Reynoso Asset Management LLC : Alpha Volatility Program

archived programs
Year-to-Date
N / A
Mar Performance
-0.43%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.45%
Sharpe (RFR=1%)
0.67
CAROR
6.51%
Assets
$ 3.0M
Worst DD
-10.51
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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
1/2002
Alpha Volatility Program -0.43 - - - - - -5.07 103.38
S&P 500 3.60 - - - - - 84.98 186.34
+/- S&P 500 -4.03 - - - - - -90.04 -82.95

Strategy Description

Summary

The Reynoso Alpha Volatility strategy is a model-informed discretionary options trading strategy. Managed since inception in Jan.2002 by PM Joe Reynoso, the strategy can be long or short volatility, with only slight directional biases in the market. The strategy seeks to profit from... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1320 RT/YR/$M
Avg. Margin-to-Equity 22%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 75.00%
Systematic 25.00%

Strategy

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Reynoso Alpha Volatility strategy is a model-informed discretionary options trading strategy. Managed since inception in Jan.2002 by PM Joe Reynoso, the strategy can be long or short volatility, with only slight directional biases in the market. The strategy seeks to profit from option time decay, changes in overall option volatility, as well as changes in the relationship of volatilities of different strike prices and expiration dates of options on the same underlying instrument. Positions are dynamically hedged to maintain a market neutral position through tactical trades in the underlying security and/or delta-generating options. Trading is concentrated in options on the S&P 500 futures.

   

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
-10.51 21 - 6/1/2011 3/1/2013
-9.50 4 8 4/1/2002 8/1/2002
-8.22 12 9 12/1/2006 12/1/2007
-8.22 7 5 12/1/2008 7/1/2009
-5.80 2 6 4/1/2010 6/1/2010
-1.64 2 1 6/1/2005 8/1/2005
-1.22 1 1 9/1/2005 10/1/2005
-1.17 1 2 9/1/2004 10/1/2004
-1.00 1 1 6/1/2006 7/1/2006
-0.97 1 2 3/1/2005 4/1/2005
-0.69 1 1 4/1/2006 5/1/2006
-0.48 1 1 8/1/2003 9/1/2003
-0.29 1 2 1/1/2011 2/1/2011
-0.07 1 1 5/1/2003 6/1/2003
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Consecutive Gains

Run-up Length (Mos.) Start End
33.75 4 9/1/2008 12/1/2008
24.99 12 10/1/2003 9/1/2004
17.53 9 8/1/2009 4/1/2010
8.28 4 1/1/2002 4/1/2002
7.26 6 11/1/2005 4/1/2006
6.57 4 2/1/2003 5/1/2003
5.51 4 10/1/2010 1/1/2011
4.42 4 3/1/2008 6/1/2008
4.38 2 7/1/2003 8/1/2003
4.30 1 12/1/2002 12/1/2002
4.08 2 7/1/2010 8/1/2010
3.78 5 8/1/2006 12/1/2006
3.32 4 3/1/2011 6/1/2011
3.08 5 11/1/2004 3/1/2005
2.53 1 9/1/2005 9/1/2005
2.18 1 8/1/2011 8/1/2011
1.86 1 1/1/2008 1/1/2008
1.75 2 5/1/2005 6/1/2005
1.66 1 9/1/2002 9/1/2002
1.23 3 8/1/2012 10/1/2012
1.04 2 5/1/2009 6/1/2009
0.93 1 5/1/2012 5/1/2012
0.76 1 6/1/2006 6/1/2006
0.64 3 1/1/2012 3/1/2012
0.49 1 12/1/2012 12/1/2012
0.37 2 7/1/2007 8/1/2007
0.11 1 2/1/2013 2/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.50 4 5/1/2002 8/1/2002
-8.14 4 1/1/2009 4/1/2009
-7.37 4 9/1/2011 12/1/2011
-5.80 2 5/1/2010 6/1/2010
-4.88 1 7/1/2011 7/1/2011
-4.49 4 9/1/2007 12/1/2007
-4.26 6 1/1/2007 6/1/2007
-3.89 2 7/1/2008 8/1/2008
-1.64 2 7/1/2005 8/1/2005
-1.35 1 11/1/2012 11/1/2012
-1.22 1 10/1/2005 10/1/2005
-1.21 1 2/1/2008 2/1/2008
-1.17 1 10/1/2004 10/1/2004
-1.12 1 7/1/2009 7/1/2009
-1.00 1 7/1/2006 7/1/2006
-0.97 1 4/1/2005 4/1/2005
-0.83 1 4/1/2012 4/1/2012
-0.73 2 6/1/2012 7/1/2012
-0.69 1 5/1/2006 5/1/2006
-0.68 1 9/1/2010 9/1/2010
-0.64 1 1/1/2013 1/1/2013
-0.48 1 9/1/2003 9/1/2003
-0.45 2 10/1/2002 11/1/2002
-0.43 1 3/1/2013 3/1/2013
-0.41 1 1/1/2003 1/1/2003
-0.29 1 2/1/2011 2/1/2011
-0.07 1 6/1/2003 6/1/2003
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods135.00133.00130.00124.00118.00112.00100.0088.0076.00
Percent Profitable63.7063.1663.8570.9777.1279.4697.00100.00100.00
Average Period Return0.561.693.377.4211.8216.5525.4533.9841.87
Average Gain1.624.107.1612.0516.8321.6726.3433.9841.87
Average Loss-1.32-2.45-3.32-3.90-5.05-3.25-3.56
Best Period17.0931.5728.5435.0642.5743.9149.4761.2860.89
Worst Period-5.02-8.69-9.97-9.86-9.65-7.80-4.723.1527.42
Standard Deviation2.445.317.3910.2013.0314.6316.2613.678.03
Gain Standard Deviation2.315.106.498.3210.4211.8215.6613.678.03
Loss Standard Deviation1.242.232.512.822.312.331.26
Sharpe Ratio (1%)0.190.270.390.630.790.991.382.194.58
Average Gain / Average Loss1.231.672.163.093.336.677.40
Profit / Loss Ratio2.162.873.817.5611.2325.79239.12
Downside Deviation (10%)1.282.613.835.156.396.546.034.720.02
Downside Deviation (5%)1.122.122.743.043.322.611.190.10
Downside Deviation (0%)1.092.002.492.582.651.800.64
Sortino Ratio (10%)0.120.180.240.470.660.961.612.64591.70
Sortino Ratio (5%)0.420.681.052.113.115.5818.76309.71
Sortino Ratio (0%)0.510.841.352.874.469.2039.63

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.