Opto Global Macro, LLC : Opto Global Macro Fund

archived programs
Year-to-Date
N / A
Mar Performance
7.43%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
58.91%
Sharpe (RFR=1%)
0.63
CAROR
26.51%
Assets
$ 1.8M
Worst DD
-51.85
S&P Correlation
-0.24

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
10/2009
Opto Global Macro Fund 7.43 15.16 - 4.51 85.84 - - 127.76
S&P 500 3.60 10.03 - 11.41 34.16 - - 51.41
+/- S&P 500 3.83 5.13 - -6.90 51.68 - - 76.35

Strategy Description

Summary

We are a global macro fund which operates a commodity pool trading liquid global index, commodity, currency and bond futures.... Read More

Account & Fees

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

Subscriptions

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

Trading

Trading Frequency
2400 RT/YR/$M
Avg. Margin-to-Equity
50%
Targeted Worst DD
-5.00%
Worst Peak-to-Trough
15.60%
Sector Focus
Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-purchasing
10.00%
Pattern Recognition
30.00%
Technical
60.00%
Strategy Pie Chart

Composition

Stock Indices
72.00%
Energy
20.00%
Currency Futures
4.00%
Interest Rates
2.00%
Precious Metals
2.00%
Composition Pie Chart

Summary

We are a global macro fund which operates a commodity pool trading liquid global index, commodity, currency and bond futures.

Investment Strategy

Opto Global Macro Fund is a global macro fund focusing on most liquid global equity index, commodity, currencies and bond futures. Our core trading vehicles are global equity index futures. The strategy combines both global macro view and technical trading skills and is not a “black box”. The strategy seeks to obtain out of line high returns with a manageable risk profile. Our core competencies include: macro research on historical market events since 1929; superior technical trading skills which identify new trading patterns fast enough to adjust trading performance; in-depth understanding of Chinese economic and political cycles and policies and their impact on global markets.

Risk Management

We employ 3% stop loss rule for each position size. We rarely take overnight positions in trading positions. Leverage is capped at 2x maximum gross exposure. We also trade across a wide range of geographic markets and coommodities and use options on futures to mitigate 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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Loss Deviation:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
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Average Gain:
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Risk
Standard Deviation:
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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
-51.85 13 - 9/1/2011 10/1/2012
-15.64 5 2 12/1/2009 5/1/2010
-12.17 3 4 1/1/2011 4/1/2011
-9.37 2 1 10/1/2010 12/1/2010
-5.19 1 2 7/1/2010 8/1/2010
-4.14 1 1 10/1/2009 11/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
128.82 2 8/1/2011 9/1/2011
34.94 1 10/1/2009 10/1/2009
34.19 5 11/1/2012 3/1/2013
28.68 2 6/1/2010 7/1/2010
24.85 5 2/1/2012 6/1/2012
12.72 1 5/1/2011 5/1/2011
11.96 1 12/1/2009 12/1/2009
11.45 1 1/1/2011 1/1/2011
10.07 2 9/1/2010 10/1/2010
7.05 1 12/1/2011 12/1/2011
3.71 1 8/1/2012 8/1/2012
2.04 1 3/1/2011 3/1/2011
1.37 1 4/1/2010 4/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-39.52 2 10/1/2011 11/1/2011
-34.66 2 9/1/2012 10/1/2012
-15.37 3 1/1/2010 3/1/2010
-11.00 1 4/1/2011 4/1/2011
-9.37 2 11/1/2010 12/1/2010
-8.82 1 1/1/2012 1/1/2012
-6.09 2 6/1/2011 7/1/2011
-5.19 1 8/1/2010 8/1/2010
-4.14 1 11/1/2009 11/1/2009
-3.60 1 7/1/2012 7/1/2012
-3.29 1 2/1/2011 2/1/2011
-1.66 1 5/1/2010 5/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods42.0040.0037.0031.0025.0019.00
Percent Profitable57.1460.0062.1677.4292.00100.00
Average Period Return3.187.6811.4327.2247.3268.69
Average Gain11.8122.0128.7939.5253.9568.69
Average Loss-8.33-13.82-17.08-14.98-28.98
Best Period77.70118.07115.58129.39187.65252.53
Worst Period-31.59-35.25-38.18-40.27-35.393.45
Standard Deviation17.0029.5132.0834.7947.6852.62
Gain Standard Deviation16.7329.1128.3528.6943.6052.62
Loss Standard Deviation8.5811.938.9714.639.07
Sharpe Ratio (1%)0.180.250.340.750.961.27
Average Gain / Average Loss1.421.591.692.641.86
Profit / Loss Ratio1.892.392.779.0521.41
Downside Deviation (10%)7.9012.0013.1511.4910.501.56
Downside Deviation (5%)7.7511.5212.059.958.81
Downside Deviation (0%)7.7111.3911.789.598.39
Sortino Ratio (10%)0.350.540.681.933.7837.47
Sortino Ratio (5%)0.400.650.912.635.20
Sortino Ratio (0%)0.410.670.972.845.64

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.