Pirates of Profit CTA : CA$H C.O.W. Program

archived programs
Year-to-Date
N / A
Apr Performance
9.36%
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
64.03%
Sharpe (RFR=1%)
-0.52
CAROR
-
Assets
$ 84k
Worst DD
-77.00
S&P Correlation
0.48

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
6/2006
CA$H C.O.W. Program 9.36 - - - - - - -68.01
S&P 500 4.75 - - - - - - 154.78
+/- S&P 500 4.61 - - - - - - -222.79

Strategy Description

Summary

-The Cash Cow is an option selling strategy that involves writing premium on options on futures contracts. The objective of this strategy is to achieve capital appreciation through speculation of options on futures contracts. This entails comparatively high level of risk. The Cash... 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

-The Cash Cow is an option selling strategy that involves writing premium on options on futures contracts. The objective of this strategy is to achieve capital appreciation through speculation of options on futures contracts. This entails comparatively high level of risk. The Cash Cow may trade options on any futures contract traded on any U.S. Exchange. The Cash Cow strategy uses systematic analysis combined with other fundamental and discretionary methods to trade short options. Pirates of Profit may, from time to time, purchase options or outright futures contracts when deemed necessary for diversification or position protection purposes.

   

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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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
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Average Gain:
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Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
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Sharpe Ratio: (RF=1%)
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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
-77.00 11 - 3/1/2007 2/1/2008
-20.87 2 5 8/1/2006 10/1/2006
-1.92 1 1 1/1/0001 6/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
31.44 1 12/1/2007 12/1/2007
22.04 2 7/1/2006 8/1/2006
19.78 3 11/1/2006 1/1/2007
16.11 2 3/1/2008 4/1/2008
16.00 1 3/1/2007 3/1/2007
15.56 1 10/1/2007 10/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-64.18 2 1/1/2008 2/1/2008
-46.43 6 4/1/2007 9/1/2007
-21.10 1 11/1/2007 11/1/2007
-20.87 2 9/1/2006 10/1/2006
-8.97 1 2/1/2007 2/1/2007
-1.92 1 6/1/2006 6/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods23.0021.0018.0012.00
Percent Profitable43.4842.8627.7816.67
Average Period Return-2.68-11.63-22.01-36.40
Average Gain11.8913.6915.3917.56
Average Loss-13.88-30.61-36.39-47.19
Best Period31.4423.0224.1418.01
Worst Period-60.49-61.97-65.94-75.59
Standard Deviation18.4827.1530.6733.21
Gain Standard Deviation9.017.189.650.63
Loss Standard Deviation15.8919.6122.2423.91
Sharpe Ratio (1%)-0.15-0.44-0.73-1.13
Average Gain / Average Loss0.860.450.420.37
Profit / Loss Ratio0.660.340.160.07
Downside Deviation (10%)15.7227.9437.6951.95
Downside Deviation (5%)15.5627.3136.2348.62
Downside Deviation (0%)15.5127.1535.8647.80
Sortino Ratio (10%)-0.20-0.46-0.65-0.80
Sortino Ratio (5%)-0.18-0.43-0.62-0.77
Sortino Ratio (0%)-0.17-0.43-0.61-0.76

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.