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Program Details

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AG Commodity Trading Adviser, Inc 

Delta Neutral Option Writing

Manager: Alexey Gorbunov

Address: Tenancy 10, Marine House, Mahe, Eden Island, , 00000, Seychelles

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Oct 1, 2008
AUM:$114,000
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:0%
Min Investment:$25,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:1115.93%102.57%
Annual ROR:49.14%11.96%
YTD:0.00%5.53%
1 Year:0.00%14.71%
Alpha:3.32
Beta:0.33
Statistics Program S&P 500
Average Monthly Gain:6.69%3.54%
Average Monthly Loss:-6.13%-4.14%
Winning Months:5749
Losing Months:1826
Current DD:27.360.42
Max DD:27.3624.12
Sharpe Ratio (RF 1%):2.06
Annualized Std Dev:23.34

Methodology

Discretionary:75%
Systematic:25%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodShort Term
---------------------------
Option Spreads:20%
Option Writing:60%
Volatility:20%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20145.322.787.154.674.242.441.680.86-1.55-7.24-3.00-18.00-3.43
20133.032.633.21-7.424.353.154.454.583.742.485.446.2741.51
201212.514.894.1410.74-8.33-1.535.618.134.685.943.873.3967.08
201110.248.37-7.17-5.165.445.577.15-8.31-2.5011.5310.435.5745.82
20107.6312.436.376.15-12.0617.739.43-6.9314.394.77-1.315.2379.31
200918.25-1.693.825.20-8.037.269.855.0710.199.0610.154.66100.28
2008-4.0912.83-6.031.69

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

DELTA NEUTRAL OPTION WRITING

Delta Neutral Option Writing Program is developed to generate capital appreciation and aggressive positive risk-adjusted returns for Clients by consistently achieving trading profits through selling out-of-money options on US commodity futures. Program target return of 40-70% per yearly net of all fees.

The DNOWP seeks to achieve multiple objectives through the speculative trading of options on futures contracts:

1.Offer Clients a trading approach that is not already represented within their CTA portfolio. Investors have long turned to CTAs for diversification, but in the view of the Advisor, emulating other CTAs does not increase diversification within the sector.

2. Maintain a low degree of correlation with respect to other CTA programs, hedge funds, the S&P 500 index, and investment benchmarks in general. To this end, the Advisor employs a trading method and strategy which it believes is different from those of other investment managers.

3. Effectively manage risk in order to limit account draw-downs and reduce account volatility.

4. Generate capital appreciation and positive risk-adjusted returns for Clients by consistently achieving trading profits.

The objective of the "Delta Neutral Option Writing" program is to achieve capital appreciation through proprietary non-directional trading of options on US traded futures contracts. The general strategy of this program is to sell "out-of-the-money" options (both puts and calls with low delta) on futures contracts in a diversified set of markets across US and collect the premium. The most returns appear from option decay as a function of time.

Currently the targeted markets include, but not limit to, currencies, energies, equities, grains, interest rates, meats and precious metals traded on U.S. exchanges. AGCTA may trade a broader portfolio of commodity markets in the future.

Trades are usually made 30-60 days before option expiration, but are rarely held until expiration date. Positions are closed when 60%-80% of net options premium is collected. Program portfolio holds positions on 5-10 non-correlated option contracts simultaneous to decrease opportunity of collective sharp and rapid moves of a single market. Proprietary algorithms are used to determine strike prices of options sold, potentially resulting in a high probability for trades to achieve profit objectives. The goal is to be profitable regardless of market direction.

Proprietary algorithms are used to determine strike prices of options sold, potentially resulting in a high probability for trades to achieve profit objectives. The goal is to be profitable regardless of market direction. This neutrality is provided by advanced options delta monitoring and proactive position hedging in case of rapid market moves.

Using several non-correlated markets provides smooth equity grow and absence of the relatively big volatility in trading net results.

The strategy diversification provides a low degree of correlation with respect to other CTA programs, hedge funds, the S&P 500 index, and investment benchmarks in general. To this end, the Advisor employs a trading method and strategy which it believes is different from those of other investment managers.

By committing equity to multiple markets, diversification reduces the dependence of the program on any one particular market or sector for profits. Due to the importance of diversification across different markets and market sectors, the advisor suggests a minimum account size of $25,000.

Effectively manage risk in order to limit account draw-downs and reduce account volatilityIt is the opinion of AGCTA that returns alone should never be used to evaluate the merits of an investment.

This is particularly true when considering a managed futures program because of the high degree of leverage that is possible with futures. In fact, returns alone reveal nothing about the risks to which an account may have been exposed in pursuit of those returns.

By their nature, futures are risky instruments. With respect to trading options on futures contracts, AGCTA has imposed certain restrictions and procedures upon the Program, in light of their inherent risk.

Use of Leverage. As noted above, the trading of commodity interests typically involves extensive use of leverage. The Advisor expects the average overnight margin-to-equity ratio for client accounts to be less than 50%. This ratio is expected to vary from 0% to 50% over time, and may also sometimes exceed the high end of this range.

Equity draw-down limit. In the event that, at the close of business on any business day, the Net Asset Value of a client's account is 70% or less of the initial Net Asset Value of the account, AGCTA may, at its discretion, liquidate open positions in the account. In that event, AGCTA may at its discretion terminate the client's account or seek further instructions from the client with respect to termination of, or the infusion of additional funds into, the account. Because of varying market conditions, no assurance can be given that an account terminated under this provision will receive 70% of its initial value; it may receive less.

Position Size. The Program's contract limits are solely determined by the equity in the account. This feature helps to manage risk as it results in reduced position sizes during losing periods.

Pyramiding not used. AGCTA does not employ the trading technique commonly known as "pyramiding," that is, using unrealized profits on existing futures positions as margin for the purchase or sale of additional positions. However, it may add to existing positions when such action is dictated by its trading methodology. AGCTA includes unrealized profits in its determination of account equity, which forms the basis for decisions on position size.

The trading strategy and account management principles described are factors upon which AGCTA bases its trading decisions. The factors discussed in the preceding pages may be revised from time to time by AGCTA as it deems advisable or necessary. Accordingly, no assurance is given that all of these factors will be considered with respect to every trade or recommendation made on behalf of a Program account or that consideration of any of these factors in a particular situation will lessen a client's risk of loss or increase the potential for profits.

Company Info

AG Commodity Trading Adviser, Inc ("AGCTA" or the "Advisor") is an experienced money manager specializing in developing and implementing alternative investment strategies, offering managed futures trading programs (the "Programs") to both retail and institutional investors.

The primary objective of AGCTA program is the capital appreciation of its client's assets through speculation in financial and commodity options contracts.

Company offers two unique trading programs with the goal of generating consistent positive returns while limiting drawdown and volatility. Both programs operate 75% systematically and 25% discretionary. The programs incorporate disciplined risk management, supported by a dynamic hedging algorithm that adjusts with the current volatility of the market.

The mission of AGCTA is to potentially provide positive investment returns, compared with major stock indices, by implementing strategies which are designed to potentially succeed in all market environments, whether trending or consolidating. These strategies aim to complement traditional portfolios as a growth component.

AGCTA, Inc is registered at: 1181 Tenancy 10, Marine House, Eden Island, Mahe, Seychelles. Registration # 123944; telephone: +1 (970) 315-3002.AGCTA is exempt from CTA registration with CFTC as company is foreign based entity, located outside the United States.

Manager Info

Alexey Gorbunov, the CTA Principal, registered as a Principal of AGCTA and as an Associated Person in April 2013. He is responsible for all aspects of the firm's operation, including market research, trading, operation and management. Mr. Gorbunov graduated from Ural State University of Railway transportation with Mechanical Engineer degree in June 2003. His interest in the commodity futures markets began in University, where he independently studied futures and options. Throughout University and his professional career at Sony Corporation, Mr. Gorbunov has studied and designed technical trading systems.

Two managed futures programs offered was developed through research of the markets in 2012, data collected for development scoped from mid-2008. Mr. Gorbunov has been continuously working in the commodity industry for the past 6 years. He has 12 years of the total trading experience.

Both managed futures program are neutral to the market and capture profits from receiving time premium from out-of-the-money options (more profitable though more risky) or trading option constructions to sell or purchase volatility (less profitable in long term, though risk is always limited).

Mr. Gorbunov continues to research multiple trading strategies and alternative markets in addition to constant management and refinement of AGCTA's currently offered managed account programs. The managed futures programs currently open and offered by AGCTA are Delta Neutral Option Writing ("DNOW") and Market Neutral Risk Optimized ("MNRO").