Orion Capital Advisors : Orion Beta Opportunity Strategy (Client)

Year-to-Date
3.47%
Mar Performance
-2.99%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.82%
Sharpe (RFR=1%)
-0.13
CAROR
-4.08%
Assets
$ 323k
Worst DD
-32.28
S&P Correlation
-0.34

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
5/2017
Orion Beta Opportunity Strategy (Client) -2.99 -2.99 -3.47 3.49 -17.69 - - -15.06
S&P 500 4.24 9.21 9.21 58.70 55.31 - - 78.14
+/- S&P 500 -7.23 -12.20 -12.67 -55.22 -73.00 - - -93.20

Strategy Description

Summary

The Beta Opportunity Strategy pursues capital growth and absolute returns over time through a systematic macro approach. The program's main objectives are negatively correlated to the S&P 500 and deliver returns independent of market direction. The strategy is offered through... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor 1.50
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $3.50
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 3500 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Fundamental
40.00%
Technical
40.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Stock Indices
90.00%
VIX
10.00%
Composition Pie Chart

Summary

The Beta Opportunity Strategy pursues capital growth and absolute returns over time through a systematic macro approach. The program's main objectives are negatively correlated to the S&P 500 and deliver returns independent of market direction. The strategy is offered through separately managed accounts that produce daily transparency and liquidity.

Investment Strategy

The Beta Opportunity Strategy is systematic and is founded on Orion Capital's execution model connected to the movement in volatility and S&P pricing. Positions are determined using a combination of fundamental and technical analysis. Orion Capital's execution model takes into account several macro and technical factors to determine when a high probability trade is to be placed. The program will transact in E-Mini futures, Micro E-mini futures, VIX futures. The program seeks to deliver returns in high and low volatility environments. Trades are selected on multiple timeframes, trading around core positions. Trades are generally held between 3 and 80 days.

Risk Management

The program aggressively manages risk by frequently adding and subtracting risk around core long or short positions. Executing conditional exits according to the changing probabilities of each trade, closely monitoring margin to equity, and adhering to the rules of Orion's execution model. Predefined margin-to-equity models are managed for new positions and the overall portfolio to keep risk within downside volatility parameters with an average of 8% M/E. All positions are placed and monitored by Orion’s trading principals

   

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
-32.28 13 - 11/1/2018 12/1/2019
-9.79 2 3 12/1/2017 2/1/2018
-6.44 1 1 9/1/2018 10/1/2018
-0.59 1 1 9/1/2017 10/1/2017
-0.10 1 1 5/1/2017 6/1/2017
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
37.20 3 1/1/2020 3/1/2020
17.86 7 3/1/2018 9/1/2018
16.68 3 9/1/2020 11/1/2020
9.18 1 11/1/2018 11/1/2018
6.08 1 8/1/2019 8/1/2019
2.86 1 1/1/2021 1/1/2021
2.83 1 10/1/2019 10/1/2019
1.98 3 7/1/2017 9/1/2017
1.68 1 1/1/2019 1/1/2019
0.99 1 3/1/2019 3/1/2019
0.95 2 11/1/2017 12/1/2017
0.71 1 5/1/2017 5/1/2017
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-26.17 5 4/1/2020 8/1/2020
-22.40 2 11/1/2019 12/1/2019
-10.10 4 4/1/2019 7/1/2019
-9.79 2 1/1/2018 2/1/2018
-9.23 1 12/1/2018 12/1/2018
-6.44 1 10/1/2018 10/1/2018
-6.15 2 2/1/2021 3/1/2021
-2.52 1 2/1/2019 2/1/2019
-2.06 1 9/1/2019 9/1/2019
-1.68 1 12/1/2020 12/1/2020
-0.59 1 10/1/2017 10/1/2017
-0.10 1 6/1/2017 6/1/2017
Show More

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 5 2.86 1/2021
Stock Index Trader Index Month 6 11.29 3/2020
IASG CTA Index Month 1 23.15 2/2020
Systematic Trader Index Month 1 23.15 2/2020
Stock Index Trader Index Month 1 23.15 2/2020
Trend Following Strategy Index Month 5 2.83 10/2019
Stock Index Trader Index Month 5 2.83 10/2019
Option Strategy Index Month 1 6.08 8/2019
Stock Index Trader Index Month 4 6.08 8/2019
Option Strategy Index Month 10 -3.44 5/2019
Option Strategy Index Month 10 -1.50 4/2019

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