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Capital Trading Group
CTA Profile - Pukula & Co
Program - YES - OO T Bond Program ProForma
Principal(s): Terry Vance Pukula 4.7 Exempt - Qualified Eligible Persons Only
Trading Strategy: Yield Enhancement Strategy with Trend/Counter-Trend Overlay

Investment Restrictions: 4.7 Exempt - Qualified Eligible Persons Only
Trading Description:
The YES-OO program is designed to be an intermediate to long-term strategy. The objective of the YES-OO yield enhancement strategy is first, to increase the client's yield using conservative techniques involving derivative products, and second, to protect the asset value of the underlying portfolio. YES is structured around the buy-write concept (also known as covered call writing). The YES program, by nature of its structure, creates synthetic instruments which effectively act as short term maturities.

Yield enhancement programs primarily employ options to generate income through the sale (known as writing) of such options which are essentially wasting assets. However, by replacing the normal short options call writing with a slightly modified version of Pukula's Oblique Options program, the erratic distortions can be tamed and potentially give a much smoother return profile.

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. This 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.

Risk Strategy:
 Using option spreads or outright options enables the Advisor to better manage risk associated with volatile market moves. The approach can be used in both bull and bear markets. At times, the market, can and will, move against a current option spread position held by the Advisor. In this circumstance, the Advisor may use several techniques to adjust positions. The adjustment might involve liquidating the position held and/or initiating new positions in futures or options on futures to minimize risk exposure.

In an effort to control risk, the maximum number of positions are directly related to equity. Positions will be increased if equity grows. Positions will be reduced if equity drops below certain levels. This and other risk control guidelines will be observed for each client's account subject to the absolute discretion of Pukula to amend or ignore such guidelines, without notice, depending upon market conditions and the judgement of Pukula.
Trading Approach
Systematic - 90.00%
 Discretionary - 10.00%
Trading Methodology
Non Trend Following:
Option Writer
Yield Enhancement
Markets Traded

Non Diversified
Financials
Sector
US Markets
Contracts Traded
Futures
Options

Annual Performance Since 2003
2003
0.00%
2004
0.00%
2005
1.27%
2006
31.71%
2007
48.11%
2008
28.02%
2009
11.45%
Recent Performance
Currency Denomination - US Dollars 
2010 Monthly Return YTD Return Assets Under Mgt
08/31/10 7.84% 15.15% 110,077
07/31/10 -0.63% 6.78% 101,766
06/30/10 2.26% 7.46% 1
05/31/10 3.27% 5.08% 1
04/30/10 0.10% 1.75% 1
03/31/10 0.95% 1.65% 1,000
02/28/10 0.70% 0.70% 1,000
01/31/10 0.00% 0.00% 1,000
2009 Monthly Return YTD Return Assets Under Mgt
12/31/09 -0.93% 11.45% 1,000
11/30/09 1.53% 12.49% 1,000
10/31/09 -0.25% 10.80% 1,000
09/30/09 0.41% 11.08% 1,000


Accounting Notes: HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

VAMI Chart (Based on a $1,000 Initial Value)
 Monthly Percentage Returns Chart

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Investment Details
 Disclosure Document Date
06/02/10  
 Starting Date of Program
01/31/04 
 Accepting New Money?
Yes  
 Average  Annual Rate of Return
27.14% 
 Peak to Valley Drawdown
-6.72 % 
Average  Margin as % of Equity
20.00% 
 Round Turns per Million
3,000 
 Minimum Sized Account
100,000 
 Currency Denomination
US Dollars 
 Management Fee
1.00% 
 Incentive Fee
20.00% 
 Notional Funding?
No  
 Member of NFA
Yes  
 Other Memberships
None 


Statistical Definitions
(1) From January 1990 or Starting Date of Program - The Annual Average Rate of Return represents the compounded rate of return for 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. This includes all monthly data from the inception of the program or from January 1990, whichever is less.
(2) From January 1990 or Starting Date of Program - The Worst Peak-to-Valley 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. "Monthly" indicates that the Worst-Peak-to-Valley Drawdown" is based on monthly Data.

  HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

Fee Range: Management Fees range from 0.18% - 1%


 

Risk Disclosure
THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND 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 CAREFULLY CONSIDER WHETHER COMMODITY FUTURES, OPTIONS AND FOREX IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. 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.

THE ABOVE PERFORMANCE NUMBERS HAVE BEEN SUPPLIED BY THE CTAS. CAPTIAL TRADING GROUP LP NO WAY GUARANTEES THE ACCURACY OF THESE NUMBERS AND HAS SUPPLIED THEM TO YOU FOR INFORMATIONAL PURPOSES ONLY. THIS DOES NOT CONSTITUTE A SOLICITATION TO BUY OR AN OFFER TO SELL. NO INVESTMENT SHOULD BE MADE WITHOUT FULLY REVIEWING THE ASSOCIATED RISK FACTORS, FEES AND CONFLICTS OF INTEREST AS OUTLINED IN EACH CTA'S RISK DISCLOSURE DOCUMENT. THERE MAY BE CTAS WHO HAVE CHOSEN NOT TO PARTICIPATE THAT MAY HAVE BETTER OR WORSE PERFORMANCE THAN THOSE CTAS IN OUR DATABASE.

PLEASE NOTE THAT THERE IS AN INHERENT RISK OF LOSS ASSOCIATED WITH TRADING FUTURES AND OPTIONS CONTRACTS. PLEASE CAREFULLY CONSIDER YOUR FINANCIAL CONDITION BEFORE INVESTING IN FUTURES AND OPTIONS CONTRACTS. FUTURES TRADING IS NOT SUITABLE FOR ALL INVESTORS