UNISystems Research Inc. : ODINET

archived programs
Year-to-Date
N / A
Jan Performance
-2.07%
Min Investment
$ 10k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.59%
Sharpe (RFR=1%)
-0.01
CAROR
-0.40%
Assets
$ 135k
Worst DD
-23.54
S&P Correlation
0.26

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
12/2012
ODINET -2.07 -1.67 - -2.76 -6.24 - - -1.26
S&P 500 -5.07 -6.69 - -2.74 29.51 - - 36.04
+/- S&P 500 3.00 5.02 - -0.01 -35.75 - - -37.30

Strategy Description

Summary

The ODINET Program uses the concept of Option Deviation Index (ODI) analysis. A description of the Option Deviation Index was published in the March 2005 edition of “Futures” magazine.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10k
Trading Level Incremental Increase
$ 5k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$4.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
2

Trading

Trading Frequency
3500 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
20.00%
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
5.00%
Systematic
95.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The ODINET Program uses the concept of Option Deviation Index (ODI) analysis. A description of the Option Deviation Index was published in the March 2005 edition of “Futures” magazine.

Investment Strategy

The strategy combines a trend following concept and volatility spread trading technique exclusively developed for the ODI analysis; however it does not completely rely on market direction forecasting, as ODINET can generate profits in different market scenarios. The advisor engages selected option spreads appropriate to current ODI readings. Spreads are being adjusted accordingly to the S&P500 index action. The ODINET Program strategy consists of three key components: 1. ODI analysis. Based on the ODI readings, the analysis of the most likely distribution range of the S&P500 index value for the next expiration-to-expiration cycle is established, expressed as a percentage of the starting value. 2. ODINET option spread selection. The ODINET strategy uses different types of spreads, which are selected according to anticipated market action and current conditions (such as volatility). 3. ODINET option spread adjustment. As option expiration approaches, the ODINET strategy converts existing option spread positions into similar or different option spreads, to maximize the chances of profitability. The advisor engages selected option spreads appropriately to current ODI readings. Spreads are being adjusted accordingly to the S&P500 index action.

Risk Management

The ODINET strategy uses solely option spreads and does not engage in selling (writing) uncovered (naked) options. Option spreads are being traded on an expiration-to-expiration cycle basis, i.e. the Program strategy establishes new spread positions near the end of one expiration cycle (the third Friday of the month) and closes or places offsetting positions near the end of the next expiration cycle (the third Friday of the following month).

   

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
-23.54 19 - 9/1/2013 4/1/2015
-5.82 1 1 7/1/2013 8/1/2013
-3.34 1 1 5/1/2013 6/1/2013
-1.02 1 1 1/1/2013 2/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
13.08 3 3/1/2013 5/1/2013
12.24 3 5/1/2015 7/1/2015
9.93 1 9/1/2013 9/1/2013
8.67 2 9/1/2014 10/1/2014
6.11 2 5/1/2014 6/1/2014
6.03 1 7/1/2013 7/1/2013
5.31 2 12/1/2012 1/1/2013
2.98 2 2/1/2014 3/1/2014
2.77 1 11/1/2015 11/1/2015
1.94 1 2/1/2015 2/1/2015
0.27 1 12/1/2014 12/1/2014
0.04 1 12/1/2013 12/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.30 1 11/1/2014 11/1/2014
-9.00 1 1/1/2014 1/1/2014
-8.25 2 10/1/2013 11/1/2013
-7.61 2 3/1/2015 4/1/2015
-6.45 3 8/1/2015 10/1/2015
-5.82 1 8/1/2013 8/1/2013
-5.56 2 7/1/2014 8/1/2014
-4.32 2 12/1/2015 1/1/2016
-3.34 1 6/1/2013 6/1/2013
-1.79 1 1/1/2015 1/1/2015
-1.02 1 2/1/2013 2/1/2013
-0.78 1 4/1/2014 4/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods38.0036.0033.0027.0021.0015.00
Percent Profitable52.6347.2251.5214.8138.106.67
Average Period Return0.070.05-0.23-4.07-5.54-8.82
Average Gain3.415.916.826.834.323.11
Average Loss-3.65-5.19-7.71-5.96-11.62-9.67
Best Period9.9313.0817.8814.7610.863.11
Worst Period-11.30-13.47-17.73-13.62-20.79-17.21
Standard Deviation4.506.648.766.529.196.46
Gain Standard Deviation2.653.615.007.173.92
Loss Standard Deviation2.913.584.574.225.195.76
Sharpe Ratio (1%)0.00-0.03-0.08-0.78-0.77-1.68
Average Gain / Average Loss0.931.140.881.150.370.32
Profit / Loss Ratio1.041.020.940.200.230.02
Downside Deviation (10%)3.415.317.7410.8715.8920.06
Downside Deviation (5%)3.234.696.507.4711.0512.49
Downside Deviation (0%)3.184.546.196.699.9510.77
Sortino Ratio (10%)-0.10-0.22-0.35-0.83-0.83-0.95
Sortino Ratio (5%)-0.01-0.04-0.11-0.68-0.64-0.87
Sortino Ratio (0%)0.020.01-0.04-0.61-0.56-0.82

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 5 -1.36 8/2015
Option Strategy Index Month 2 8.50 7/2015
Stock Index Trader Index Month 4 8.50 7/2015
Option Strategy Index Month 6 2.05 5/2015
Stock Index Trader Index Month 10 2.05 5/2015
Option Strategy Index Month 7 0.27 12/2014

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.