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Trading Strategy: US Equity Index Futures & Options
Program Description: The Dynamic S&P Options Strategy primarily trades US equity index futures and options on their futures contracts. The strategy is designed to capture the decay of option premiums. The program sells deep out of the money options. Option contracts are written at a sufficient distance, to allow in most cases, for the options to expire worthless. Primarily uncovered or naked options are sold (although spreads are utilized at times). The program may trade index futures for hedging or speculative purposes. The program may also trade index futures directly. The trading strategy is mostly discretionary. Both fundamental and technical analysis is incorporated into the trading decision. One of the main differences to the Stock Index Writing Strategy is the shorter time period of the options
till expiration.
Investment Information
Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
---|---|---|---|---|---|---|---|---|---|---|---|---|
2019 | 3.10% | 0.84% | 0.06% | 1.47% | -0.69% | 1.26% | 1.50% | -1.71% | 1.88% | 0.50% | 2.19% | 2.08% |
2020 | -0.07% | -13.49% | -3.80% | 1.76% | 1.73% | -1.86% | 2.42% | 2.50% | -1.67% | 1.03% | 1.16% | 2.68% |
2021 | 0.82% | 1.34% | 3.59% | 2.16% | 0.98% | 2.42% | 1.74% | 2.09% | 1.58% | 1.70% | 1.31% | 2.23% |
2022 | -0.07% | 0.13% | 1.55% | 0.60% | 2.13% | -4.16% | 2.71% | 1.87% | 0.51% | 2.19% | 1.36% | -0.01% |
2023 | 1.17% | 1.56% | 0.07% | 1.44% | 1.06% | 0.92% | 0.47% | 1.27% | 1.10% | 1.54% | 0.90% | 1.05% |
2024 | 1.03% | 0.66% | 1.34% |
2019 | 2020 | 2021 | 2022 | 2023 | 2024 YTD | |
---|---|---|---|---|---|---|
ROR | 13.11% | -8.47% | 24.27% | 8.98% | 13.29% | 3.06% |
Max DD | -1.71% | -16.84% | 0.00% | -4.16% | 0.00% | 0.00% |
++ This Manager offers a range of fees: Mgt Fees 0-4% : Inc Fees 15-35%
An Important Note on the Start Date and End Dates of this Report. If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. The Inception of this program is Nov 2014
*** Historical Drawdowns & Recoveries: The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.
Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of
2019-01-31 to 2024-03-31
2. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
3. Downside Deviation uses a 5% Minimum Acceptable ROR
4. Sharpe Ratio uses a 1% Risk Free ROR
5. Sortino Ratio uses a 5% Minimum Acceptable ROR
6. Calmar Ratio Uses last 36 months of Data
7. Sterling Ratio uses last 36 months of Data
8. The hypothetical growth of $1,000 VAMI
ROR = Rate of Return
AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.
This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document or Fund's Offering Document.