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Recent Statistics
  • May Return: 1.61%
  • YTD Return: 7.15%
  • Annual CROR:1 17.56 %
  • Worst DD:2 -43.22%
  • Losing Streak:3 0.00 %
  • Sharpe Ratio:4 0.94
  • Min Investment: $500,000
  • AUM:5 $319,000,000
  • Calmar Ratio:6 0.82
The LJM Moderately Aggressive Strategy manages a dynamic, moderately hedged portfolio of long and short S&P index equity options to garner returns through the inefficiencies of options pricing and time decay. The strategy targets absolute rates of return with an annualized target of 18-24%. This product is suited for investors who understand and accept the risks and potential volatility associated with aggressive returns.

LJM has developed a rich expertise in trading equity index options. LJM trades options on S&P Futures as its primary investment vehicle and based on the specific LJM strategy may also trade S&P, VIX and Variance Futures contracts along with associated derivatives. Through extensive empirical trading experience, 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" characteristics of options or as a function of the changing rates of volatility surrounding equity markets.


LJM's Aggressive strategies are based on a market neutral bias and volatility forecasting. Annualized profit objectives are targeted at 24-28%. Given the potential variability in short term performance the moderately aggressive investor should have a two to four year timeline or longer. The trading strategy for the Moderately Aggressive adds hedging to reduce risk and to limit exposure to gap down movements of 20% or less in the underlying S&P index. The hedging strategy will include long puts (i.e. put spreads) with the goal of reducing maximum capital loss relative to purely unhedged positions.

LJM's Founder and Chairman is Anthony J. Caine. After graduating with degrees in Economics and Mathematics from Carnegie-Mellon University in 1979, Mr. Caine spent the first 16 years of his professional career in the computer and software industries, including employment at Hewlett-Packard, Apple Computer and Trilogy Development Company. In 1990, Mr. Caine founded Spyglass, Inc. where he served as Spyglass' first President and CEO. In 1995 Spyglass, Inc. was IPO'd and traded from June 1995 through March 2000 on the NASDAQ Stock Exchange. In March 2000 Spyglass, Inc. was acquired by OpenTV (OPTV) in a $2.5 billion stock exchange transaction.
Since retiring from the software industry in November 1995, Mr. Caine has traded options and managed options accounts on a full-time basis. Mr. Caine also dedicates a significant amount of time to charitable causes including serving on the Board of Directors for Summit 54 and Rocky Mountain Prep, a Denver based charter grade school.
Mr. Caine is registered with the CFTC as an AP and principal of LJM and possesses his FINRA Series 3 license.

LJM's President is J. Scott Sykora. Mr. Sykora is 55 years old and is responsible for all LJM operations including financial reporting, regulatory compliance, marketing/advertising and new retail sales. Scott joined LJM in February 2006 after seven years with Deloitte Consulting Product Services LLC where he acted as Portfolio Director. Prior to Deloitte Mr. Sykora worked at the Hewlett-Packard Company in the global system integrator alliances organization. From 1989-1995 Mr. Sykora worked at his family's business, Floralife, Inc., where he acted as President and COO prior to its sale to the Rohm and Haas Company. From 1979-1989 he worked in the Computer Sales Group of the Hewlett-Packard Company. Mr. Sykora has a bachelor's degree in Engineering Physics from Miami University of Ohio and an MBA from the University of Chicago.
Mr. Sykora is registered with the CFTC as an AP and principal of LJM and possesses his FINRA Series 3 license.

Anish Parvataneni, CFA is the Chief Portfolio Manager at LJM. Mr. Parvataneni is responsible for making day to day trading decisions within the LJM trading strategies. Mr. Parvataneni also works on developing new strategies and products and modeling Mr. Parvataneni has over 15 years of industry experience including trading, developing quantitative models, and managing corporate portfolios at organizations such as Citadel and Jump Trading. Mr. Parvataneni has a Master in Science in Computational Finance from Carnegie Melon University, a Master in Business Administration from Indian Institute of Management (IIM) in Lucknow, India and a Bachelor of Mechanical Engineering from the Regional Engineering College in Bhopal, India. Mr. Parvataneni is also a Chartered Financial Analyst (CFA) charterholder.

LJM's Chief Risk Officer is Arjuna Ariathurai. Mr. Ariathurai is in charge of developing and executing firm risk policy as well as evaluating and enhancing current trading strategies and developing new trading strategies. Mr. Ariathurai joined LJM in March of 2012 after seven years as an owner and partner of proprietary trading firm, XO Capital LLC. Mr. Ariathurai has 16 years of experience in the financial industry, working for UBS, the CME and as an entrepreneur. He has extensive experience in asset pricing, trading and risk management, technology and quantitative analysis. Mr. Ariathurai holds a bachelor's degree in Mathematics from Duke University and a Masters of Business Administration with concentrations in Analytic Finance and Accounting from the University of Chicago as well as a Masters of Science in Computer Science from the University of Chicago.

Accounting Notes: Performance shown is actual combined performance of managed accounts and of three funds utilizing this strategy.


  • Trading Methodology
    100% Discretionary
  • Style Sub-Categories
    Option Writer
  • Trading Style
    100% Option Trading
  • Market Allocation

  • Holding Period
    70% Medium Term
    30% Short Term
  • Sector
    US
    Contracts
    Futures
    Options

Performance is actual combined performance of managed accounts and of three funds utilizing this strategy.

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2017 2.16% -1.14% 2.63% 1.74% 1.61%   7.15% -1.14%
2016 0.85% 2.55% 1.39% 0.71% 3.71% -1.78% 1.31% 3.71% 2.33% 2.13% 0.64% 0.13% 19.01% -1.78%
2015 2.22% 5.01% 3.29% 1.95% 2.42% 0.88% 3.24% -8.74% 7.41% -0.74% 1.79% 1.09% 20.7% -8.74%
2014 3.14% -1.20% 4.93% 0.73% 2.04% 1.85% -1.24% 3.50% 3.04% -15.86% 3.99% 0.10% 3.26% -15.86%
2013 -0.37% 1.31% -0.57% -1.73% -12.14% 5.36% 1.79% 2.49% -1.09% -2.95% 0.64% 3.27% -4.98% -14.15%
2012 4.20% 2.27% 1.34% 6.01% 5.53% 1.15% -0.73% 5.76% -0.73% 3.80% 0.30% 1.37% 34.41% -0.73%

Years200320042005200620072008
ROR22.14%38.22%32.08%31.35%26.33%-18.69%
Max DD-1.87%-1.54%-0.67%-2.01%-12.20%-43.22%

Years200920102011201220132014
ROR29.18%22.78%2.09%34.41%-4.98%3.26%
Max DD-4.23%-6.59%-31.56%-0.73%-14.15%-15.86%

Years201520162017 YTD
ROR20.70%19.01%7.15%
Max DD-8.74%-1.78%-1.14%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING. THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.

Program Information
  • Start Date: Apr-2003
  • New Money: Yes
  • Min Investment: $500,000
  • Fund Minimum: $0
  • Notional Funds: No
  • NFA Member: Yes
  • NFA Number: 0290322
  • Currency: US Dollar
  • AUM:5 $319,000,000
  • Annual CROR:1 : 17.56%
  • Worst Drawdown:2 -43.22 %
  • Losing Streak:3 0.00 %
  • Sharpe Ratio:4 0.94
  • Calmar Ratio:6 0.82
  • Margin:7: 50-70%
  • Mgt Fee: 0-2%
  • Incentive Fee: 20.00%
  • Other Fees: None
  • Avg Comm:8 3.0%
  • Max Comm:9:
  • Round Turns:10 2,000
Additional Information
  • Other Memberships:
  • Correlations: AG CTA Index: 0.144 | AG Discretionary CTA Index: 0.456 | Option Writer Asset Weighted Index: 0.837 |
  • Track Record Prepared By: LICCAR

    Accounting Notes: Performance shown is actual combined performance of managed accounts and of three funds utilizing this strategy.

  • Chart
    Chart
  • * By selecting to be contacted by a Representatives Autumn Gold may refer you to a third party broker or directly to the Manager.

    (P) - Proprietary Trading Results (C) - Client Trading Results

    1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

         The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

         Annual Rate of Return ("Annual ROR") is calculated adding each month's return.

    2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

    3. The Current Losing Streak ("Losing Streak") represents the extent of the Adviso'rs current drawdown.

    4. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

    5. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

    6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

    7. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

    8. The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

    9. Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

    10. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

  • RISK DISCLOSURE

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

    THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

    PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

    THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

    AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.