Unimarket Corp : Solaris Market Neutral Strategy

archived programs
Year-to-Date
N / A
Sep Performance
-22.39%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
29.87%
Sharpe (RFR=1%)
0.77
CAROR
20.46%
Assets
$ 2.3M
Worst DD
-59.29
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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
3/2001
Solaris Market Neutral Strategy -22.39 - - - - - - 310.18
S&P 500 -9.08 - - - - - - 208.89
+/- S&P 500 -13.31 - - - - - - 101.28

Strategy Description

Summary

-&Trading ModelThe Trading Advisor invests the Fund?s assets utilizing the Bourtov options trading model (the ?Bourtov Model?), developed by Dmitry Y. Bourtov. The Bourtov Model uses current market prices for estimating the values of options on futures, using these values to predict... 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 $7.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 30%
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

-&Trading ModelThe Trading Advisor invests the Fund?s assets utilizing the Bourtov options trading model (the ?Bourtov Model?), developed by Dmitry Y. Bourtov. The Bourtov Model uses current market prices for estimating the values of options on futures, using these values to predict the change in such option?s price as time elapses, volatility changes and the underlying futures price fluctuates. The Bourtov Model does not provide options value as ?how it has to be,? but rather, such value as ?how it actually is.? Due to this philosophy, the Bourtov Model is free from certain restrictions faced by other analytical models, such as the same implied volatility for all strikes or lognormal distribution of underlying asset price. The Bourtov Model?s approximation of trading prices assists in identifying overpriced and underpriced strikes, and is especially useful in the evaluation of deep in-the-money and deep out-of-the-money strikes, which are typically underpriced by classic analytical models due to the ?volatility smile? effect.Trading MethodologyThe Trading Advisor uses the Bourtov Model in its attempt to identify overvalued and undervalued futures and options contracts. The primary strategy employed by the Trading Advisor is the purchase or sale of options and/or option spreads while simultaneously buying or selling a corresponding futures position to offset the market risk of the short option position (&i.e.&, ?delta neutral?). The strategy consists of pricing discrepancy arbitrage between overvalued and undervalued options. Profits accrue to the Fund as the overvalued options decrease in value and the undervalued options increase in value. Trading is selective, trading is only done in markets where a pricing discrepancy between overvalued and undervalued options is identified. The Trading Advisor employs this strategy in a 100% discretionary manner. Selection is also guided by market liquidity.&

   

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:
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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:
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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
-59.29 3 24 5/1/2002 8/1/2002
-22.39 1 - 8/1/2008 9/1/2008
-20.37 1 5 1/1/0001 3/1/2001
-12.87 1 7 1/1/2007 2/1/2007
-9.49 1 2 12/1/2007 1/1/2008
-6.97 2 3 3/1/2005 5/1/2005
-6.32 1 1 8/1/2001 9/1/2001
-2.52 1 3 10/1/2005 11/1/2005
-2.51 2 1 10/1/2004 12/1/2004
-2.47 1 1 6/1/2008 7/1/2008
-0.69 1 1 2/1/2006 3/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
67.79 8 10/1/2001 5/1/2002
57.15 5 8/1/2007 12/1/2007
42.56 4 11/1/2002 2/1/2003
39.40 10 4/1/2006 1/1/2007
37.98 5 1/1/2004 5/1/2004
28.14 5 4/1/2001 8/1/2001
27.51 5 2/1/2008 6/1/2008
23.78 5 6/1/2005 10/1/2005
19.62 4 7/1/2004 10/1/2004
14.15 1 9/1/2002 9/1/2002
11.58 3 1/1/2005 3/1/2005
10.94 4 3/1/2007 6/1/2007
8.65 1 4/1/2003 4/1/2003
4.56 1 10/1/2003 10/1/2003
4.55 1 8/1/2008 8/1/2008
4.28 3 12/1/2005 2/1/2006
2.88 1 7/1/2003 7/1/2003
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Consecutive Losses

Run-up Length (Mos.) Start End
-59.29 3 6/1/2002 8/1/2002
-22.39 1 9/1/2008 9/1/2008
-20.37 1 3/1/2001 3/1/2001
-12.87 1 2/1/2007 2/1/2007
-9.49 1 1/1/2008 1/1/2008
-6.97 2 4/1/2005 5/1/2005
-6.32 1 9/1/2001 9/1/2001
-5.78 2 8/1/2003 9/1/2003
-5.21 1 7/1/2007 7/1/2007
-4.20 2 11/1/2003 12/1/2003
-2.72 2 5/1/2003 6/1/2003
-2.52 1 11/1/2005 11/1/2005
-2.51 2 11/1/2004 12/1/2004
-2.47 1 7/1/2008 7/1/2008
-1.08 1 6/1/2004 6/1/2004
-0.69 1 3/1/2006 3/1/2006
-0.58 1 10/1/2002 10/1/2002
-0.02 1 3/1/2003 3/1/2003
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods91.0089.0086.0080.0074.0068.0056.0044.0032.00
Percent Profitable72.5379.7880.2385.0083.7889.71100.00100.00100.00
Average Period Return2.007.4715.7830.0941.4263.39112.46174.67242.61
Average Gain5.4512.9524.3039.9152.5171.62112.46174.67242.61
Average Loss-7.11-14.15-18.79-25.57-15.89-8.34
Best Period17.7637.2961.79100.5895.54158.34209.63335.81428.16
Worst Period-46.57-59.29-50.81-36.00-34.70-14.7611.6645.8577.97
Standard Deviation8.6215.8323.6131.0132.5139.6051.5781.01109.62
Gain Standard Deviation4.238.9814.7821.8121.6132.8751.5781.01109.62
Loss Standard Deviation10.5518.5621.195.7612.084.23
Sharpe Ratio (1%)0.220.460.650.941.231.552.122.112.17
Average Gain / Average Loss0.770.921.291.563.308.59
Profit / Loss Ratio2.023.615.258.8417.0774.82
Downside Deviation (10%)6.7010.6613.1512.0310.606.210.55
Downside Deviation (5%)6.6010.3812.5310.518.413.55
Downside Deviation (0%)6.5710.3112.3810.137.912.96
Sortino Ratio (10%)0.240.591.012.093.198.55176.19
Sortino Ratio (5%)0.290.701.222.774.7417.28
Sortino Ratio (0%)0.300.721.272.975.2321.44

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.