LJM Performance vs S&P 500 Total Return Index

LJM AggressiveLJM Moderately AggressiveLJM P&GS&P 500
1998-10.16%1n/an/a9.23%1
199960.52%n/an/a21.04%
2000-3.07%n/an/a-9.10%
200121.02%n/an/a-11.89%
2002-4.24%n/an/a-22.10%
200368.10%22.14%2n/a28.68%
200453.76%38.22%n/a10.88%
200542.21%32.08%n/a4.91%
200637.71%31.35%6.84%315.79%
200721.25%26.33%12.56%5.49%
2008-48.05%-18.69%12.12%-37.00%
200950.01%29.18%11.11%26.46%
201038.16%22.78%11.22%15.06%
2011-5.10%2.09%8.23%2.11%
201246.48%34.41%10.88%16.00%
2013-3.80%-4.98%-8.42%32.39%
20142.35%3.26%0.98%13.69%
201526.99%20.70%12.55%1.38%
201625.40%19.01%13.66%11.96%
20179.55%8.93%5.36%9.34%
LJM Total Return2,456.24%1905.22%2149.23%3
S&P 500 Total Return206.00%1283.01%2134.65%3
LJM Ave. Annual Return18.60%17.58%8.52%
S&P 500 Ave. Annual Return6.06%9.88%7.94%
Correlation0.280.22-0.051.00
Max Drawdown63.65%43.22%12.64%-
Max Drawdown Time PeriodAug-Oct 2008Aug-Oct 2008Feb-May 2013-

Past results are not necessarily indicative of future results. Performance stated above is net of fees and expenses. June returns are estimated.

1. LJM Aggressive Strategy opened in July 1998, hence 6 months performance in 1998.
2. LJM Moderately Aggressive Strategy opened in April 2003, hence 9 months performance in 2003.
3. LJM P&G Strategy opened in May 2006, hence 8 months performance in 2006.

Performance shown for the LJM Moderately Aggressive Strategy and LJM P&G Strategy are actual combined performance of managed accounts and of funds utilizing these strategies.

Max Drawdown is the greatest cumulative percentage decline in month-end net asset value due to losses sustained by the trading program during any period in which the initial month-end net asset value is not equaled or exceeded by a subsequent month-end net asset value.

Total Return is calculated as the absolute return on investment from inception to present.

Annualized returns represent the total return aggregated to a period of one year. 

*Since inception of LJM Aggressive Strategy in July 1998

LJM Preservation & Growth Strategy

  • LJM Preservation & Growth Strategy
  • S&P 500 Index

$1000 investment made on May 2006 is now worth $2,492 (est) June 30, 2017.

  • Investment Minimum: $3,000,000
    Contact Us regarding lower minimums
  • Target Returns: 8-12%
  • Strategy AUM: $43,000,000
  • Monthly ROR: 0.68%
  • Annualized ROR: 8.52%
JanFebMarAprMayJunJulAugSepOctNovDecYear
2006n/an/an/an/a0.101.390.971.35-0.88-1.433.501.736.84%
20072.400.960.45-4.13-1.132.66-2.795.013.311.191.872.4712.56%
2008-0.633.881.330.861.952.160.981.02-0.56-6.453.274.1412.12%
20091.351.10-2.523.261.991.70-4.221.912.120.711.801.6411.11%
20101.070.90-0.43-0.651.743.900.652.30-0.800.631.63-0.1711.22%
20111.25-0.241.51-1.412.850.83-3.03-8.316.691.205.441.998.23%
20121.330.720.162.802.09-0.20-1.393.37-1.732.640.050.6810.88%
2013-0.440.69-1.45-2.63-8.972.431.401.95-1.63-2.440.272.63-8.42%
20142.86-1.242.990.301.421.29-0.872.302.22-12.113.51-0.680.98%
20151.603.662.421.061.230.682.17-6.805.66-1.461.460.7212.55%
20160.811.950.890.452.88-1.371.122.941.901.380.08-0.0913.66%
20171.49-0.651.670.950.711.115.36%

Past results are not necessarily indicative of future results. Performance shown is actual combined performance of managed accounts and of two funds utilizing this strategy. Individual accounts may vary. Performance stated above is net of fees and expenses. June returns are estimated.

About the strategy

  • Annualized profit objectives are targeted at 8-12%
  • Portfolio of long and short options against S&P 500 index futures
  • Natural complement to long equities
  • Hedging techniques are incorporated to mitigate losses in extreme market drops
  • Minimum managed account investment amount is $3 million (Contact Us for lower minimum investment options)

Inception May 2006 - June 2017

  • Sharpe ratio: 0.85
  • Standard Deviation: 2.59%
  • Annualized STD Dev: 8.98%
  • Risk Free Rate: 3 Mo. T-Bill
  • Correlation to S&P 500: -0.05
  • Max drawdown: 12.64% (Mar-May 2013)
  • Longest number of months
    between highs:
    18

Performance Awards

LJM Moderately Aggressive Strategy

  • LJM Moderately Aggressive Strategy
  • S&P 500 Index

$1000 investment made on April 2003 is now worth $10,052 (est) June 30, 2017.

  • Investment Minimum: $500,000
    Contact Us regarding lower minimums
  • Target Returns: 18-24%
  • Strategy AUM: $331,000,000
  • Monthly ROR: 1.36%
  • Annualized ROR: 17.58%
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2003n/a n/a n/a 0.241.072.843.963.521.656.992.05-1.8722.14%
20042.596.272.653.533.833.952.822.443.90-1.540.052.5238.22%
20054.671.051.021.802.583.650.403.884.130.48-0.675.3632.08%
20062.523.233.062.56-2.014.290.974.901.271.512.443.0231.35%
20073.91-2.980.04-9.541.515.60-5.717.968.174.525.486.4226.33%
2008-12.4214.606.973.965.114.704.604.23-13.06-34.691.095.79-18.69%
20093.042.81-2.285.633.403.71-4.232.762.31-0.104.924.3929.18%
20101.963.760.59-1.34-5.327.142.704.58-0.272.992.521.9322.78%
20112.530.813.160.244.681.14-5.50-27.5812.042.337.936.542.09%
20124.202.271.346.015.531.15-0.735.76-0.733.800.301.3734.41%
2013-0.371.31-0.57-1.73-12.145.361.792.49-1.09-2.950.643.27-4.98%
20143.14-1.204.930.732.041.85-1.243.503.04-15.863.990.103.26%
20152.225.013.291.952.420.883.24-8.747.41-0.741.791.0920.70%
20160.852.551.390.713.71-1.781.313.712.332.130.640.1319.01%
20172.16-1.142.631.771.671.578.93%

Past results are not necessarily indicative of future results. Performance shown is actual combined performance of managed accounts and of three funds utilizing this strategy. Individual accounts may vary. Performance stated above is net of fees and expenses. June returns are estimated.

About the strategy

  • Annualized profit objectives are targeted at 18-24%
  • Portfolio of long and short options against S&P 500 index futures
  • Non-directional; strategy does not attempt to forecast market direction or volatility
  • Moderate hedging techniques are employed to mitigate exposure to sharp market draw downs
  • Minimum managed account investment amount is $500,000 (Contact Us for lower minimum investment options)

Inception April 2003 - June 2017

  • Sharpe ratio: 0.93
  • Standard Deviation: 5.26%
  • Annualized STD Dev: 18.21%
  • Risk Free Rate: 3 Mo. T-Bill
  • Correlation to S&P 500: 0.22
  • Max drawdown: 43.22% (Sept-Oct 2008)
  • Longest number of months
    between highs:
    30

Performance Awards

LJM Aggressive Strategy

  • LJM Aggressive Strategy
  • S&P 500 Index

$1000 investment made on July 1998 is now worth $25,562 (est) June 30, 2017.

  • Investment Minimum: $500,000
  • Target Returns: 24-32%
  • Strategy AUM: $112,000,000
  • Monthly ROR: 1.43%
  • Annualized ROR: 18.60%
JanFebMarAprMayJunJulAugSepOctNovDecYear
1998n/an/an/an/an/an/a-1.77-36.9941.733.64-0.96-0.22-10.16%
19993.2710.385.323.517.593.913.467.3310.10-18.1410.524.4860.52%
20004.836.45-34.72-9.388.456.775.597.152.761.50-4.6412.70-3.07%
200110.01-2.61-0.022.506.813.713.500.60-24.255.0012.676.6521.02%
20026.404.493.342.087.90-0.68-46.174.426.163.595.6516.68-4.24%
20030.9813.534.397.842.261.935.524.202.7010.003.15-2.4868.10%
20044.118.273.634.224.854.404.663.634.77-1.74-0.163.5153.76%
20056.731.541.382.263.334.020.544.875.080.88-0.585.9742.21%
20063.084.004.003.34-1.864.550.925.271.341.812.813.3937.71%
20075.07-2.980.07-11.58-0.644.77-5.428.607.144.085.656.7121.25%
2008-12.3914.997.134.545.774.944.624.39-15.58-56.940.893.58-48.05%
20094.142.43-3.099.375.746.26-6.725.624.40-0.528.406.4750.01%
20103.575.950.56-1.06-6.326.614.798.19-0.505.622.893.3738.16%
20113.941.164.330.136.711.66-8.18-34.306.953.489.728.72-5.10%
20125.553.101.697.726.961.69-0.456.90-0.724.620.351.8446.48%
20130.091.51-0.53-2.24-13.315.822.493.34-1.45-3.060.844.01-3.80%
20143.98-1.365.580.992.462.46-1.934.454.09-19.614.53-0.502.35%
20152.526.114.412.673.601.475.14-14.1411.64-1.202.781.2226.99%
20161.643.021.891.074.48-2.011.544.622.922.961.01-0.0925.40%
20172.85-1.472.811.911.551.619.55%

Past results are not necessarily indicative of future results. Performance stated above is net of fees and expenses. June returns are estimated.

About the strategy

  • Annualized profit objectives are targeted at 24-40%
  • Portfolio of long and short options against S&P index futures
  • Seeks to maximize returns with the trade off of higher volatility of returns and exposure to extreme gap movements in the S&P Index
  • Incorporates mild hedging techniques for loss mitigation and opportunistic gains
  • Minimum managed account investment is $500,000

Inception July 1998 - June 2017

  • Sharpe ratio: 0.69
  • Standard Deviation: 8.84%
  • Annualized STD Dev: 30.62%
  • Risk Free Rate: 3 Mo. T-Bill
  • Correlation to S&P 500: 0.28
  • Max drawdown: 63.65% (Sept-Oct 2008)
  • Longest number of months
    between highs:
    47

Performance Awards