Orion Capital Management : Index Program I

archived programs
Year-to-Date
N / A
Performance
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
0.00%
Sharpe (RFR=1%)
0.00
CAROR
-
Assets
Worst DD
N/A
S&P Correlation
0.00

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.

Strategy Description

Summary

-BACKGROUND ON ORION CAPITAL MANAGEMENT Larry G. Lawrence has 20 years experience in trading and risk management. His experience includes derivatives portfolio management, risk management and trading consulting, corporate education, technical and options analysis, advisory service... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 0k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-BACKGROUND ON ORION CAPITAL MANAGEMENT Larry G. Lawrence has 20 years experience in trading and risk management. His experience includes derivatives portfolio management, risk management and trading consulting, corporate education, technical and options analysis, advisory service publishing, and institutional sales. From September 1991 until January 1998, Mr. Lawrence was self-employed as an independent consultant and subcontractor, specializing in the field of trading and risk management. Mr. Lawrence registered as an Investment Adviser in 1993 doing business as Lawrence Financial Services, and continues to manage client assets in securities. Concurrent with his work as an independent consultant, Mr. Lawrence worked part time for the Princeton Energy Programme of Princeton, New Jersey from February 1996 through January 1997. His duties included energy risk management educational course development and corporate training. He served as a subcontracted consultant to Teknecon, Inc. of Austin, Texas from August 1996 until January 1998. Mr. Lawrence switched from an independent consultant to an employee of Teknecon, Inc. in January 1998. As a Principal of the firm, Mr. Lawrence's duties included servicing clients and developing new account relationships. In December 1998, Mr. Lawrence became an owner of Teknecon Energy Risk Advisors, LLC (TERA) of Austin, Texas, serving as Principal. At that time, TERA succeeded Teknecon, Inc. and assumed its consulting contract obligations. In April 2002, Mr. Lawrence sold his share of TERA and founded Enterprise Risk Consulting, LLC, which offers consulting services similar to those Mr. Lawrence performed for TERA. Mr. Lawrence has extensive experience in trading and risk management implementation for energy companies. His experience includes the development of trading and risk management policies and procedures, real option valuation and modeling, forward price curve and term structure of volatility development, portfolio optimization modeling, risk and performance measurement, hedge strategy development, credit risk management, and risk management education. He has served the risk management needs of domestic and international energy companies as an institutional broker of exchange-traded and over-the-counter derivative financial instruments. During his brokerage career, Mr. Lawrence held the position of Vice President at Elders Futures, Inc. and at Merrill Lynch Futures, Inc. At the conclusion of his brokerage career, Mr. Lawrence was President of Eastbrook Futures, Inc., a subsidiary of the Saudi Arabian merchant bank Eastbrook, Inc. Mr. Lawrence was responsible for all aspects of futures fund management, including fund concept and creation, trading advisor selection and negotiation, and administration. As an independent consultant, Mr. Lawrence served the needs of a variety of privately-held money management entities. In this role, he developed many fundamental, technical, and econometric models for trading and risk management in equity and fixed-income cash and derivatives markets, and managed equity and fixed-income portfolios for small institutions and high net worth individuals. Mr. Lawrence has created and conducted educational courses for the energy industry as a consultant to the Princeton Energy Programme. The subject matter for these courses includes analysis and trading of energy futures and options, energy risk management, technical analysis, basis trading, exotic options, and risk management program design. Mr. Lawrence holds the BS in communications from the University of Texas at Austin. In addition to his registration with the Commodity Futures Trading Commission (CFTC) and the National Futures Association (NFA) as a Commodity Trading Advisor (CTA), he is registered with the State of Texas as an Investment Advisor. TRADING STRATEGY Orion Capital Management employs a systematic approach to trading; specializing in a program of selling option spreads on stock index futures. An example of a primary strategy is a "short put spread" which involves the sale of put on the S&P 500 stock index futures contract and the purchase of a put on the same index futures contract but at a lower strike, or exercise, price. Orion Capital Management may also, from time to time, purchase options on stock index futures and buy or sell stock index futures. The Advisor's strategy is designed to take advantage of the fact that most buyers of options and option spreads lose money. Because trading in options on futures is a zero sum system, any money lost by option and option spread buyers becomes a profit to option and option spread sellers. Further, the Advisor specializes in selling put spreads on stock index futures to take advantage of frequent option mis-pricing, and of the persistent upward bias of the stock market. Volatility analysis using option valuation models (e.g., Black-Scholes) shows that lower strike price puts on stock index futures are frequently over-valued when compared to higher strike price options on stock index futures. And the U.S. stock market has a tendency to drift higher over time, providing an advantage to a consistent put spread seller. The implementation of this program, including the timing of option spread sales and the selection of strike prices and expiration dates, depends on technical and fundamental considerations. The choice of how many options per position is strictly determined by account size and rigorous risk management factors. The technical considerations include a variety of short, intermediate, and long-term technical market-timing models. These models are based on: Multiple stock indexes A variety of trend-following and counter-trend technical models based on price, volatility, volume, and interest rates Fundamental considerations include economic and political influences on stock market valuations. Risk management considerations that affect position size include the reduction of leverage to achieve an optimal balance of return and risk. The number of option spreads sold at any one time is less than the futures exchange permits under its margin rules. The Advisor always maintains a "hedged" strategy so that the maximum potential loss on any position (not including slippage and commissions) will be known at all times. The Advisor will never sell uncovered or "naked" options on stock index futures. The Advisor's approach to risk management has several elements. As discussed previously, because the featured strategy involves selling option spreads, as opposed to naked options, positions are always hedged. All option spreads are sold "out of the money", so that the stock market must move against the option spread by the amount it is "out of the money" before a loss will result at option expiration. The Advisor employs a dynamic stop loss methodology -- if the market moves against the option spread position by a specific amount over a specific period of time, the position will be systematically liquidated in order to preserve trading capital.

   

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

Consecutive Gains

Run-up Length (Mos.) Start End
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
Show More

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.