Managed Futures Database, Resource & Tools

Program Details

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Red Squirrel Investments Group Ltd 

RSQ delta neutral options

Manager: Alexey Gorbunov

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:Aug 1, 2012
AUM:$14,000
QEP:Yes
Incentive Fee:30%
Annual Mgt Fee:0%
Min Investment:$50,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:11.85%75.13%
Annual ROR:10.89%67.74%
YTD:0.00%7.90%
1 Year:0.00%15.09%
Alpha:1.39
Beta:-0.09
Statistics Program S&P 500
Average Monthly Gain:3.46%2.40%
Average Monthly Loss:-25.00%-2.20%
Winning Months:1210
Losing Months:13
Current DD:25.003.13
Max DD:25.003.13
Sharpe Ratio (RF 1%):0.33
Annualized Std Dev:30.35

Methodology

Discretionary:40%
Systematic:60%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Option Writing:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20133.880.0010.43-25.000.000.000.000.00-13.96
20124.904.9610.376.020.9130.01

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Strategy is based on premium collection of sold naked strangles (options put and call on the same contract with 45-75 days prior to expiration). Basically there are 9-10 strangles on different futures contract at the same time - and all instruments are low correlated with each-other. It is suggested to be in the market all the time, replacing the expired/exhausted options with the new one. All written options are delta-neutralized in case of delta summary becomes bigger than 0.15 or less than -0.15. This allows collecting option premium on any market direction, even at very sharp and rapid moves. Different low correlated instruments allow keeping drawdown no bigger than 6% of the deposit. Contracts are chosen on fundamental and technical approach, and written options should have high Implied volatility. Half of asset is used as margin for written options; other half is used when delta-neutralizing should be applied.

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

Alexey Gorbunov graduated from Ural State University of Railway transportation with Mechanical Engineer degree. Since that time trading become his hobby and then passion. Starting in 2002 with Forextrading, he continued with futures contract trading in 2007 and in 2010 he finally came to option trading on US futures contract. Current trading system is based on fundamental and technical analysis of Futures contract to utilize powerful instrument of option selling. Basic points of his trading system are option premium collecting on both option time decay and expected futures moves. Any not expected rapid market moves are hedged with delta-neutral approach.