Zenith Resources : Index Options

archived programs
Year-to-Date
N / A
Apr Performance
0.11%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
8.06%
Sharpe (RFR=1%)
2.15
CAROR
19.53%
Assets
$ 14.6M
Worst DD
-10.28
S&P Correlation
0.28

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
12/1999
Index Options 0.11 - - - - - - 436.64
S&P 500 9.39 - - - - - - 135.78
+/- S&P 500 -9.28 - - - - - - 300.87

Strategy Description

Summary

-The "Index Options" program uses a systematic approach to trading and relies heavily on a program of selling or "writing" out of the money options on the S&P 500 futures contract. The options will generally expire in 35 days or less. The implementation of the program each month depends... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 30.00%
Average Commission $0
Available to US Investors

Subscriptions

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

Trading

Trading Frequency 1600 RT/YR/$M
Avg. Margin-to-Equity 68%
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

-The "Index Options" program uses a systematic approach to trading and relies heavily on a program of selling or "writing" out of the money options on the S&P 500 futures contract. The options will generally expire in 35 days or less. The implementation of the program each month depends on two formulas. They determine the strike prices of the initial option positions. Option contracts are written at a sufficient distance out of the money, to allow in most cases, for the options to expire worthless. From time to time, options may be purchased on the S&P 500 futures contract to reduce risk.

   

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
-10.28 1 - 9/1/2008 10/1/2008
-3.74 1 1 6/1/2007 7/1/2007
-3.12 1 1 8/1/2001 9/1/2001
-2.87 1 1 1/1/2007 2/1/2007
-2.46 1 1 1/1/2001 2/1/2001
-1.06 1 1 12/1/2002 1/1/2003
-0.86 1 1 8/1/2003 9/1/2003
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Consecutive Gains

Run-up Length (Mos.) Start End
65.83 15 10/1/2001 12/1/2002
61.54 40 10/1/2003 1/1/2007
42.67 14 12/1/1999 1/1/2001
20.72 6 3/1/2001 8/1/2001
18.62 7 2/1/2003 8/1/2003
16.50 14 8/1/2007 9/1/2008
6.87 4 3/1/2007 6/1/2007
1.30 4 1/1/2009 4/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.28 3 10/1/2008 12/1/2008
-3.74 1 7/1/2007 7/1/2007
-3.12 1 9/1/2001 9/1/2001
-2.87 1 2/1/2007 2/1/2007
-2.46 1 2/1/2001 2/1/2001
-1.06 1 1/1/2003 1/1/2003
-0.86 1 9/1/2003 9/1/2003
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods113.00111.00108.00102.0096.0090.0078.0066.0054.00
Percent Profitable92.0494.5993.5293.1496.88100.00100.00100.00100.00
Average Period Return1.524.619.4320.5633.4447.8981.69117.30160.37
Average Gain1.895.1810.6022.4534.5747.8981.69117.30160.37
Average Loss-3.48-5.45-7.47-5.11-1.42
Best Period8.1218.7431.6852.4877.46105.86164.18228.09288.09
Worst Period-10.28-10.28-9.48-6.19-2.394.4114.6033.0251.40
Standard Deviation2.334.537.7913.6820.2728.1345.2557.7067.35
Gain Standard Deviation1.853.796.5512.1919.5828.1345.2557.7067.35
Loss Standard Deviation3.184.983.330.860.85
Sharpe Ratio (1%)0.620.961.151.431.581.631.741.962.31
Average Gain / Average Loss0.540.951.424.3924.33
Profit / Loss Ratio8.0616.6420.4859.57754.13
Downside Deviation (10%)1.221.882.662.661.941.310.14
Downside Deviation (5%)1.151.692.181.620.54
Downside Deviation (0%)1.131.652.061.360.28
Sortino Ratio (10%)0.921.802.615.8513.3128.70463.51
Sortino Ratio (5%)1.252.574.1012.1159.20
Sortino Ratio (0%)1.342.794.5815.16119.66

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.