Option Capital Advisory : OCA Premium

Year-to-Date: N / A
Jul Performance: -0.55%

Min Investment: $ 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 27.79%
Sharpe (RFR=1%): 0.36
CAROR: 6.56%

Assets: $ 51k
Worst DD: -54.77
S&P Correlation: 0.09

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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	Jul	Qtr	2019	1yr	3yr	5yr	10yr	Since 5/2011
OCA Premium	-0.55	0.00	-	2.82	-9.68	-	-	31.01
S&P 500	1.97	0.88	-	8.97	52.53	-	-	54.54
+/- S&P 500	-2.52	-0.88	-	-6.14	-62.21	-	-	-23.54

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 100k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $13.00
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: 3000 RT/YR/$M
Avg. Margin-to-Equity: 30%
Targeted Worst DD: -15.00%
Worst Peak-to-Trough: 13.20%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 100.00%
1-30 Days: 0%
Intraday: 0%

Summary

"OCA Premium" strategy is based on writing calls and puts on out-of-the-money options on commodity futures (primarily on currencies and energy resources). The strategy is designed to capture the decay of option premiums. Primarily uncovered or naked options are sold. The trading strategy is non-directional and both fundamental and technical analysis is incorporated into the trading decision. In case of market fluctuations as well as unprecedented fall of markets we usually close positions or open the opposite position in same option with different strike price or use method of delta hedging.

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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.

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Index:

Monthly Annual

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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
-54.77	5	-	8/1/2014	1/1/2015
-13.57	3	10	4/1/2012	7/1/2012
-4.16	1	1	6/1/2011	7/1/2011
-3.43	1	1	7/1/2013	8/1/2013
-2.47	1	1	1/1/2014	2/1/2014
-0.85	1	1	9/1/2013	10/1/2013
-0.29	1	1	11/1/2013	12/1/2013

Consecutive Gains

Run-up	Length (Mos.)	Start	End
61.52	9	8/1/2011	4/1/2012
31.26	6	3/1/2014	8/1/2014
26.37	5	3/1/2013	7/1/2013
10.81	4	8/1/2012	11/1/2012
9.47	1	11/1/2013	11/1/2013
9.44	1	1/1/2014	1/1/2014
7.67	2	5/1/2015	6/1/2015
6.16	1	6/1/2012	6/1/2012
5.13	2	2/1/2015	3/1/2015
4.12	1	9/1/2013	9/1/2013
0.17	1	11/1/2014	11/1/2014

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-51.40	2	9/1/2014	10/1/2014
-13.14	1	7/1/2012	7/1/2012
-8.22	3	12/1/2012	2/1/2013
-7.08	2	12/1/2014	1/1/2015
-6.27	1	5/1/2012	5/1/2012
-4.16	3	5/1/2011	7/1/2011
-3.43	1	8/1/2013	8/1/2013
-2.47	1	2/1/2014	2/1/2014
-1.86	1	4/1/2015	4/1/2015
-0.85	1	10/1/2013	10/1/2013
-0.55	1	7/1/2015	7/1/2015
-0.29	1	12/1/2013	12/1/2013

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	51.00	49.00	46.00	40.00	34.00	28.00	16.00
Percent Profitable	64.71	69.39	71.74	67.50	70.59	64.29	50.00
Average Period Return	0.91	3.27	7.00	12.95	23.18	33.69	48.58
Average Gain	4.67	11.28	19.70	34.73	43.98	60.96	108.51
Average Loss	-6.74	-14.88	-25.23	-32.30	-26.76	-15.38	-11.35
Best Period	13.09	23.60	39.93	62.70	92.67	95.07	163.41
Worst Period	-39.45	-51.32	-54.23	-48.11	-36.03	-23.82	-20.97
Standard Deviation	8.02	16.16	25.74	36.14	37.38	39.03	76.27
Gain Standard Deviation	2.91	6.16	12.27	17.39	21.31	14.37	64.87
Loss Standard Deviation	10.14	17.22	22.69	17.45	6.32	4.31	7.06
Sharpe Ratio (1%)	0.10	0.19	0.25	0.33	0.58	0.81	0.60
Average Gain / Average Loss	0.69	0.76	0.78	1.08	1.64	3.96	9.56
Profit / Loss Ratio	1.43	1.72	1.98	2.23	3.95	7.13	9.56
Downside Deviation (10%)	6.80	12.81	18.74	23.31	18.91	15.51	19.91
Downside Deviation (5%)	6.70	12.44	17.93	21.25	15.67	10.68	11.19
Downside Deviation (0%)	6.67	12.35	17.73	20.74	14.87	9.51	9.28
Sortino Ratio (10%)	0.07	0.16	0.24	0.34	0.82	1.51	1.65
Sortino Ratio (5%)	0.12	0.24	0.36	0.56	1.38	2.97	4.07
Sortino Ratio (0%)	0.14	0.26	0.39	0.62	1.56	3.54	5.23

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Option Strategy Index	Month	4	3.90	3/2015
Option Strategy Index	Month	8	3.85	8/2014
Option Strategy Index	Month	3	0.84	7/2014
Option Strategy Index	Month	9	1.41	6/2014
Diversified Trader Index	Month	10	6.07	5/2014
Option Strategy Index	Month	1	6.07	5/2014
Discretionary Trader Index	Month	6	6.07	5/2014
Discretionary Trader Index	Month	6	3.04	4/2014
Option Strategy Index	Month	3	3.04	4/2014
Option Strategy Index	Month	1	13.09	3/2014
IASG CTA Index	Month	2	13.09	3/2014
Discretionary Trader Index	Month	1	13.09	3/2014
Diversified Trader Index	Month	2	13.09	3/2014
Option Strategy Index	Month	1	9.44	1/2014
Discretionary Trader Index	Month	2	9.44	1/2014
Diversified Trader Index	Month	3	9.44	1/2014
IASG CTA Index	Month	5	9.44	1/2014
IASG CTA Index	Year Rolling	10	30.39	2012 - 2013
Diversified Trader Index	Month	9	9.47	11/2013
IASG CTA Index	Month	9	9.47	11/2013
Option Strategy Index	Month	2	9.47	11/2013
Discretionary Trader Index	Month	3	9.47	11/2013
Discretionary Trader Index	Month	9	2.73	9/2013
Option Strategy Index	Month	8	2.73	9/2013
Option Strategy Index	Month	8	2.51	8/2013
Option Strategy Index	Month	4	3.05	7/2013
Option Strategy Index	Month	6	4.82	6/2013
Discretionary Trader Index	Month	6	4.99	5/2013
Option Strategy Index	Month	1	4.99	5/2013
Option Strategy Index	Month	3	2.47	4/2013
Option Strategy Index	Month	9	0.83	3/2013
Discretionary Trader Index	Month	10	2.08	12/2012
Option Strategy Index	Month	5	2.08	12/2012
Discretionary Trader Index	Month	10	2.61	11/2012
Option Strategy Index	Month	9	2.61	11/2012
Diversified Trader Index	Month	7	6.17	10/2012
IASG CTA Index	Month	8	6.17	10/2012
Discretionary Trader Index	Month	6	6.17	10/2012
Option Strategy Index	Month	2	6.17	10/2012
Option Strategy Index	Month	5	3.10	9/2012
Option Strategy Index	Month	5	3.52	5/2012
Option Strategy Index	Month	3	3.82	3/2012
Diversified Trader Index	Month	9	4.92	12/2011
Option Strategy Index	Month	8	4.92	12/2011
Option Strategy Index	Month	5	6.68	11/2011
Diversified Trader Index	Month	8	6.68	11/2011
Discretionary Trader Index	Month	8	6.68	11/2011
Option Strategy Index	Month	9	3.46	10/2011
Option Strategy Index	Month	9	4.00	9/2011
Discretionary Trader Index	Month	6	6.74	8/2011
Option Strategy Index	Month	2	6.74	8/2011
Option Strategy Index	Month	2	7.14	7/2011
Discretionary Trader Index	Month	10	7.14	7/2011
IASG CTA Index	Month	10	6.03	6/2011
Option Strategy Index	Month	3	6.03	6/2011
Diversified Trader Index	Month	8	6.03	6/2011
Discretionary Trader Index	Month	6	6.03	6/2011

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

^#4

Top Performer

OPTION STRATEGY INDEX

MARCH
2015

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Option Capital Advisory : OCA Premium

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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