Orbits Venture, Inc. : Risk Sigma Program No. 2 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.14% Jan Performance -0.14% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 8.29% Sharpe (RFR=1%) 0.80 CAROR 7.47% Assets $ 9.1M Worst DD -17.96 S&P Correlation 0.10 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since3/2015 Risk Sigma Program No. 2 -0.14 1.12 -0.14 8.17 -3.43 30.15 - 53.16 S&P 500 -1.11 13.59 -1.11 15.15 31.52 89.48 - 77.79 +/- S&P 500 0.97 -12.47 0.97 -6.98 -34.96 -59.33 - -24.62 Strategy Description Summary“Risk Sigma” is a short term “mean reversion” trading program focused on S&P 500 Futures and Options. It has average 5~10 days holding period. Shorter trading time frame and higher turnover seeks to reduce program volatility exposure and draw downs. Our strategy is generated... 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 $1.25 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 7-14 Days Redemption Frequency 7-14 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 15000 RT/YR/$M Avg. Margin-to-Equity 65% Targeted Worst DD -5.00% Worst Peak-to-Trough 0% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 100.00% Intraday 0% Decision-Making Discretionary 15.00% Systematic 85.00% Strategy Option-writing 95.00% Pattern Recognition 2.00% Spreading/hedging 2.00% Technical 1.00% Composition Stock Indices 100.00% Summary“Risk Sigma” is a short term “mean reversion” trading program focused on S&P 500 Futures and Options. It has average 5~10 days holding period. Shorter trading time frame and higher turnover seeks to reduce program volatility exposure and draw downs. Our strategy is generated by rigorous mathematical and quantitative models without having doctrinaire perspective favoring any prescribed textbook investing or trading methodology. Following the ebb and flow of market actions, we not only look at absolute returns but also focus on risk adjusted returns. “Risk Sigma” is available through managed accounts and offers daily transparency. We trade liquid product and can offer weekly liquidity. The program’s goal is to maintain a Sharpe Ratio of high 2. The design of “Risk Sigma” is not keyed or correlated with other major indices such as S&P500, and thus offers great diversification value to investors. Investment Strategy“Risk Sigma” invests in S&P 500 Futures and Options with the objective of achieving consistent capital growth, which aims to be uncorrelated with the S&P 500 index and other major hedge fund indices. The goal is to achieve consistent absolute returns in all likely future market scenarios and to provide added-value as a diversification to portfolios that already have other assets, such as trend-following or momentum strategies. The program is model-driven. It seeks to generate returns from both volatility and directional market. The program may express its market views by shorting calls at intermediate term tops, shorting puts at intermediate bottoms and shorting strangles at range market. It may also long or short futures to hedge the portfolio risk.Risk ManagementOur risk management system has been designed to produce consistent returns with controlled volatility instead of occasionally outsized returns as experienced in most trend following systems. A combination of risk management and portfolio cash allocations is tailored to be consistent with the individual investor’s resources and risk tolerance. Trading SP500 index futures and options sees large daily market volumes. After witnessing the vacuum market conditions observed around the market extremes in the last one and half decades, we decide to put liquidity as first priority. Losing money is bad for an investment manager; losing money and leaving investors with illiquid positions is simply unacceptable. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -17.96 1 - 1/1/2018 2/1/2018 Show More Consecutive Gains Run-up Length (Mos.) Start End 58.61 35 3/1/2015 1/1/2018 8.18 7 3/1/2020 9/1/2020 7.00 9 3/1/2018 11/1/2018 2.72 3 2/1/2019 4/1/2019 1.27 1 9/1/2019 9/1/2019 1.26 2 11/1/2020 12/1/2020 1.19 3 11/1/2019 1/1/2020 0.80 2 6/1/2019 7/1/2019 Show More Consecutive Losses Run-up Length (Mos.) Start End -17.96 1 2/1/2018 2/1/2018 -2.67 1 5/1/2019 5/1/2019 -1.15 2 12/1/2018 1/1/2019 -0.93 1 2/1/2020 2/1/2020 -0.29 1 8/1/2019 8/1/2019 -0.19 1 10/1/2020 10/1/2020 -0.14 1 1/1/2021 1/1/2021 -0.10 1 10/1/2019 10/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods71.0069.0066.0060.0054.0048.0036.0024.00 Percent Profitable87.3288.4186.3680.0072.2277.0888.89100.00 Average Period Return0.631.933.827.119.8112.0211.7923.30 Average Gain1.103.095.9611.1315.6717.5213.5723.30 Average Loss-2.60-6.89-9.78-8.97-5.41-6.46-2.45 Best Period3.416.6611.0219.5629.4940.3630.5739.13 Worst Period-17.96-16.77-15.57-13.22-12.55-10.73-3.4313.25 Standard Deviation2.394.386.539.9913.2416.0910.847.80 Gain Standard Deviation0.601.532.966.4610.5114.1010.167.80 Loss Standard Deviation5.828.096.682.184.413.600.93 Sharpe Ratio (1%)0.230.380.510.610.630.620.812.47 Average Gain / Average Loss0.420.450.611.242.902.715.54 Profit / Loss Ratio2.923.423.864.967.539.1244.34 Downside Deviation (10%)2.233.795.116.447.438.609.823.38 Downside Deviation (5%)2.173.544.454.564.284.391.96 Downside Deviation (0%)2.163.494.304.123.633.500.86 Sortino Ratio (10%)0.100.190.260.330.300.21-0.400.52 Sortino Ratio (5%)0.250.480.751.341.942.284.48 Sortino Ratio (0%)0.290.550.891.722.703.4313.72 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. x {{title}} x {{title}} Add Cancel