.155.907.6910.4114.8118.15
Loss Standard Deviation4.8920.1617.9021.2221.960.880.86
Sharpe Ratio (1%)0.290.200.300.550.780.951.05
Average Gain / Average Loss0.680.540.350.670.970.891.97
Profit / Loss Ratio2.732.522.484.026.037.999.85
Downside Deviation (10%)2.8811.4311.5113.7614.7515.4517.40
Downside Deviation (5%)2.7911.1410.9112.5012.8212.7912.20
Downside Deviation (0%)2.7611.0610.7612.2012.3612.1610.96
Sortino Ratio (10%)0.350.320.200.450.751.081.37
Sortino Ratio (5%)0.480.420.390.811.341.943.00
Sortino Ratio (0%)0.510.440.440.911.512.213.61

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.