Sizemore Capital Management LLC : Blue Orbit Capital Mgmt

Year-to-Date
2.56%
Sep Performance
2.10%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.19%
Sharpe (RFR=1%)
2.90
CAROR
-
Assets
$ 2.0M
Worst DD
-5.17
S&P Correlation
0.53

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
6/2019
Blue Orbit Capital Mgmt 2.10 2.74 2.56 4.45 - - - 10.65
S&P 500 -3.92 8.47 4.09 12.98 - - - 11.16
+/- S&P 500 6.02 -5.73 -1.53 -8.53 - - - -0.51

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
-5.17 3 1 12/1/2019 3/1/2020
-0.43 2 2 4/1/2020 6/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
7.88 7 6/1/2019 12/1/2019
5.53 1 4/1/2020 4/1/2020
2.93 3 7/1/2020 9/1/2020
1.01 1 2/1/2020 2/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.66 1 3/1/2020 3/1/2020
-2.55 1 1/1/2020 1/1/2020
-0.43 2 5/1/2020 6/1/2020
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Time Windows Analysis

 18 Month2 Year3 Year4 Year5 Year1 Month3 Month6 Month
Number of Periods65.0059.0047.0035.0023.0016.0014.0011.00
Percent Profitable100.00100.00100.00100.00100.0075.0071.4381.82
Average Period Return37.9954.4892.15136.78180.880.661.562.63
Average Gain37.9954.4892.15136.78180.881.432.913.56
Average Loss-1.66-1.80-1.57
Best Period80.92114.70159.61219.85272.015.535.088.15
Worst Period0.186.9431.8256.16110.31-3.66-5.17-2.79
Standard Deviation25.5034.3147.7160.6042.152.112.783.53
Gain Standard Deviation25.5034.3147.7160.6042.151.631.543.14
Loss Standard Deviation1.732.271.72
Sharpe Ratio (1%)1.431.531.872.194.170.270.470.60
Average Gain / Average Loss0.861.612.27
Profit / Loss Ratio2.584.0310.19
Downside Deviation (10%)2.270.811.281.942.00
Downside Deviation (5%)0.251.151.521.02
Downside Deviation (0%)1.121.420.85
Sortino Ratio (10%)13.4254.850.190.170.08
Sortino Ratio (5%)143.990.500.862.08
Sortino Ratio (0%)0.591.103.10

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.