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Program Details

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Red Squirrel Investments Group Ltd 

RSQ ag option trading

Manager: Viktor Neustroev

Address: 147 Main Street, Road Town, Tortola, BVI, VG1110, Saint Kitts & Nevis

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:May 23, 2011
AUM:$50,000
QEP:Yes
Incentive Fee:30%
Annual Mgt Fee:0%
Min Investment:$50,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:37.77%77.15%
Annual ROR:14.72%27.77%
YTD:0.00%7.90%
1 Year:0.00%15.09%
Alpha:1.84
Beta:-0.61
Statistics Program S&P 500
Average Monthly Gain:3.64%3.08%
Average Monthly Loss:-6.82%-2.94%
Winning Months:2217
Losing Months:611
Current DD:15.603.13
Max DD:17.0015.89
Sharpe Ratio (RF 1%):0.54
Annualized Std Dev:25.26

Methodology

Discretionary:30%
Systematic:70%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Fundamentals:5%
Option Writing:95%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2013-14.801.190.500.000.000.000.000.00-13.36
2012-14.721.95-3.165.841.39-5.661.031.242.7512.20-0.09-2.50-2.09
20110.3325.288.424.812.577.830.562.2362.40

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

RSQ ag option trading program operates only in commodity markets, sometimes currencies (euro, yen) and is based on writing deep-out-of-the-money options. We use fundamental analysis when defining enter points: analyze current ratio of supply and demand, ending stocks and estimate influence of factors which currently pressure the market.
Choosing option strike, we look for how far it is out of money. Most of sold strikes are as far as 30-100% from current market price (spot). A portfolio is formed by 6-8 weakly correlated assets thus that collected premiums (taking into consideration position sizes) are equally. We always try to keep more than 50% of account in cash and another 50% is used for marginal requirements.

Company Info

Red Squirrel Investments Group Ltd ("RSQ"), is in the business of providing advisory services to clients with regard to trading futures contracts and options on futures contracts. RSQ offers Clients an opportunity to participate in a managed account programs, "RSQ ag option trading" & "RSQ delta neutral options".

Manager Info

Viktor Neustroev graduated from Novosibirsk State University with Master of Economics degree, specialized on mathematical methods in Economics. In 2003 Mr. Neustroev finished trading courses and started trading FOREX. He joined Treasury Department of MDM Bank in 2006, since that time trading became his job. In the beginning of 2010 Viktor left his work and co-founded his own company, whose main tasks were asset management and brokerage. After 4 successful years of Forextrading Viktor switched over to trading options on US commodity futures. And since 2011 asset management trading options became a main line of his company business. Current trading system is based on fundamental analysis of certain commodity market and forecasts of price behavior in short- & medium-term period due to supply and demand ratio changes. Selling options deep-out-of-the-money enables make money staying far from the market.