Randolph Read Trading Group, LLC : Flexible Option Strategy 1

archived programs
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

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 YTD 1yr 3yr 5yr 10yr Since
8/2009
Flexible Option Strategy 1 -51.96 - - - - - -48.13 -13.48
S&P 500 -0.51 - - - - - 9.42 239.41
+/- S&P 500 -51.45 - - - - - -57.56 -252.90

Strategy Description

Summary

Our 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%
Strategy Pie Chart

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%
Composition Pie Chart

Summary

Our 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 Strategy

One 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 Management

Our 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.

   

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

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
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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
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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
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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.