Pukula & Co. : YOOF

archived programs
Year-to-Date
N / A
Oct Performance
-2.30%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
11.54%
Sharpe (RFR=1%)
-0.28
CAROR
-2.85%
Assets
$ 93k
Worst DD
-18.06
S&P Correlation
-0.37

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
6/2010
YOOF -2.30 - - - - - -15.30 -6.74
S&P 500 -1.98 - - - - - 59.40 236.09
+/- S&P 500 -0.32 - - - - - -74.70 -242.83

Strategy Description

Summary

The YOOF program is a variation of the YES OO trading program that substitutes the use of futures contracts for the cash treasury securities. The objective of the yield enhancement strategy is first, to increase the client’s yield using conservative techniques involving derivative... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $15.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 2500 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 100.00%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Option-purchasing
10.00%
Option-spreads
90.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

The YOOF program is a variation of the YES OO trading program that substitutes the use of futures contracts for the cash treasury securities. The objective of the yield enhancement strategy is first, to increase the client’s yield using conservative techniques involving derivative product, and second, to protect the asset value of the underlying portfolio.

Investment Strategy

The Oblique Option System which is used is a trend-countertrend system employing option credit spreads and outright options. Its’ proprietary methodology takes advantage of both option decay and short term market spikes while enjoying limited liability on every trade. The YOOF program uses futures contracts instead of the cash treasury bonds as the underlying asset to write call spreads against. Due to the lack of interest income from the bond, it is expected to yield a lower rate of return than the original program. Also, the lack of this income component should result in a significantly altered risk to reward relationship.

Risk Management

Like the YES OO program. The YOOF program does not take any naked short option positions. Any shorts are only part of a spread with an offsetting long position. The maximum loss per trade is the difference between the two option strikes of the spread or the full price paid for the outright option. In most cases this risk is generally not more than $2,000 per spread position.

   

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:
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
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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
-18.06 7 10 8/1/2010 3/1/2011
-16.29 9 - 1/1/2012 10/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
17.12 6 4/1/2011 9/1/2011
8.20 1 8/1/2010 8/1/2010
7.58 3 11/1/2011 1/1/2012
1.76 1 6/1/2010 6/1/2010
1.30 1 6/1/2012 6/1/2012
0.70 1 9/1/2012 9/1/2012
0.40 1 3/1/2012 3/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.06 7 9/1/2010 3/1/2011
-8.80 2 4/1/2012 5/1/2012
-6.39 2 7/1/2012 8/1/2012
-2.30 1 10/1/2012 10/1/2012
-2.00 1 2/1/2012 2/1/2012
-2.00 1 10/1/2011 10/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods29.0027.0024.0018.0012.00
Percent Profitable48.2848.1545.8361.1191.67
Average Period Return-0.19-0.55-0.963.544.67
Average Gain2.565.328.649.665.17
Average Loss-2.95-6.00-9.09-6.08-0.84
Best Period8.2010.4817.1221.499.48
Worst Period-5.80-10.13-16.13-9.94-0.84
Standard Deviation3.336.5610.1210.413.04
Gain Standard Deviation2.283.514.678.432.62
Loss Standard Deviation1.532.844.713.46
Sharpe Ratio (1%)-0.08-0.12-0.140.241.04
Average Gain / Average Loss0.870.890.951.596.14
Profit / Loss Ratio0.870.820.802.5067.50
Downside Deviation (10%)2.555.579.147.404.09
Downside Deviation (5%)2.344.917.804.850.70
Downside Deviation (0%)2.294.757.474.280.24
Sortino Ratio (10%)-0.23-0.32-0.38-0.20-0.71
Sortino Ratio (5%)-0.12-0.16-0.190.524.55
Sortino Ratio (0%)-0.08-0.12-0.130.8319.20

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.