Suninghill : Suninghill Global Option Program

archived programs
Year-to-Date
N / A
Jun Performance
-3.86%
Min Investment
$ 5k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
19.61%
Sharpe (RFR=1%)
1.54
CAROR
-
Assets
$ 10k
Worst DD
-15.00
S&P Correlation
-0.19

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
11/2010
Suninghill Global Option Program -3.86 - - - - - - 67.00
S&P 500 3.96 - - - - - - 193.43
+/- S&P 500 -7.82 - - - - - - -126.43

Strategy Description

Summary

The Global Option Program is a discretionary option trading program that seeks to earn the majority of its income through the sale of option contracts. The program trades option contracts on a variety of futures contracts, including but not limited to foreign exchange and interest... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5k
Trading Level Incremental Increase $ 1k
CTA Max Funding Factor 1.00
Management Fee 0%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 600 RT/YR/$M
Avg. Margin-to-Equity 50%
Targeted Worst DD
Worst Peak-to-Trough 15.01%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 20.00%
1-30 Days 80.00%
Intraday 0%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Option-purchasing
10.00%
Option-writing
75.00%
Technical
15.00%
Strategy Pie Chart

Composition

Currency Futures
50.00%
Energy
20.00%
Interest Rates
20.00%
Stock Indices
10.00%
Composition Pie Chart

Summary

The Global Option Program is a discretionary option trading program that seeks to earn the majority of its income through the sale of option contracts. The program trades option contracts on a variety of futures contracts, including but not limited to foreign exchange and interest rates. The program also trades futures contracts, yet the bulk of the program’s trading activity is in the options market. In addition to foreign exchange and interest rate markets, the program may also trade in the equity index, energy, agricultural, and precious metal futures and options markets.

Investment Strategy

Trading decisions are a) based on fundamental analysis of economic and price data and b) derived from regression, volatility, and correlation analysis. The program will frequently sell naked options to generate premium. Once positions are established, the Advisor will typically allow the option to expire. The program may also purchase options, enter into spread positions, strangles, straddles and synthetic long and short positions. Most trades will be maintained for a 2-6 week period, with few trades lasting less than 3 weeks or more than 8 weeks. The Advisor will also hedge most futures contract with an option to minimize the risk of loss. Please note that the advisor does not attempt to trade the program according to a particular style/type (such as trend-following, contrarian, etc.).

Risk Management

The program’s trading objective is to provide investors with a 1 – 7% monthly rate of return, with a maximum monthly drawdown of 4 – 8%. In an effort to limit the account’s potential losses, the program incorporates the use of stop-loss orders to minimize the account’s risk exposure.

   

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
-15.00 2 4 12/1/2010 2/1/2011
-3.86 1 - 5/1/2012 6/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
46.81 10 3/1/2011 12/1/2011
26.56 2 11/1/2010 12/1/2010
9.99 2 4/1/2012 5/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.00 2 1/1/2011 2/1/2011
-3.86 1 6/1/2012 6/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods18.0018.0015.009.00
Percent Profitable66.6777.7886.6777.78
Average Period Return2.608.8418.3827.47
Average Gain5.5316.6024.2739.96
Average Loss-6.49-18.33-19.88-16.25
Best Period13.0057.9373.7146.81
Worst Period-8.70-28.98-21.22-20.99
Standard Deviation5.6622.3025.5725.37
Gain Standard Deviation3.8418.0421.945.66
Loss Standard Deviation2.4511.991.896.70
Sharpe Ratio (1%)0.450.390.701.04
Average Gain / Average Loss0.850.911.222.46
Profit / Loss Ratio3.413.177.948.61
Downside Deviation (10%)2.9310.448.1910.26
Downside Deviation (5%)2.8010.037.468.43
Downside Deviation (0%)2.779.937.277.98
Sortino Ratio (10%)0.750.731.942.19
Sortino Ratio (5%)0.900.862.403.14
Sortino Ratio (0%)0.940.892.533.44

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.