Sizemore Capital Management LLC : Blue Orbit Capital Mgmt

Year-to-Date
2.55%
Jan Performance
-2.55%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.92%
Sharpe (RFR=1%)
1.13
CAROR
-
Assets
$ 12.0M
Worst DD
-2.55
S&P Correlation
0.13

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
6/2019
Blue Orbit Capital Mgmt -2.55 -0.76 -2.55 - - - - 5.13
S&P 500 -0.16 6.19 -0.16 - - - - 9.65
+/- S&P 500 -2.39 -6.95 -2.39 - - - - -4.52

Strategy Description

Summary

Strategy seeks to profit from the natural theta of traded options on the S&P 500 and Nasdaq 100 indexes.... Read More

Account & Fees

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

Subscriptions

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

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
50%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
12.35%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Option-purchasing
20.00%
Option-writing
60.00%
Technical
20.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Strategy seeks to profit from the natural theta of traded options on the S&P 500 and Nasdaq 100 indexes.

Investment Strategy

The manager seeks to profit from the natural theta, or time decay, of traded options on the S&P 500 and Nasdaq 100 indexes or tracking ETFs. The manager additionally uses a proprietary market risk model to manage the potential for loss. The options positions will generally be held for an average of 15 days.

Risk Management

In managing risk, the manager may also hedge by buying offsetting put or call options. Additionally, collateral may be invested in U.S. Treasury securities and other investment‐grade‐rated fixed‐income securities.

   

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
-2.55 1 - 12/1/2019 1/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
7.88 7 6/1/2019 12/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.55 1 1/1/2020 1/1/2020
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Time Windows Analysis

 12 Month18 Month2 Year3 Year4 Year5 Year1 Month3 Month
Number of Periods71.0065.0059.0047.0035.0023.008.006.00
Percent Profitable87.32100.00100.00100.00100.00100.0087.5083.33
Average Period Return24.0037.9954.4892.15136.78180.880.642.59
Average Gain28.0537.9954.4892.15136.78180.881.103.26
Average Loss-3.91-2.55-0.76
Best Period52.7480.92114.70159.61219.85272.013.754.87
Worst Period-5.360.186.9431.8256.16110.31-2.55-0.76
Standard Deviation16.6725.5034.3147.7160.6042.151.712.10
Gain Standard Deviation13.6825.5034.3147.7160.6042.151.211.47
Loss Standard Deviation1.38
Sharpe Ratio (1%)1.381.431.531.872.194.170.331.11
Average Gain / Average Loss7.160.434.30
Profit / Loss Ratio49.353.0121.48
Downside Deviation (10%)3.312.270.811.050.81
Downside Deviation (5%)1.810.250.930.41
Downside Deviation (0%)1.470.900.31
Sortino Ratio (10%)5.7413.4254.850.221.68
Sortino Ratio (5%)12.68143.990.605.69
Sortino Ratio (0%)16.330.718.36

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.