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Ansbacher Investment Management, Inc. 

Ansbacher Elizaville Partners LP

Manager: Max Ansbacher

Address: 515 Madison Avenue, ste. 1902, New York, NY, 10022, U.S.A.

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CPO
Inception Date:Mar 27, 1996
AUM:$16,000,000
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$250,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:216.42%69.44%
Annual ROR:7.31%3.28%
YTD:0.00%5.53%
1 Year:6.89%14.71%
Alpha:0.71
Beta:0.05
Statistics Program S&P 500
Average Monthly Gain:2.65%3.07%
Average Monthly Loss:-5.16%-3.71%
Winning Months:147116
Losing Months:4880
Current DD:11.820.50
Max DD:41.9352.56
Sharpe Ratio (RF 1%):0.37
Annualized Std Dev:17.17

Methodology

Discretionary:60%
Systematic:40%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodLong Term
---------------------------

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2016-8.02-5.887.183.183.60-0.82
20150.759.162.333.973.58-1.063.59-12.752.007.610.93-8.0210.44
20140.382.091.842.173.904.12-2.004.630.71-3.833.93-3.2715.16
20132.77-0.650.610.430.13-0.012.740.672.343.471.121.7016.34
20126.185.071.902.720.747.05-3.124.933.246.95-0.770.6041.11
20111.210.751.364.111.06-1.39-3.96-16.14-10.777.45-6.965.55-18.68
20101.642.162.36-1.80-6.080.851.832.151.263.47-0.364.1111.77
20092.355.16-4.492.371.842.890.462.731.73-0.373.733.3723.67
2008-4.48-1.71-5.100.851.05-0.700.021.38-27.95-11.841.623.53-38.90
20072.31-2.11-0.170.241.571.31-0.791.040.990.54-0.580.725.11
20060.191.081.190.88-0.50-0.090.071.590.721.140.390.667.55
20051.600.500.500.450.781.13-0.682.262.16-1.331.721.5511.10
20041.493.120.653.201.072.301.541.342.55-0.251.711.1221.68
20030.735.175.100.610.020.770.121.930.632.321.451.7622.48
20025.295.880.924.732.16-1.35-11.770.097.04-15.04-2.557.39-0.20
20017.644.33-1.41-19.025.073.91-1.0011.094.983.261.4618.41
20001.75-5.90-18.634.549.001.109.9911.75-6.822.13-4.180.60

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Ansbacher Investment Management (AIM), the general partner of Elizaville Partners LP, engages in a program of selling (or writing) out-of-the-money (OTM) options on S&P 500 futures.

U.S. equity index options have been consistently overpriced relative to the realized behavior of the underlying index. That is to say, Implied Volatility (a major determinant of option pricing) has exceeded the Realized Volatility of the underlying investment. This is due, in part, to the widespread and ingrained practice of purchasing out-of-the-money (OTM) index puts for portfolio insurance. As with most forms of insurance, OTM index put buyers want to have their policy expire without being exercised; and put writers can demand a premium for assuming risk. The huge growth in indexed investments represents a very large supply of natural put buyers, while there are a much smaller number of uncovered put sellers.

AIM currently uses a unique, methodical approach, incorporating the manager's discretion and judgment, to trading the put skew in the S&P 500 options. This methodology, first instituted in January 2003, is market-neutral in terms of portfolio delta and gamma risk. The implementation of this program, i.e., selecting how many puts to sell and at which prices and maturities, as well as how many short futures to use as a hedge, relies upon a robust risk management program which includes, but is not confined to: limiting the number of puts that can be written and gross position Delta, and 24-hour stop-loss orders in place through the S&P futures. In addition, trading is reduced or halted if the fund loses more than a certain percentage of its value. The manager of the fund utilizes a wide variety of quantitative, fundamental, and technical information to make his trading decisions.

Company Info

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Manager Info

Max G. Ansbacher, President, founded the firm in 1995 after 20 years with Bear Stearns, where he managed option accounts on a discretionary basis. He is frequently quoted in the media, including The Wall Street Journal, and has been a frequent guest commentator on the Bloomberg Television Network, as well as the Fox News Channel and CNBC. He is the author of three books on investing, including The New Options Market, Fourth Edition, which was the first book ever published on exchange traded options and has become one of the all-time best-selling books on the subject. He was featured in Forbes Magazine, October 18, 2004. Mr. Ansbacher is a graduate of the University of Vermont and Yale Law School.