140707 bayou city capital june summary

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S&P 500 2.07 24.61 16.58 18.83 6.16 7.75 Bayou City Capital 5.31 56.29 24.11 35.96 14.97 23.46 Return Since Inception (%) 1 Month Return (%) 1 Year Return (%) 3 Year Return (%) 5 Year Return (%) 7 Year Return (%) DOW UBS Commodity Index 1.48 17.74 13.49 0.60 -2.04 0.00 0.49 S&P Goldman Commodity Index 1.21 23.50 17.90 0.74 -2.28 -0.01 0.46 0.07 0.45 1.00 0.79 0.04 2.67 0.11 Barclay's U.S. Bond Index 4.71 3.33 2.41 0.01 4.69 0.96 Russell 1000 U.S. Large Cap Index 8.12 14.68 11.43 1.02 0.23 S&P 500 7.75 14.39 11.19 1.00 0.00 0.43 1.00 0.77 Correlation to S&P 500 Sortino Ratio Bayou City Capital 23.46 42.83 33.89 1.47 22.35 0.51 0.49 Return (%) Std Dev (%) Downside Risk (%) Beta vs. Market Alpha vs. Market (%) Sharpe Ratio 0.77 Months 126 126 126 126 126 126 Management Fee: 2% Annual Incentive Fee: 20% of profits exceeding 2%/quarter High-water Mark: Reset Quarterly Redemption Notice: Monthly liquidity with two weeks notice Administrators: Michael J. Liccar & Co., CPAs, Chicago, IL, www.liccar.com AUM: $11,142,519 No. of Investors: 136 Tax Treatment: Section 1256 on gains/losses (weighted 60% long-term, 40% short-term) Distribution of % Monthly Returns (Number of Months) PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS Omni Trading, LLC 10000 Memorial Suite 330 Houston, TX 77024 www.bayoucitycapital.com 713-520-0993 $100,000 on Jan. 1, 2004, is Worth $915,046 (est) on June 30, 2014 BCC S&P 500 Compounded Annual Performance Metrics (January 2004 June 2014)

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Page 1: 140707 Bayou City Capital June Summary

S&P 500 2.07 24.61 16.58 18.83 6.16 7.75

Bayou City Capital 5.31 56.29 24.11 35.96 14.97 23.46

Return Since Inception (%)

1 Month Return (%)

1 Year Return (%)

3 Year Return (%)

5 Year Return (%)

7 Year Return (%)

DOW UBS Commodity Index 1.48 17.74 13.49 0.60 -2.04 0.00 0.49

S&P Goldman Commodity Index 1.21 23.50 17.90 0.74 -2.28 -0.01 0.46 0.07

0.45 1.00 0.79

0.04 2.67

0.11

Barclay's U.S. Bond Index 4.71 3.33 2.41 0.01 4.69 0.96

Russell 1000 U.S. Large Cap Index 8.12 14.68 11.43 1.02 0.23

S&P 500 7.75 14.39 11.19 1.00 0.00 0.43 1.00 0.77

Correlation to S&P 500

Sortino Ratio

Bayou City Capital 23.46 42.83 33.89 1.47 22.35 0.51 0.49

Return (%) Std Dev (%) Downside Risk (%)

Beta vs. Market

Alpha vs. Market (%)

Sharpe Ratio

0.77

Months

126

126

126

126

126

126

Management Fee: 2% Annual

Incentive Fee:

20% of profits exceeding 2%/quarter

High-water Mark: Reset Quarterly

Redemption Notice:

Monthly liquidity with two weeks notice

Administrators: Michael J. Liccar & Co., CPAs, Chicago, IL, www.liccar.com

AUM: $11,142,519 No. of Investors: 136

Tax Treatment: Section 1256 on gains/losses (weighted 60% long-term, 40% short-term)

Distribution of % Monthly Returns (Number of Months)

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS

Omni Trading, LLC 10000 Memorial Suite 330 Houston, TX 77024 www.bayoucitycapital.com 713-520-0993

$100,000 on Jan. 1, 2004, is Worth $915,046 (est) on June 30, 2014

BCC

S&P 500

Compounded Annual Performance Metrics (January 2004 – June 2014)

Page 2: 140707 Bayou City Capital June Summary

Bayou City Capital Advantages: 1) Liquidity - The S&P 500 Index futures is one of the most liquid and heavily traded futures markets in the world, thus

ensuring good price discovery, tight bid/ask spreads and the ability to liquidate positions instantaneously. This also provides for monthly liquidity for investors.

2) Tax Treatment - Bayou City Capital invests in S&P 500 futures and futures options contracts that are considered Section 1256 Contracts under the Internal Revenue Service Code. Section 1256 gains and losses are weighted at 60% long-term and 40% short-term capital gains, putting the effective maximum tax rate for gains at 26%*. Weighting the 20% long-term maximum tax rate x 60% = 12%, and the 35% short-term maximum tax rate x 40% = 14%, the sum equals the effective maximum rate of 26%, not including the Medicare Surtax. This is 9% lower than the current maximum tax rate of 35% on short-term capital gains on securities and presents a significant tax advantage.

3) SPAN Margining System – The CME utilizes the Standardized Portfolio Analysis of Risk (SPAN) system when calculating traders’ daily margin requirements. Unlike equity exchanges, the system assesses the total portfolio one-day risk rather than margin on a per trade basis. Any positions that profit in a scenario have gains instantly shifted to help satisfy margin requirements for losing positions. As Bayou City Capital writes options both above and below where the S&P 500 is trading, the Fund creates an efficiently leveraged portfolio as one trade’s loss can act as another trade’s gain for margining purposes.

Strategy Risks: The strategy generates positive returns in several market scenarios but may underperform during rapid down movements in the S&P 500, or in market “crashes”. Option prices rise dramatically during these times. Extreme gyrations and choppiness in the market have the same effect. In 2012, Bayou City Capital added risk controls and a VIX futures hedging program to mitigate such periods. The Fund’s highest performing months usually follow these periods as volatility regresses to more normal levels and option prices decline. Rate of Return is calculated by dividing the Series B Net Performance (net of fees and expenses) of Bayou City Capital, L.P., a Commodity Pool utilizing the S&P 500 Option Overwriting Program, by the Adjusted Beginning Asset Value (Beginning Net Asset Value plus time weighted additions and withdrawals) multiplied by 100. Standard Deviation Refers to the volatility of the returns. Higher standard deviations translate into more volatile return patterns. Sharpe & Sortino Ratio The Sharpe ratio divides the outperformance of the manager or index over the risk-free rate by the standard deviation. A higher Sharpe ratio indicates a higher return delivered for the risk taken. The Sortino ratio is a modification of the Sharpe ratio as it divides outperformance by the standard deviation of negative returns. The Sharpe ratio counts the volatility of both positive and negative returns. Beta vs. Market Beta reflects the portfolio’s sensitivity to overall market volatility. A beta of 1 reflects a portfolio that has fluctuated in perfect conjunction with the market. A beta higher than one indicates an above market level of risk and vice versa. A portfolio with beta of .75 would be expected to rise 7.5% if the broad market increased by 10%. Alpha vs. Market Alpha represents the risk-adjusted outperformance of the manager. This statistic reduces or increases the total out- or underperformance of the manager based upon the beta of the portfolio. For example, if a manager outperformed the benchmark by 200 Basis Points (2%) with a beta of .75 the alpha would be 3.75%, assuming risk free rate is at 3% and market increased by 10%. Downside Risk An estimation of a security's potential to suffer a decline in price if the market conditions turn bad. You can think of this as an estimate of the amount that you could lose on a stock or other investment.

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec ROR

2014 0.34 7.58 2.86 -3.61 7.09 5.31 20.71

2013 7.04 1.36 4.66 0.20 -0.50 -4.53 8.71 2.38 4.33 5.61 2.41 3.11 39.95

2012 22.13 10.55 8.08 2.50 -2.78 4.23 -1.45 13.84 7.86 -1.22 3.92 5.62 98.85

2011 4.66 3.50 6.23 6.97 6.05 1.24 -12.12 -26.93 -35.64 11.41 -10.81 38.57 -24.82

2010 -0.01 6.08 5.61 -4.67 -19.22 0.13 14.43 4.44 10.32 7.44 2.70 9.71 37.81

2009 -18.90 11.34 -0.44 15.98 19.02 11.78 -9.97 8.04 5.99 0.07 15.66 11.86 85.15

2008 -10.40 8.59 2.98 10.84 7.93 6.26 1.12 10.55 -69.95 -6.45 -30.10 53.12 -57.16

2007 7.21 -7.31 -3.43 9.81 6.88 -3.92 -6.60 -14.39 12.81 -2.09 -5.84 15.68 4.10

2006 1.39 2.71 4.43 3.06 -0.45 3.16 4.25 8.80 4.92 10.49 1.49 3.78 59.40

2005 2.98 -2.02 3.20 -11.56 9.93 -1.74 6.50 5.44 11.17 -4.77 8.06 5.20 34.43

2004 5.88 11.74 5.12 -3.41 -1.52 12.83 0.42 10.01 8.30 -8.09 -8.98 11.15 48.49

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS Omni Trading, LLC 10000 Memorial Suite 330 Houston, TX 77024 www.bayoucitycapital.com 713-520-0993