UNISystems Research Inc. : Wall Street Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Aug Performance 0.41% Min Investment $ 20k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 9.61% Sharpe (RFR=1%) -0.47 CAROR -3.95% Assets $ 92k Worst DD -19.02 S&P Correlation 0.65 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since8/2011 Wall Street Program 0.41 - - - - - - -11.67 S&P 500 3.77 - - - - - - 151.73 +/- S&P 500 -3.36 - - - - - - -163.41 Strategy Description SummaryThe Wall Street Program is based on a systematic quantitative methodology developed by using Option Deviation Index (ODI) analysis. A description of the Option Deviation Index was published in the March 2005 edition of "Futures" magazine. The Advisor establishes and adjusts positions... Read More Account & Fees Type Managed Account Minimum Investment $ 20k Trading Level Incremental Increase $ 10k CTA Max Funding Factor 2.50 Management Fee 2.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements QEP Lock-up Period 2 Trading Trading Frequency 1500 RT/YR/$M Avg. Margin-to-Equity 20% Targeted Worst DD -15.00% Worst Peak-to-Trough 5.00% Sector Focus Stock Index 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 5.00% Systematic 95.00% Strategy Option-spreads 50.00% Trend-following 50.00% Composition Stock Indices 100.00% SummaryThe Wall Street Program is based on a systematic quantitative methodology developed by using Option Deviation Index (ODI) analysis. A description of the Option Deviation Index was published in the March 2005 edition of "Futures" magazine. The Advisor establishes and adjusts positions based upon model output. The model based on ODI analysis identifies and takes advantage of the long-term direction of the S&P500 stock index by using options on futures and futures contracts on the S&P500 stock index and E-mini S&P500.Investment StrategyIn general, the Wall Street Program does not attempt to generate higher returns than the S&P500 cash index when the underlying instrument is in a long-term uptrend mode, but rather looks for additional returns during consolidation and long-term downtrend periods, by using appropriate models based on options.Risk ManagementThe Wall Street Program is S&P500 index driven, but uses options for hedging and generating additional return during consolidation periods. As the strategy follows long-term market sentiment it takes long and short positions in futures contracts correlated with S&P500, however changes in directional positions occur in long term intervals. The Program does not attempt to generate higher returns than S&P500 in long-term uptrend, but rather look for additional returns during consolidation and long-term downtrend periods. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -19.02 26 - 4/1/2012 6/1/2014 -4.52 2 1 1/1/0001 9/1/2011 -2.22 1 1 10/1/2011 11/1/2011 Show More Consecutive Gains Run-up Length (Mos.) Start End 10.58 5 12/1/2011 4/1/2012 7.33 5 3/1/2013 7/1/2013 4.86 4 6/1/2012 9/1/2012 4.81 1 10/1/2011 10/1/2011 4.35 1 1/1/2013 1/1/2013 3.09 2 9/1/2013 10/1/2013 0.81 2 7/1/2014 8/1/2014 0.02 1 2/1/2014 2/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.46 3 10/1/2012 12/1/2012 -8.00 3 11/1/2013 1/1/2014 -7.71 4 3/1/2014 6/1/2014 -6.52 1 5/1/2012 5/1/2012 -4.52 2 8/1/2011 9/1/2011 -2.41 1 8/1/2013 8/1/2013 -2.22 1 11/1/2011 11/1/2011 -1.36 1 2/1/2013 2/1/2013 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods37.0035.0032.0026.0020.0014.00 Percent Profitable56.7651.4343.7530.7720.0035.71 Average Period Return-0.30-0.74-1.44-2.90-3.86-5.81 Average Gain1.673.455.225.302.114.08 Average Loss-2.88-5.18-6.62-6.54-5.36-11.30 Best Period4.818.0411.8611.083.577.38 Worst Period-6.62-12.46-11.88-14.23-11.58-16.17 Standard Deviation2.775.146.896.944.398.55 Gain Standard Deviation1.372.323.474.041.221.93 Loss Standard Deviation1.843.123.524.293.504.67 Sharpe Ratio (1%)-0.14-0.19-0.28-0.56-1.22-0.91 Average Gain / Average Loss0.580.670.790.810.390.36 Profit / Loss Ratio0.760.700.610.360.100.20 Downside Deviation (10%)2.464.957.2910.3012.2318.05 Downside Deviation (5%)2.284.335.927.176.8511.24 Downside Deviation (0%)2.234.185.596.465.679.72 Sortino Ratio (10%)-0.29-0.40-0.54-0.77-0.94-0.89 Sortino Ratio (5%)-0.17-0.23-0.33-0.54-0.78-0.70 Sortino Ratio (0%)-0.13-0.18-0.26-0.45-0.68-0.60 Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 9 2.43 9/2013 Stock Index Trader Index Month 3 3.48 3/2013 Stock Index Trader Index Month 3 4.35 1/2013 Stock Index Trader Index Month 10 2.01 7/2012 Trend Following Strategy Index Month 5 4.81 10/2011 Stock Index Trader Index Month 9 4.81 10/2011 Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. x {{title}} x {{title}} Add Cancel