Shri Capital : SP Premium

archived programs
Year-to-Date
N / A
Jun Performance
3.62%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
14.84%
Sharpe (RFR=1%)
1.27
CAROR
20.47%
Assets
$ 150k
Worst DD
-18.33
S&P Correlation
0.50

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
8/2009
SP Premium 3.62 6.61 - 9.88 - - - 72.16
S&P 500 3.96 -3.29 - 3.13 - - - 33.44
+/- S&P 500 -0.34 9.90 - 6.76 - - - 38.72

Strategy Description

Summary

Write way-out-of-the-money put and call options on the near term S & P 500 index futures.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 20k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$30.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
15-30 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1200 RT/YR/$M
Avg. Margin-to-Equity
80%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
3.41%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
90.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-writing
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Write way-out-of-the-money put and call options on the near term S & P 500 index futures.

Investment Strategy

The SP Premium program will engage primarily in a program of selling or "writing" options (puts and calls) on S&P 500 index futures. To maintain position neutrality, the Advisor may also purchase options or buy or sell futures contracts, and may also use hedge strategies such as option spreads, strangles or straddles.

Risk Management

Continuous evaluation of market conditions and sentiment.

   

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
-18.33 3 5 6/1/2011 9/1/2011
-3.41 1 1 5/1/2010 6/1/2010
-2.56 1 1 9/1/2009 10/1/2009
-2.40 1 4 12/1/2009 1/1/2010
-0.36 1 1 1/1/0001 8/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
46.64 12 7/1/2010 6/1/2011
34.55 9 10/1/2011 6/1/2012
10.87 2 11/1/2009 12/1/2009
3.17 1 5/1/2010 5/1/2010
2.19 2 2/1/2010 3/1/2010
1.78 1 9/1/2009 9/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.33 3 7/1/2011 9/1/2011
-3.41 1 6/1/2010 6/1/2010
-2.56 1 10/1/2009 10/1/2009
-2.40 1 1/1/2010 1/1/2010
-1.87 1 4/1/2010 4/1/2010
-0.36 1 8/1/2009 8/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods35.0033.0030.0024.0018.00
Percent Profitable77.1481.8280.00100.00100.00
Average Period Return1.665.0710.1120.0733.69
Average Gain3.247.9214.1820.0733.69
Average Loss-3.69-7.78-6.18
Best Period11.4517.6626.2046.6447.41
Worst Period-15.35-18.33-12.053.6817.11
Standard Deviation4.297.709.9610.928.50
Gain Standard Deviation2.533.916.0010.928.50
Loss Standard Deviation4.807.633.31
Sharpe Ratio (1%)0.370.630.971.753.79
Average Gain / Average Loss0.881.022.30
Profit / Loss Ratio2.974.589.18
Downside Deviation (10%)2.914.864.100.27
Downside Deviation (5%)2.804.533.28
Downside Deviation (0%)2.784.453.08
Sortino Ratio (10%)0.430.791.8655.90
Sortino Ratio (5%)0.561.062.93
Sortino Ratio (0%)0.601.143.29

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.