« Closing TXU Corp (TXU) Bull Put Credit Spread | Main | Options Trader Magazine: June 2005 Issue »

June 09, 2005

Managed Options: LJM Partners Fund

Yet another top performing managed options program is the LJM Partners Fund; its averaged annual returns of 30% since 1999, with a standard deviation of 32%. That might seem a tad risky, but the fund's recent performance has been spectacular: +68% in 2003, +54% in 2004, and +16% YTD in 2005.

Trading Philosophy:
LJM has developed a market neutral trading strategy with a belief that the S&P 500 market is always efficiently priced. LJM does not attempt to forecast market direction, rather LJM derives profits as a function of the “time decay” of options by managing changes in underlying volatility. The basic principle of LJM’s trading methodology is to simultaneously write (sell) deep-out-of-the-money call and put options, and profit when the price of the options that have been written (sold) declines such that the options can be purchased for amounts less than the price at which those options were initially sold. Profits are also realized when options expire worthless, providing full profit on the original option premium sold.

What's more, the fund provides clients with customized investment profiles:

Program Details & Performance Statistics:
* IASG profile
* Min. investment = $500K, Fees: 2% mgmt fee, 20% incentive fee
* No. of winning months: 65
* No. of losing months: 12
* Maximum Drawdown: 46% (In July 2002, Quite severe!)
* Sharpe ratio: 1.0
* Correlation with S&P 500: 0.1

Here's how the fund's returns compare with those of the S&P 500, since the former's inception in 1999:

Posted by galatime at June 9, 2005 01:50 PM

Comments

Posted by: Jason Estrada at June 22, 2005 02:01 PM