Steadfast Resource Associates : Index Options Program

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.53%
Sharpe (RFR=1%)
0.12
CAROR
1.67%
Assets
$ 0k
Worst DD
-12.70
S&P Correlation
0.28

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
12/2005
Index Options Program 0.00 - - - - - - 5.23
S&P 500 0.78 - - - - - - 187.13
+/- S&P 500 -0.78 - - - - - - -181.90

Strategy Description

Summary

-Steadfast Resource Associates (?SRA?) attempts to profit from underlying index movements as well as time decay by selling out of the money options and option spreads on the Samp;amp;P 500 Index.amp;nbsp; Steadfast implements a unique analysis technique that studies numerous technical... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $10.00
Available to US Investors

Subscriptions

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

Trading

Trading Frequency 1 RT/YR/$M
Avg. Margin-to-Equity 50%
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

-Steadfast Resource Associates (?SRA?) attempts to profit from underlying index movements as well as time decay by selling out of the money options and option spreads on the Samp;amp;P 500 Index.amp;nbsp; Steadfast implements a unique analysis technique that studies numerous technical factors in the underlying index and it?s volatility on multiple time frames.amp;nbsp; The output of this analysis determines the overall trend and its current strength.amp;nbsp; When the output is indicating overbought conditions SRA will sell calls and call spreads on the index.amp;nbsp; Likewise, when the output is indicating oversold conditions SRA will sell puts and/or put spreads on the index.amp;nbsp; On average trades are only held for four and a half days. amp;nbsp; Due to the poor performance in January 2008 SRA has implemented a hedging technique for short put positions.amp;nbsp; SRA has defined specific technical criteria that, in the past, have preceded outsized negative market moves.amp;nbsp; Once a predetermined number of these criteria have been met, SRA will purchase put options above the strike prices of its current short put positions.amp;nbsp; While there is no guarantee that this technique will be successful in the future, there is a possibility that it may mitigate future losses.amp;nbsp; While losses have a chance of being mitigated, at times, this technique may also cause losses to be locked in, as was the case during the month of June 2008 with a number of short put positions held that month.amp;nbsp;

   

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:
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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
-12.70 4 - 9/1/2007 1/1/2008
-0.72 2 1 6/1/2006 8/1/2006
-0.07 1 1 10/1/2006 11/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
7.23 7 12/1/2005 6/1/2006
5.99 3 2/1/2008 4/1/2008
5.79 10 12/1/2006 9/1/2007
4.46 2 11/1/2007 12/1/2007
4.07 3 6/1/2008 8/1/2008
1.61 2 9/1/2006 10/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.39 1 1/1/2008 1/1/2008
-5.68 1 10/1/2007 10/1/2007
-4.42 4 9/1/2008 12/1/2008
-0.72 2 7/1/2006 8/1/2006
-0.07 1 11/1/2006 11/1/2006
-0.03 1 5/1/2008 5/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable72.9771.4368.7550.0050.0028.57
Average Period Return0.170.410.800.220.960.63
Average Gain1.062.263.415.245.986.85
Average Loss-2.48-4.22-4.92-4.80-4.05-1.86
Best Period2.635.999.748.1011.7811.27
Worst Period-11.39-8.48-11.52-8.64-6.60-3.52
Standard Deviation2.463.544.975.516.144.70
Gain Standard Deviation0.801.502.451.684.524.46
Loss Standard Deviation3.832.834.252.431.831.09
Sharpe Ratio (1%)0.030.040.06-0.14-0.09-0.29
Average Gain / Average Loss0.430.530.691.091.483.68
Profit / Loss Ratio1.281.341.521.091.481.47
Downside Deviation (10%)2.283.264.757.168.8310.63
Downside Deviation (5%)2.182.793.784.424.133.39
Downside Deviation (0%)2.162.673.563.773.121.80
Sortino Ratio (10%)-0.10-0.25-0.35-0.67-0.75-0.91
Sortino Ratio (5%)0.040.060.08-0.18-0.13-0.41
Sortino Ratio (0%)0.080.150.230.060.310.35

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.