Revilo Strategic Investments, LLC : Razor Program (Proprietary)

archived programs
Year-to-Date
N / A
Jun Performance
1.82%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.89%
Sharpe (RFR=1%)
0.37
CAROR
6.96%
Assets
$ 98k
Worst DD
-31.34
S&P Correlation
-0.12

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
3/2013
Razor Program (Proprietary) 1.82 - - - - 21.64 - 25.13
S&P 500 0.09 - - - - 58.90 - 120.80
+/- S&P 500 1.73 - - - - -37.26 - -95.67

Strategy Description

Summary

The Advisor expects to trade grains, currencies, softs, indexes, bonds, metals and energies, however, if the Advisor sees opportunities in other markets, the Advisor may do so. The Advisor does not expect to trade on international markets. The Razor Program predominately trades options... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 25k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $12.00
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 5000 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 4.97%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 5.00%
1-30 Days 95.00%
Intraday 0%

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Option-purchasing
100.00%
Strategy Pie Chart

Composition

Stock Indices
50.00%
Currency Futures
15.00%
Precious Metals
10.00%
Energy
10.00%
Interest Rates
10.00%
Grains
5.00%
Composition Pie Chart

Summary

The Advisor expects to trade grains, currencies, softs, indexes, bonds, metals and energies, however, if the Advisor sees opportunities in other markets, the Advisor may do so. The Advisor does not expect to trade on international markets. The Razor Program predominately trades options on futures. However, the Advisor may see a need to trade futures and reserves the right to do so. The Advisor does expect to trade both put and call options which will be traded either electronically or directly on the exchange. Generally speaking, the average length of a trade is three to eight days however, it is possible that trades may remain open in a client’s account for significantly longer periods.

Investment Strategy

The Advisor’s trading methodology is geared for relatively low margin to equity parameters. The Advisor’s trading program is not a premium selling trading program. Instead, the Advisor buys options to reduce risk and maximize profit. The roots of this trading methodology come from the Advisor’s trading principal’s six years as a broker in the futures and commodities markets. What he noticed was that premium sellers were regularly protecting positions during adverse moves, creating more cost and uncertainty. On top of that, selling options inherently reduces profit potential and dramatically increases risk (i.e. you have limited profit but unlimited risk).

Risk Management

By buying the options, the Advisor’s trading principal realized the position gained a continuously larger percentage versus the future price, more premium, but if the future moved away from his prediction, he would lose fractionally less and less. The Advisor also identifies market volatility and price when deciding how to place trades. The Advisor does not trade each commodity with the same aggressiveness (for example, a silver contract has a much larger price movement than a British Pound). Mr. Pasulka has spent the last eight years, creating and refining his trading method.

   

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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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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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
-31.34 12 8 7/1/2014 7/1/2015
-10.30 2 - 3/1/2016 5/1/2016
-5.00 1 1 4/1/2013 5/1/2013
-2.22 1 1 10/1/2013 11/1/2013
-0.88 1 1 8/1/2013 9/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
28.43 4 8/1/2015 11/1/2015
21.66 3 1/1/2016 3/1/2016
19.27 3 6/1/2013 8/1/2013
18.64 4 10/1/2014 1/1/2015
10.31 8 12/1/2013 7/1/2014
6.15 1 4/1/2013 4/1/2013
3.60 1 10/1/2013 10/1/2013
1.82 1 6/1/2016 6/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.47 6 2/1/2015 7/1/2015
-21.30 2 8/1/2014 9/1/2014
-10.30 2 4/1/2016 5/1/2016
-5.00 1 5/1/2013 5/1/2013
-4.13 1 12/1/2015 12/1/2015
-2.22 1 11/1/2013 11/1/2013
-0.88 1 9/1/2013 9/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods40.0038.0035.0029.0023.0017.00
Percent Profitable62.5073.6865.7148.2847.8341.18
Average Period Return0.762.364.832.99-1.29-2.48
Average Gain4.167.7814.3118.9012.537.69
Average Loss-5.25-12.84-13.35-11.87-13.95-9.60
Best Period14.3121.6640.7430.5532.1722.09
Worst Period-20.68-20.76-26.47-31.34-26.83-20.70
Standard Deviation6.3211.0915.7118.3916.3411.08
Gain Standard Deviation3.716.319.559.6810.598.68
Loss Standard Deviation5.766.205.689.998.135.59
Sharpe Ratio (1%)0.110.190.280.11-0.17-0.41
Average Gain / Average Loss0.790.611.071.590.900.80
Profit / Loss Ratio1.421.702.051.490.820.56
Downside Deviation (10%)4.697.829.7913.9816.6316.30
Downside Deviation (5%)4.557.368.7111.5712.509.80
Downside Deviation (0%)4.527.248.4411.0011.548.41
Sortino Ratio (10%)0.080.140.24-0.14-0.53-0.78
Sortino Ratio (5%)0.150.290.500.17-0.22-0.46
Sortino Ratio (0%)0.170.330.570.27-0.11-0.29

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.