Orion Capital Advisors : Orion Beta Opportunity Strategy (Proprietary)

Year-to-Date
5.31%
Oct Performance
3.07%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.15%
Sharpe (RFR=1%)
0.35
CAROR
4.85%
Assets
$ 499k
Worst DD
-20.05
S&P Correlation
0.16

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
11/2015
Orion Beta Opportunity Strategy (Proprietary) 3.07 6.87 -5.31 -6.37 12.83 - - 20.87
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 44.52
+/- S&P 500 1.03 4.95 -26.47 -18.38 -28.59 - - -23.66

Strategy Description

Summary

The 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
11000 RT/YR/$M
Avg. Margin-to-Equity
15%
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%

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 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 Strategy

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.

Risk Management

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.

   

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:
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Risk
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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
-20.05 8 - 11/1/2018 7/1/2019
-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
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Consecutive Gains

Run-up Length (Mos.) Start End
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
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Consecutive Losses

Run-up Length (Mos.) Start End
-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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods48.0046.0043.0037.0031.0025.0013.00
Percent Profitable60.4265.2265.1278.3883.8776.00100.00
Average Period Return0.471.162.176.3710.9713.7619.72
Average Gain2.754.376.7810.3714.2019.7819.72
Average Loss-3.02-4.84-6.44-8.14-5.80-5.33
Best Period9.5811.9318.8223.1626.8632.6239.45
Worst Period-9.76-10.52-14.68-15.45-9.65-8.798.37
Standard Deviation3.805.537.889.9710.2413.128.88
Gain Standard Deviation2.103.285.056.557.578.258.88
Loss Standard Deviation3.073.463.865.723.022.41
Sharpe Ratio (1%)0.100.170.210.540.920.901.88
Average Gain / Average Loss0.910.901.051.272.453.71
Profit / Loss Ratio1.391.691.974.6212.7411.76
Downside Deviation (10%)2.874.105.726.705.977.893.03
Downside Deviation (5%)2.713.604.654.933.143.75
Downside Deviation (0%)2.683.474.404.532.572.82
Sortino Ratio (10%)0.02-0.02-0.050.200.570.441.30
Sortino Ratio (5%)0.140.250.361.093.013.13
Sortino Ratio (0%)0.170.330.491.414.274.87

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.