Shri Capital : Investment Program

archived programs
Year-to-Date
N / A
Aug Performance
4.28%
Min Investment
$ 50k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
20.04%
Sharpe (RFR=1%)
1.02
CAROR
21.19%
Assets
$ 923k
Worst DD
-20.46
S&P Correlation
0.20

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
10/2003
Investment Program 4.28 - - - - - - 157.31
S&P 500 1.22 - - - - - - 229.69
+/- S&P 500 3.06 - - - - - - -72.38

Strategy Description

Summary

-The MARKET NEUTRAL PROGRAM will engage primarily in selling or writing options (puts and calls) on S&P 500 index futures. The program may also include buying options or buying or selling futures contracts. Returns for the Market Neutral program are based on pro-forma fee adjustments... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-The MARKET NEUTRAL PROGRAM will engage primarily in selling or writing options (puts and calls) on S&P 500 index futures. The program may also include buying options or buying or selling futures contracts. Returns for the Market Neutral program are based on pro-forma fee adjustments made to a proprietary account. Client accounts will be traded and treated similarly.

   

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
-20.46 6 10 9/1/2004 3/1/2005
-15.93 3 4 1/1/2007 4/1/2007
-13.23 2 2 12/1/2007 2/1/2008
-4.62 1 1 5/1/2008 6/1/2008
-3.31 1 2 10/1/2006 11/1/2006
-1.10 1 1 2/1/2004 3/1/2004
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Consecutive Gains

Run-up Length (Mos.) Start End
41.83 5 8/1/2007 12/1/2007
40.82 12 11/1/2005 10/1/2006
27.45 3 3/1/2008 5/1/2008
23.11 6 4/1/2004 9/1/2004
16.54 6 4/1/2005 9/1/2005
14.05 2 5/1/2007 6/1/2007
13.41 2 7/1/2008 8/1/2008
11.08 5 10/1/2003 2/1/2004
7.39 1 1/1/2005 1/1/2005
5.66 2 12/1/2006 1/1/2007
3.50 1 3/1/2007 3/1/2007
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.27 3 10/1/2004 12/1/2004
-13.23 2 1/1/2008 2/1/2008
-12.07 1 2/1/2007 2/1/2007
-9.38 2 2/1/2005 3/1/2005
-9.21 1 7/1/2007 7/1/2007
-7.62 1 4/1/2007 4/1/2007
-4.62 1 6/1/2008 6/1/2008
-3.42 1 10/1/2005 10/1/2005
-3.31 1 11/1/2006 11/1/2006
-1.10 1 3/1/2004 3/1/2004
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods59.0057.0054.0048.0042.0036.0024.00
Percent Profitable76.2778.9575.9381.25100.00100.00100.00
Average Period Return1.785.1310.1018.9526.9439.9666.57
Average Gain4.188.8816.0724.6126.9439.9666.57
Average Loss-5.96-8.92-8.71-5.57
Best Period21.7434.3339.1062.7268.0071.20112.20
Worst Period-12.81-18.27-20.46-10.694.6319.7416.47
Standard Deviation5.799.5513.4617.6716.9714.8228.42
Gain Standard Deviation3.696.398.8314.4716.9714.8228.42
Loss Standard Deviation4.325.305.902.65
Sharpe Ratio (1%)0.290.510.711.021.502.562.24
Average Gain / Average Loss0.701.001.844.42
Profit / Loss Ratio2.263.735.8219.14
Downside Deviation (10%)3.705.216.154.780.81
Downside Deviation (5%)3.574.815.313.05
Downside Deviation (0%)3.544.715.102.64
Sortino Ratio (10%)0.370.751.242.9223.98
Sortino Ratio (5%)0.471.021.815.89
Sortino Ratio (0%)0.501.091.987.17

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.