Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
The YOOF program is a variation of the YES OO trading program that substitutes the use of futures contracts for the cash treasury securities.
The objective of the yield enhancement strategy is first, to increase the client’s yield using conservative techniques involving derivative product, and second, to protect the asset value of the underlying portfolio.
Investment Strategy
The Oblique Option System which is used is a trend-countertrend system employing option credit spreads and outright options. Its’ proprietary methodology takes advantage of both option decay and short term market spikes while enjoying limited liability on every trade.
The YOOF program uses futures contracts instead of the cash treasury bonds as the underlying asset to write call spreads against. Due to the lack of interest income from the bond, it is expected to yield a lower rate of return than the original program. Also, the lack of this income component should result in a significantly altered risk to reward relationship.
Risk Management
Like the YES OO program. The YOOF program does not take any naked short option positions. Any shorts are only part of a spread with an offsetting long position. The maximum loss per trade is the difference between the two option strikes of the spread or the full price paid for the outright option. In most cases this risk is generally not more than $2,000 per spread position.
AUM & Cumulative Returns
Distribution
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Reward
Pukula & Co. YOOF
Average RoR
-0.19%
Max Gain
8.20%
Gain Frequency
48.28%
Average Gain
2.56%
Gain Deviation
2.28%
Risk
Standard Deviation
3.33%
Worst Loss
-5.80%
Loss Frequency
48.28%
Average Loss
-2.95%
Loss Deviation
1.53%
Reward/Risk
Sharpe (RFR=1%)
-0.08
Skewness
0.52
Kurtosis
0.28
Reward
Pukula & Co. YOOF
Compound RoR
-2.85%
Average RoR
-1.88%
Max Gain
15.68%
Gain Frequency
41.38%
Average Gain
15.68%
Gain Deviation
7.88%
Risk
Standard Deviation
11.54%
Worst Loss
-14.45%
Loss Frequency
58.62%
Average Loss
-14.27%
Loss Deviation
5.31%
Reward/Risk
Sharpe (RFR=1%)
-0.28
Skewness
Kurtosis
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial. Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.
Drawdown Report
Depth
Length (Months)
Recovery (Months)
Peak
Valley
-18.06
7
10
8/2010
3/2011
-16.29
9
—
1/2012
10/2012
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
17.12
6
4/2011
9/2011
8.20
1
8/2010
8/2010
7.58
3
11/2011
1/2012
1.76
1
6/2010
6/2010
1.30
1
6/2012
6/2012
0.70
1
9/2012
9/2012
0.40
1
3/2012
3/2012
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-18.06
7
9/2010
3/2011
-8.80
2
4/2012
5/2012
-6.39
2
7/2012
8/2012
-2.30
1
10/2012
10/2012
-2.00
1
2/2012
2/2012
-2.00
1
10/2011
10/2011
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Top Performer Badges
Index
Award Type
Rank
Performance
Period
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.