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Program Details

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Junzi Capital Engineering, LLC 

Tang Gamma Opportunity (Aggressive)

Manager: Chon Tang

Address: 2957 3rd Ave, Ste. B, Sacramento, CA, 95817, U.S.A.

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CPO
Inception Date:Oct 1, 2009
AUM:$4,454,918
QEP:No
Incentive Fee:30%
Annual Mgt Fee:0%
Min Investment:$250,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:86.24%129.42%
Annual ROR:34.78%48.97%
YTD:0.00%8.32%
1 Year:0.00%11.57%
Alpha:1.35
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:5.18%2090.98%
Average Monthly Loss:-3.78%-3.69%
Winning Months:1815
Losing Months:710
Current DD:3.048.09
Max DD:9.0417.03
Sharpe Ratio (RF 1%):1.72
Annualized Std Dev:19.67

Methodology

Discretionary:10%
Systematic:90%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodIntraday
---------------------------
Arbitrage:30%
Quantitative:40%
Volatility:30%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20113.41-0.461.346.26-5.54-3.673.380.901.930.227.47
201011.954.942.953.93-0.56-6.714.815.044.50-9.043.8910.6640.29
20096.26-0.5016.8323.52

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

This program implements a volatility arbitrage strategy in the commodity futures markets. The objective is to produce attractive absolute-returns uncorrelated to equity and commodity market price levels. We seek to exploit systematic mispricings in the option prices of exchanged-traded commodity futures, by actively trading the underlying futures contract on an intraday basis.

Investment Strategy
A comprehensive volatility model based on extensive statistical research and extensive backtesting is used to identify option mispricings, both long and short. Positions are selected on a discretionary basis. A proprietary, fully automated black-box application then monitors price/volume movements in the underlying instrument. As long as electronic markets are open, the application makes hedging decisions on a minute-by-minute basis; completely automated trades may be placed up to 23 hours a day, 6 days a week. The strategy is designed to be price neutral: profits and losses are determined only by the realized volatility of the underlying commodity.

Risk Management
Investments are made in a diverse set of uncorrelated commodities. Long option hedges are used aggressively when electronic futures markets are not available for trading (weekends/holidays).

Company Info

Junzi Capital Engineering, LLC ("Junzi"), the Fund's general partner, is registered with the Commodity Futures Trading
Commission as a Commodity Pool Operator and is a member of the National Futures Association. Ziqiang Tang is the
founder of Junzi, where he is responsible for strategy development, statistical analysis, and technical implementation.
Prior to founding Junzi, Mr. Tang served as the VP-Engineering at TERN Inc, a leading provider of industrial automation
solutions. Mr. Tang received a B.S. in Computer Science and Electrical Engineering from UC Berkeley in 1998.
He also received a Masters degree in Computer Science and Electrical Engineering from the Massachusetts Institute
of Technology in 2000. Mr. Tang further studied financial engineering at the MIT Sloan School of Management. Mr.
Tang is an active member of the angel investing community, participating in seed-round fundings for 10+ startup
technology companies. He became registered as an Associate Member of the NFA on January 19, 2010.

Manager Info

Junzi Capital Engineering, LLC ("Junzi"), the Fund's general partner, is registered with the Commodity Futures Trading
Commission as a Commodity Pool Operator and is a member of the National Futures Association. Ziqiang Tang is the
founder of Junzi, where he is responsible for strategy development, statistical analysis, and technical implementation.
Prior to founding Junzi, Mr. Tang served as the VP-Engineering at TERN Inc, a leading provider of industrial automation
solutions. Mr. Tang received a B.S. in Computer Science and Electrical Engineering from UC Berkeley in 1998.
He also received a Masters degree in Computer Science and Electrical Engineering from the Massachusetts Institute
of Technology in 2000. Mr. Tang further studied financial engineering at the MIT Sloan School of Management. Mr.
Tang is an active member of the angel investing community, participating in seed-round fundings for 10+ startup
technology companies. He became registered as an Associate Member of the NFA on January 19, 2010.