OptHedge Advisors LLC : Diversified Options & Futures Program

archived programs
Year-to-Date
N / A
Jun Performance
-0.56%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.49%
Sharpe (RFR=0.50%)
1.61
CAROR
13.03%
Assets
$ 3.9M
Worst DD
-11.58
S&P Correlation
0.14

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
10/2008
Diversified Options & Futures Program -0.56 -0.11 - -7.96 -6.50 14.28 - 158.42
S&P 500 0.09 1.90 - 1.73 30.67 58.90 - 124.33
+/- S&P 500 -0.65 -2.01 - -9.69 -37.17 -44.62 - 34.08

Strategy Description

Summary

The Trading Program offered by OptHedge Advisors LLC (the Advisor) focuses on identifying markets in which volatility skew opportunities potentially exist whereby the Advisor may attempt to purchase certain option contracts that may be trading at a low level of implied volatility and... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2500 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
-5.00%
Worst Peak-to-Trough
4.04%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
20.00%
1-3 Months
75.00%
1-30 Days
0%
Intraday
5.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-spreads
75.00%
Option-writing
25.00%
Strategy Pie Chart

Composition

Grains
20.00%
Precious Metals
20.00%
Softs
20.00%
Energy
15.00%
Interest Rates
10.00%
Currency Futures
10.00%
Stock Indices
5.00%
Composition Pie Chart

Summary

The Trading Program offered by OptHedge Advisors LLC (the Advisor) focuses on identifying markets in which volatility skew opportunities potentially exist whereby the Advisor may attempt to purchase certain option contracts that may be trading at a low level of implied volatility and sell other option contracts that may be trading at a high level of implied volatility for the same underlying futures product. For example, the Advisor may seek to sell call and/or put options for a given futures product at certain selected strike prices and/or expiration months while simultaneously buying call and/or put options for that same futures product at certain selected strike prices and/or expiration months that may be different than for the options that are selected by the Advisor to be sold. Please note that the performance shown for this Trading Program from October 2008 through September 2010 is the proprietary trading performance of the Advisor's sole principal, Coby M. Hyman, and such performance has been pro forma adjusted to account for the maximum management and incentive fees that may be charged by the Advisor. The Advisor began directing client accounts in October 2010. The performance shown starting in October 2010 is the actual trading performance of client accounts trading pursuant to the Trading Program, net of all fees actually charged to such client accounts by the Advisor. The performance shown reflects the weighted average performance of all client accounts that have historically been traded by the Advisor pursuant to the Trading Program and does not reflect the actual performance of any one specific client account. The performance shown only reflects the performance of client accounts that were traded by the Advisor for the entire portion of each month for which performance is shown.

Investment Strategy

The Advisor frequently trades options on various futures and commodities contracts and specializes in establishing dynamically hedged positions in various futures products by simultaneously employing the following combinations of strategies: 1) writing call and/or put options that are trading at prices that reflect a high level of implied volatility, 2) purchasing call and/or put options that are trading at prices that reflect a low level of implied volatility, and 3) making appropriate adjustments to such positions based on movements in the underlying futures and commodities contracts. Tactical options trades (such as delta neutral positions, calendar spreads, and volatility skew spreads) may frequently be initiated by the Advisor when utilizing the above described strategy with the expectation of profiting from a change in overall implied volatility and/or the relationship among the implied volatilities of options that have different strike prices and/or different expiration dates for a given commodity or futures product.

Risk Management

The Advisor will attempt to manage risk on positions that may be established utilizing the above described strategy by entering into transactions in futures contracts and/or options on futures contracts that are intended to hedge the overall exposure of a position in a commodity or futures product in a manner that the Advisor believes will maximize the profits and/or minimize the losses that may be associated with anticipated directional price movements in the underlying futures and commodities contracts. However, there is no assurance that the Trading Program will be successful in achieving this goal. The Trading Program offered by the Advisor will be managed by the Advisor in a manner that focuses on diversifying the positions established pursuant to the Trading Program across numerous different futures products in order to minimize the risks that may be associated with an adverse price move in any particular futures product in which a position may be held.

   

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=0.50%)
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=0.50%)
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
-11.58 22 - 8/1/2014 6/1/2016
-4.08 1 2 4/1/2010 5/1/2010
-2.31 1 3 7/1/2011 8/1/2011
-1.56 5 4 3/1/2013 8/1/2013
-1.04 1 1 4/1/2012 5/1/2012
-0.86 1 2 1/1/2014 2/1/2014
-0.37 1 1 12/1/2012 1/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
90.66 19 10/1/2008 4/1/2010
23.64 14 6/1/2010 7/1/2011
21.50 8 9/1/2011 4/1/2012
5.07 7 6/1/2012 12/1/2012
4.50 6 3/1/2014 8/1/2014
2.20 5 9/1/2013 1/1/2014
0.86 2 2/1/2013 3/1/2013
0.69 1 11/1/2015 11/1/2015
0.53 1 9/1/2015 9/1/2015
0.45 1 7/1/2015 7/1/2015
0.45 1 5/1/2016 5/1/2016
0.35 1 2/1/2015 2/1/2015
0.32 2 4/1/2015 5/1/2015
0.05 1 6/1/2013 6/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.72 5 12/1/2015 4/1/2016
-4.37 1 8/1/2015 8/1/2015
-4.08 1 5/1/2010 5/1/2010
-2.93 5 9/1/2014 1/1/2015
-2.31 1 8/1/2011 8/1/2011
-1.66 1 3/1/2015 3/1/2015
-1.22 2 4/1/2013 5/1/2013
-1.04 1 5/1/2012 5/1/2012
-0.86 1 2/1/2014 2/1/2014
-0.56 1 6/1/2016 6/1/2016
-0.48 1 6/1/2015 6/1/2015
-0.40 2 7/1/2013 8/1/2013
-0.37 1 1/1/2013 1/1/2013
-0.10 1 10/1/2015 10/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods93.0091.0088.0082.0076.0070.0058.0046.0034.00
Percent Profitable74.1970.3371.5980.4982.8982.8681.0391.30100.00
Average Period Return1.053.176.6213.4319.7426.5842.5959.1975.62
Average Gain1.785.1910.2618.0025.1633.2353.6565.1375.62
Average Loss-1.05-1.60-2.56-5.42-6.49-5.58-4.65-3.21
Best Period8.8619.7136.1363.7889.5699.82132.50175.78177.85
Worst Period-4.37-4.40-5.69-8.13-10.46-10.95-6.97-4.8318.57
Standard Deviation2.165.319.9218.3923.7228.3541.0849.5149.62
Gain Standard Deviation1.955.089.4817.6422.4626.6137.8347.6949.62
Loss Standard Deviation1.151.181.522.393.343.342.051.26
Sharpe Ratio (1%)0.450.550.620.680.770.870.961.111.42
Average Gain / Average Loss1.693.234.003.323.875.9611.5320.27
Profit / Loss Ratio4.877.6710.0913.7118.7828.8149.28212.80
Downside Deviation (10%)0.941.702.845.026.487.469.638.622.56
Downside Deviation (5%)0.811.191.813.023.573.413.452.25
Downside Deviation (0%)0.781.081.582.602.992.662.201.00
Sortino Ratio (10%)0.681.151.461.681.872.192.794.3718.72
Sortino Ratio (5%)1.192.463.374.125.117.1911.4624.52
Sortino Ratio (0%)1.342.954.195.166.599.9919.3959.13

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 10 -0.56 6/2016
Option Strategy Index Month 6 -0.36 1/2016
IASG CTA Index Sharpe 7 1.70 2014 - 2015
Option Strategy Index Month 9 0.69 11/2015
Option Strategy Index Month 5 -0.10 10/2015
Option Strategy Index Month 9 -4.37 8/2015
Option Strategy Index Month 10 -0.16 12/2014
IASG CTA Index Sharpe 6 2.14 2013 - 2014
Option Strategy Index Month 5 -0.30 10/2014
Option Strategy Index Month 6 0.05 7/2014
Option Strategy Index Month 8 1.55 4/2014
IASG CTA Index Sharpe 4 2.45 2012 - 2013
Option Strategy Index Month 10 -0.35 5/2013
IASG CTA Index Sharpe 3 2.92 2011 - 2012
Option Strategy Index Month 8 2.23 6/2012
Option Strategy Index Month 6 4.66 1/2012
IASG CTA Index Month 8 8.35 12/2011
Discretionary Trader Index Month 3 8.35 12/2011
Option Strategy Index Month 3 8.35 12/2011
Diversified Trader Index Month 5 8.35 12/2011
IASG CTA Index Sharpe 9 3.16 2010 - 2011
Option Strategy Index Month 3 3.75 7/2011
IASG CTA Index Sharpe 3 3.68 2009 - 2010
Option Strategy Index Month 5 4.08 9/2010
Option Strategy Index Month 8 3.66 7/2010
Option Strategy Index Month 9 -4.08 5/2010
Option Strategy Index Month 6 1.85 3/2010
Option Strategy Index Month 6 4.34 1/2010
Diversified Trader Index Month 10 4.34 1/2010
Option Strategy Index Month 9 4.22 12/2009
Diversified Trader Index Month 8 4.22 12/2009
IASG CTA Index Sharpe 5 6.20 2008 - 2009
Option Strategy Index Month 6 3.39 10/2009
Option Strategy Index Month 7 3.35 9/2009
Discretionary Trader Index Month 6 4.89 7/2009
Option Strategy Index Month 4 4.89 7/2009
Discretionary Trader Index Month 5 8.86 6/2009
Option Strategy Index Month 2 8.86 6/2009
Diversified Trader Index Month 7 8.86 6/2009
IASG CTA Index Month 9 8.86 6/2009
Option Strategy Index Month 3 4.84 5/2009
Option Strategy Index Month 8 3.66 4/2009
Diversified Trader Index Month 9 4.29 3/2009
Discretionary Trader Index Month 9 4.29 3/2009
Option Strategy Index Month 3 4.29 3/2009
Option Strategy Index Month 4 5.19 2/2009
Diversified Trader Index Month 6 5.19 2/2009
Discretionary Trader Index Month 9 5.19 2/2009
Option Strategy Index Month 9 2.17 12/2008
IASG CTA Index Sharpe 5 5.51 2007 - 2008
Option Strategy Index Month 5 1.97 11/2008
Discretionary Trader Index Month 8 1.97 11/2008
Option Strategy Index Month 4 0.00 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.