Dynamic S&P Options Strategy
Program Summary
December 2017
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. Monthly Performance (%) Net of Fees Year Jan Feb
2017 2016 2015 2014
1.14 0.20 0.54
1.51 0.43 0.85
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
1.80 1.92 0.78
1.14 1.35 0.34
0.58 1.70 0.77
1.04 3.02 1.11
1.96 2.41 1.53
0.91 2.24
1.54 1.05 2.47
0.93 2.56 0.72
-0.72 1.85 2.20 0.67
1.48 1.98 2.46 0.60
-10.81
Y-T-D 14.12 % 22.75 % 2.23 % 1.27 %
Past performance is not necessarily indicative of future results. Largest Monthly Drawdown
-10.81%
08/2015
Performance Statistics
Largest Peak to Valley Drawdown
-10.81%
07/2015 – 08/2015
Additional Information
Start Date
Nov 2014
AUM
$36.87 M
Total Return Since Inception
45.04 %
Minimum Managed Account Size
Compounded Annual Return
12.46 %
Liquidity
Best 18 Month Return
36.19 %
Average Margin / Equity
Worst 18 Month Return
7.63 %
Winning Months
36
Losing Months
2
$50,000 Daily 85%
Roundturns / $ Million / Year
16,000
Management / Incentive Fees
0% - 4% / 15% - 35%
Instruments Traded
EW, EW1, EW2, EW3, EW4
Reward / Risk Ratios 3-Years
Cumulative
Sharpe Ratio
1.65
1.66
Sterling Ratio
0.94
0.94
3-Years
Cumulative
Barclay Ratio
2.86
2.43
Efficiency Index
1.71
1.72
Distribution of Monthly Returns
Value of $1,000 Invested (since Nov, 2014)
18
1500
16 14
1400
12
1300
10 8
1200
6
1100
Distribution of Monthly Returns
VAMI
Newedge CTA Index
Oct-17
Dec-17
Aug-17
Apr-17
Jun-17
Feb-17
Oct-16
Dec-16
Aug-16
Apr-16
Jun-16
Feb-16
Oct-15
Dec-15
Aug-15
Apr-15
Jun-15
Feb-15
Oct-14
4 to 5 %
3 to 4 %
2 to 3 %
1 to 2 %
0 to 1 %
-1 to 0 %
-2 to -1 %
-3 to -2 %
-4 to -3 %
-5 to -4 %
-6 to -5 %
-7 to -6 %
-8 to -7 %
-9 to -8 %
900
-10 to -9 %
1000
0 -11 to -10 %
2
Dec-14
4
S&P500
*The Newedge CTA Index calculates the daily rate of return for a pool of CTAs selected from the larger managers that are open to new investment. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE IS UNLIMITED RISK OF LOSS IN SELLING OPTIONS. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. AN INVESTOR MUST READ AND UNDERSTAND THE CTAS CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATERIAL MENTIONS SERVICES WHICH RANK THE PERFORMANCE OF COMMODITY TRADING ADVISORS. PLEASE NOTE THAT THE RANKINGS APPLY ONLY TO THOSE CTAs WHO SUBMIT THEIR TRADING RESULTS. THE RANKINGS IN NO WAY PURPORT TO BE REPRESENTATIVE OF THE ENTIRE UNIVERSE OF COMMODITY TRADING ADVISORS. THE MATERIAL IN NO WAY IMPLIES THAT THESE RESULTS ARE OFFICIALLY SANCTIONED RESULTS OF THE COMMODITY INDUSTRY. BE ADVISED THAT AN INDIVIDUAL CANNOT INVEST IN THE INDEX ITSELF AND THE ACTUAL RATES OF RETURN FOR AN INDIVIDUAL PROGRAM MAY SIGNIFICANTLY DIFFER AND BE MORE VOLATILE THAN THE INDEX. A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’S DISCLOSURE DOCUMENT. SPECIFICALLY, ONE SHOULD RECOGNIZE THAT AN IB MAY CHARGE A FRONT-END START UP FEE OF UP TO 6% OF THE INITIAL TRADING CONTRIBUTION. BE ADVISED THAT IBs CLEARING ADMIS MAY CHARGE A MAXIMUM OF 3% FRONT-END FEE. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMERS ABILITY TO ACHIEVE SIMILAR RETURNS
HRF614
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