Option Capital Advisory : OCA Premium

archived programs
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

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 YTD 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

"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... Read More

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%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-spreads
20.00%
Option-writing
80.00%
Strategy Pie Chart

Composition

Energy
50.00%
Currency Futures
40.00%
Grains
10.00%
Composition Pie Chart

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.

   

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
-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
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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
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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
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods51.0049.0046.0040.0034.0028.0016.00
Percent Profitable64.7169.3971.7467.5070.5964.2950.00
Average Period Return0.913.277.0012.9523.1833.6948.58
Average Gain4.6711.2819.7034.7343.9860.96108.51
Average Loss-6.74-14.88-25.23-32.30-26.76-15.38-11.35
Best Period13.0923.6039.9362.7092.6795.07163.41
Worst Period-39.45-51.32-54.23-48.11-36.03-23.82-20.97
Standard Deviation8.0216.1625.7436.1437.3839.0376.27
Gain Standard Deviation2.916.1612.2717.3921.3114.3764.87
Loss Standard Deviation10.1417.2222.6917.456.324.317.06
Sharpe Ratio (1%)0.100.190.250.330.580.810.60
Average Gain / Average Loss0.690.760.781.081.643.969.56
Profit / Loss Ratio1.431.721.982.233.957.139.56
Downside Deviation (10%)6.8012.8118.7423.3118.9115.5119.91
Downside Deviation (5%)6.7012.4417.9321.2515.6710.6811.19
Downside Deviation (0%)6.6712.3517.7320.7414.879.519.28
Sortino Ratio (10%)0.070.160.240.340.821.511.65
Sortino Ratio (5%)0.120.240.360.561.382.974.07
Sortino Ratio (0%)0.140.260.390.621.563.545.23

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.