UNISystems Research Inc. : Wall Street Program

archived programs
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

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 Since
8/2011
Wall Street Program 0.41 -1.64 - -11.75 -8.89 - - -11.67
S&P 500 3.77 4.15 - 22.68 64.34 - - 64.34
+/- S&P 500 -3.36 -5.79 - -34.43 -73.23 - - -76.01

Strategy Description

Summary

The 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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The 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 Strategy

In 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 Management

The 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.

   

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
-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
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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
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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
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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.