Randolph Read Trading Group, LLC : Flexible Option Strategy 1 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Nov Performance -51.96% Min Investment $ 100k Mgmt. Fee 1.50% Perf. Fee 20.00% Annualized Vol 52.30% Sharpe (RFR=1%) 0.18 CAROR -6.02% Assets $ 72k Worst DD -59.25 S&P Correlation 0.49 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 Nov Qtr 2020 1yr 3yr 5yr 10yr Since8/2009 Flexible Option Strategy 1 -51.96 - - - - - -49.91 -13.48 S&P 500 -0.51 - - - - - 9.42 264.21 +/- S&P 500 -51.45 - - - - - -59.33 -277.70 Strategy Description SummaryOur investment approach includes collecting option premiums for markets that have been selected for their attractiveness and liquidity based upon our selection criteria. This criteria includes an analysis of fundamental and technical data relative to our assessment of a contracts expected... Read More Account & Fees Type Managed Account Minimum Investment $ 100k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 1.50% Performance Fee 20.00% Average Commission $13.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Redemption Frequency Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 3500 RT/YR/$M Avg. Margin-to-Equity 35% Targeted Worst DD -5.00% Worst Peak-to-Trough -1.80% Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 10.00% 1-3 Months 90.00% 1-30 Days Intraday 0% Decision-Making Discretionary 40.00% Systematic 60.00% Strategy Counter-trend 5.00% Fundamental 10.00% Option-purchasing 5.00% Option-writing 75.00% Trend-following 5.00% Composition Currency Futures 15.00% Precious Metals 15.00% Energy 15.00% Grains 15.00% Interest Rates 15.00% Stock Indices 15.00% Softs 10.00% SummaryOur investment approach includes collecting option premiums for markets that have been selected for their attractiveness and liquidity based upon our selection criteria. This criteria includes an analysis of fundamental and technical data relative to our assessment of a contracts expected value versus its current trading level. Historical volatility and price action are key determinants in timing and position sizing.Investment StrategyOne of our primary goals is to minimize drawdowns. We attempt to achieve this by maintaining risk management policies that pay special attention to position sizing and correlations among positions and markets. We are more interested in steady and progressive performance with low volatility than we are in big bets on events or news.Risk ManagementOur primary risk management tool is position sizing relative to account size. We maintain procedures for adjusting positions that are not performing relative to our forecasts and expectations. Our objective will quickly switch from profit to capital preservation when positions turn against us. 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 -59.25 19 - 4/1/2010 11/1/2011 -1.81 1 1 1/1/0001 8/1/2009 Show More Consecutive Gains Run-up Length (Mos.) Start End 116.21 8 9/1/2009 4/1/2010 26.57 2 12/1/2010 1/1/2011 23.04 1 10/1/2011 10/1/2011 12.66 1 9/1/2010 9/1/2010 9.11 2 6/1/2010 7/1/2010 5.32 1 6/1/2011 6/1/2011 2.91 1 3/1/2011 3/1/2011 Show More Consecutive Losses Run-up Length (Mos.) Start End -51.96 1 11/1/2011 11/1/2011 -24.26 1 8/1/2010 8/1/2010 -18.27 3 7/1/2011 9/1/2011 -15.60 1 5/1/2010 5/1/2010 -14.71 2 10/1/2010 11/1/2010 -6.94 2 4/1/2011 5/1/2011 -1.81 1 8/1/2009 8/1/2009 -1.39 1 2/1/2011 2/1/2011 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month Number of Periods28.0026.0023.0017.0011.00 Percent Profitable57.1446.1556.5252.9454.55 Average Period Return0.855.5811.698.4916.20 Average Gain10.0425.6735.2928.6249.86 Average Loss-11.40-11.64-19.00-14.15-24.19 Best Period23.0453.80105.8695.5080.84 Worst Period-51.96-46.64-49.12-39.19-51.71 Standard Deviation15.1023.5439.4632.5445.93 Gain Standard Deviation6.9916.7236.5232.2131.43 Loss Standard Deviation14.3711.7413.3111.3317.35 Sharpe Ratio (1%)0.050.230.280.230.32 Average Gain / Average Loss0.882.211.862.022.06 Profit / Loss Ratio1.171.892.412.282.47 Downside Deviation (10%)11.8712.5716.4315.0723.84 Downside Deviation (5%)11.7312.0415.3212.6820.24 Downside Deviation (0%)11.7011.9115.0512.1319.38 Sortino Ratio (10%)0.040.350.560.230.36 Sortino Ratio (5%)0.070.440.730.590.73 Sortino Ratio (0%)0.070.470.780.700.84 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