Orion Capital Advisors : Orion Beta Opportunity Strategy (Proprietary) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 15.64% May Performance -6.36% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 13.15% Sharpe (RFR=1%) 0.35 CAROR 4.85% Assets $ 500k Worst DD -34.27 S&P Correlation -0.40 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 May Qtr 2020 1yr 3yr 5yr 10yr Since11/2015 Orion Beta Opportunity Strategy (Proprietary) -6.36 - 15.64 15.64 -14.71 1.92 - 7.52 S&P 500 4.53 - -5.77 10.62 24.94 42.99 - 78.71 +/- S&P 500 -10.89 - 21.41 5.02 -39.65 -41.07 - -71.18 Strategy Description SummaryThe Beta Opportunity Strategy pursues capital growth and absolute returns over time through a systematic macro approach. The program is designed to be negatively correlated to the S&P 500 and seeks to 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 $3.50 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 8000 RT/YR/$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% Composition Stock Indices 90.00% VIX 10.00% SummaryThe Beta Opportunity Strategy pursues capital growth and absolute returns over time through a systematic macro approach. The program is designed to be negatively correlated to the S&P 500 and seeks to deliver returns independent of market direction. The strategy is offered through separately managed accounts that produce daily transparency and liquidity. Orion’s strategy is founded on Orion Capital's systematic execution model connected to the probabilities of movement in volatility vs S&P500 pricing. Positions are determined using the combination of fundamental and technical analysis in Orion’s systematic execution model. The program currently trades long/short equity index futures, micro futures, long VIX futures and cash secured options. The program seeks to deliver returns in high and low volatility environments. The trades selected by the systematic execution model use a long short ratio structure to take advantage of volatility in the market. Trades are generally held between 15 and 80 days. The program manages risk by using long/short futures, buying long VIX futures, executing conditional exits according to the changing probabilities of each trade, closely monitoring margin to equity, and adhering to the rules of Orion's systematic execution model. Predefined margin-to-equity models are managed for new positions and the overall portfolio to keep risk within downside volatility parameters with a targeted average of 10% M/E. Long VIX futures are purchased systematically to further dampen account volatility, capture implied volatility, and further hedge downside risk. All positions are placed and monitored by Orion’s trading principals. All performance is net of fees. Investment StrategyOrion’s strategy is founded on Orion Capital's systematic execution model connected to the probabilities of movement in volatility vs S&P500 pricing. Positions are determined using the combination of fundamental and technical analysis in Orion’s systematic execution model. The program currently trades long/short equity index futures, micro futures, long VIX futures and cash secured options. The program seeks to deliver returns in high and low volatility environments. The trades selected by the systematic execution model use a long-short ratio structure to take advantage of volatility in the market. Trades are generally held between 15 and 80 days.Risk ManagementThe program manages risk by using long/short futures, buying long VIX futures, executing conditional exits according to the changing probabilities of each trade, closely monitoring margin to equity, and adhering to the rules of Orion's systematic execution model. Predefined margin-to-equity models are managed for new positions and the overall portfolio to keep risk within downside volatility parameters with a targeted average of 10% M/E. Long VIX futures are purchased systematically to further dampen account volatility, capture implied volatility, and further hedge downside risk. All positions are placed and monitored by Orion’s trading principals. All performance is net of fees. 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 -34.27 13 - 11/1/2018 12/1/2019 -9.43 3 2 11/1/2017 2/1/2018 -8.19 1 8 2/1/2016 3/1/2016 -5.45 1 1 9/1/2018 10/1/2018 -2.45 1 1 11/1/2016 12/1/2016 -0.84 2 1 8/1/2017 10/1/2017 -0.21 1 1 5/1/2017 6/1/2017 -0.01 1 1 12/1/2015 1/1/2016 Show More Consecutive Gains Run-up Length (Mos.) Start End 43.75 3 1/1/2020 3/1/2020 19.55 7 3/1/2018 9/1/2018 13.94 5 1/1/2017 5/1/2017 9.58 1 11/1/2018 11/1/2018 8.54 3 9/1/2016 11/1/2016 7.59 3 4/1/2016 6/1/2016 6.12 1 8/1/2019 8/1/2019 5.50 2 11/1/2015 12/1/2015 3.07 1 10/1/2019 10/1/2019 2.46 1 2/1/2016 2/1/2016 2.31 2 7/1/2017 8/1/2017 1.89 1 1/1/2019 1/1/2019 0.91 1 11/1/2017 11/1/2017 0.86 1 3/1/2019 3/1/2019 Show More Consecutive Losses Run-up Length (Mos.) Start End -23.07 2 11/1/2019 12/1/2019 -19.55 2 4/1/2020 5/1/2020 -11.41 4 4/1/2019 7/1/2019 -9.76 1 12/1/2018 12/1/2018 -9.43 3 12/1/2017 2/1/2018 -8.19 1 3/1/2016 3/1/2016 -5.45 1 10/1/2018 10/1/2018 -4.16 2 7/1/2016 8/1/2016 -2.68 1 2/1/2019 2/1/2019 -2.45 1 12/1/2016 12/1/2016 -2.29 1 9/1/2019 9/1/2019 -0.84 2 9/1/2017 10/1/2017 -0.21 1 6/1/2017 6/1/2017 -0.01 1 1/1/2016 1/1/2016 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods55.0053.0050.0044.0038.0032.0020.00 Percent Profitable58.1862.2660.0068.1868.4265.6375.00 Average Period Return0.321.271.063.055.658.3110.88 Average Gain3.756.326.8510.1914.2018.5918.05 Average Loss-4.46-7.06-7.62-12.24-12.88-11.32-10.63 Best Period25.8743.7518.8223.1626.8632.6239.45 Worst Period-14.09-22.48-19.63-27.96-29.95-26.24-17.06 Standard Deviation6.199.868.8112.8315.1816.7615.34 Gain Standard Deviation4.898.135.156.527.578.789.46 Loss Standard Deviation4.416.105.278.979.898.405.78 Sharpe Ratio (1%)0.040.100.060.160.270.380.51 Average Gain / Average Loss0.840.900.900.831.101.641.70 Profit / Loss Ratio1.171.481.351.782.393.145.09 Downside Deviation (10%)4.206.287.1710.9312.8513.6314.00 Downside Deviation (5%)4.055.796.088.929.689.127.30 Downside Deviation (0%)4.015.675.818.458.988.135.91 Sortino Ratio (10%)-0.020.01-0.20-0.18-0.15-0.14-0.35 Sortino Ratio (5%)0.060.180.090.230.430.691.07 Sortino Ratio (0%)0.080.220.180.360.631.021.84 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