OVS Ultra - Oxeye Capital Management Ltd

FTSE Option Value Strategy
(OVS Ultra)
31st March 2013
Monthly Performance Figures (net of fees)
Year
Jan
Feb
Mar
Apr
May
31st July 2014
Jun
Jul
Aug
Sep
2009
Oct
Nov
Dec
0.61
0.57
4.84
Y/YTD
5.46%
7.23
20.71%
35.88%
2010
0.47
0.23
-9.78
-8.64
9.57
-4.01
3.65
6.13
-0.14
13.27
3.64
2011
12.69
1.71
1.55
-1.35
8.82
-2.30
-4.06
8.65
4.77
-1.35
-3.48
7.06
2012
4.83
0.21
4.16
-2.63
5.02
1.56
2.46
0.24
0.75
1.58
-0.12
-0.35
18.88%
2013
-17.07
-4.68
-1.50
1.18
-5.71
2.44
-3.83
3.52
4.19
0.40
0.95
0.65
-19.49%
2014
1.96
0.16
1.80
1.45
1.03
2.25
-0.28
8.64%
At the end of October 2009 we changed the strategy's risk management. See note 'Oxeye OVS Strategy - Stop Loss Explanation October 2009' on our website under Articles www.oxeye.co.uk
Cumulative Performance
Monthly Performance vs Implied Volatility
220
20%
OVS Monthly Performance
FTSE
200
15%
180
10%
% Returns
Rebased to 100
Oxeye
160
140
FTSE 100 Implied Vol
5%
0%
-5%
120
-10%
100
-15%
80
2009
2010
Performance
Total Cumulative Return
Annualised Return
Percentage up months
Percentage down months
Best month
Worst month
2011
2012
2013
2014
Oxeye
FTSE
79.83%
33.43%
12.91%
6.15%
68.97%
57.89%
31.03%
42.11%
13.27%
8.11%
-17.07%
-7.51%
-20%
2009
2010
2011
2012
2013
2014
FTSE 100 - Quarterly % Change
30%
20%
10%
0%
-10%
Risk Analysis
Annual Standard Deviation
Worst Consecutive Drawdown
Sharpe Ratio (Annualised)
Oxeye
FTSE
17.46%
12.76%
-27.16%
-15.51%
0.7
0.4
-20%
-30%
1984 1986 1988 1990 1992 1994 1996 1998 2000 2002 2004 2006 2008 2010 2012 2014
All Charts Source: Oxeye Capital Management Limited
Investment Approach
The OVS Ultra strategy has a double gearing to OVS but still employs Oxeye's proprietary valuation analysis to buy and sell option contracts on the FTSE 100 index.
The aims are threefold:
To take advantage of range trading on the index by writing out–of-the-money Call and Put spreads in order to profit from time erosion (theta).
To take advantage of trending markets and rising implied volatility by buying longer dated options (vega).
To provide a strict risk management profile to control risk. This is achieved by monitoring the strategy's sensitivity to the underlying market and by controlling the net gearing ratio (delta
and gamma).
Oxeye's valuation approach employs statistical and technical analysis to identify options as being either highly priced, in which case they may be
sold, or cheaply priced, in which case they would be purchased, adhering always to the principle 'buy low, sell high'.
* Monthly Performance Figures (Net of fee) - Management 2% / Performance 20% (net new highs) ex-Vat. UK tax payers will have VAT added to their fees.
Oxeye Capital Management Limited, Close Gate House, 47 High Street, Salisbury, SP1 2PB
Tel:+44 1722 336388 Fax:+44 1722 339537 Email:[email protected] www.oxeye.co.uk
The Oxeye OVS involves trading on margin in options & futures and carries a very high degree of risk with the potential to lose the original amount invested.
This document is issued by Oxeye Capital Management Ltd, a firm authorised and regulated by the Financial Conduct Authority. It is intended solely for information purposes and does not constitute an offer or
solicitation. Future performance may be materially worse than any results achieved in the past.

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