Lighthouse Option Writing

Lighthouse Accounts: Alternative

Summary

The Lighthouse Option Writing Fund generates a significant portion of their returns from the collection of premiums on options contracts sold. This category includes covered call strategies, put writing strategies, as well as options strategies that target returns primarily from contract premiums. In addition, option writing funds may seek to generate a portion of their returns, either indirectly or directly, from the volatility risk premium associated with options trading strategies. Category Group Index: S&P 500 TR USD Category Index: CBOE S&P 500 BuyWrite BXM

Benchmark: S&P GSCI Covered Call Select

Core Facts

Asset Class Alternative
Category Option Writing
Expense Ratio [1] 0.0%
Commissions [2] 0.0%
Fee [3] 0.30%
Minimum investment [4] $1000 US
Account number AL084
Account manager Galleon Wealth Management
Region Global
Market Developed

Capitalization

Value

Blend

Growth
LG
MD


SM


Style

Portfolio composition by security (top holdings)

Top Holdings

Company NameForward Annual Div Yield
Global X NASDAQ 100 Covered Call ETF-
Global X S&P 500 Covered Call ETF-
Invesco S&P 500 BuyWrite ETF-

Overall Risk

The risk rating is based on the account’s past performance as compared to mutual funds and/or ETFs within the same category. It represents a starting point from which investors evaluate if the core makes sense for their own risk tolerance, suitability, goals and objectives. It is not a buy or sell recommendation. There are many types of risk, including interest rate, market, political, and currency. Each type of risk can affect the value of the securities in your account.

Overview       
Start Date1/1/14
End Date12/31/19
Initial Balance$10,000
Periodic AdjustmentNone
RebalancingRebalance quarterly
Reinvest DividendsYes
BenchmarkInvesco S&P 500 BuyWrite ETF
Portfolio Performance
MetricLighthouse Option WritingInvesco S&P 500 BuyWrite ETF
Start Balance$10,000 $10,000
End Balance$14,573 $13,974
End Balance (inflation adjusted)$13,216 $12,673
CAGR6.48%5.74%
CAGR (inflation adjusted)4.76%4.03%
Stdev8.57%7.50%
Best Year17.25%14.86%
Worst Year-6.89%-5.59%
Max. Drawdown-13.03%-11.48%
Sharpe Ratio0.670.67
Sortino Ratio0.940.91
US Stock Market Correlation0.910.87
Risk and Return Metrics
MetricLighthouse Option WritingInvesco S&P 500 BuyWrite ETF
Arithmetic Mean (monthly)0.55%0.49%
Arithmetic Mean (annualized)6.87%6.03%
Geometric Mean (monthly)0.52%0.47%
Geometric Mean (annualized)6.48%5.74%
Volatility (monthly)2.48%2.16%
Volatility (annualized)8.57%7.50%
Downside Deviation (monthly)1.75%1.55%
Max. Drawdown-13.03%-11.48%
US Market Correlation0.910.87
Beta (*)1.111
Alpha (annualized)0.17%0.00%
R Squared93.51%100.00%
Sharpe Ratio0.670.67
Sortino Ratio0.940.91
Treynor Ratio (%)5.235
Calmar Ratio0.60.58
Active Return0.74%N/A
Tracking Error2.32%N/A
Information Ratio0.32N/A
Skewness-1.12-1.3
Excess Kurtosis3.273.34
Historical Value-at-Risk (5%)-5.43%-5.03%
Analytical Value-at-Risk (5%)-3.49%-3.07%
Conditional Value-at-Risk (5%)-6.93%-6.16%
Upside Capture Ratio (%)111.73100
Downside Capture Ratio (%)109.32100
Safe Withdrawal Rate19.27%18.88%
Perpetual Withdrawal Rate4.54%3.87%
Positive Periods51 out of 72 (70.83%)51 out of 72 (70.83%)
Gain/Loss Ratio0.760.77
(*) Invesco S&P 500 BuyWrite ETF is used as the benchmark for calculations. Value-at-risk metrics are based on monthly values.
Portfolio Returns Based Style Analysis
Style CategoryLighthouse Option WritingInvesco S&P 500 BuyWrite ETF
Large-cap Value23.55%21.49%
Large-cap Growth43.72%21.95%
Mid-cap Value0.00%0.00%
Mid-cap Growth1.49%12.83%
Small-cap Value0.00%0.00%
Small-cap Growth0.00%0.00%
Global ex-US Developed Markets0.00%1.62%
Emerging Markets0.00%0.00%
REITs0.00%0.00%
Corporate Bonds0.00%0.00%
Long-Term Treasuries0.00%0.00%
Intermediate-Term Treasuries0.00%0.00%
Short-Term Treasuries31.24%42.11%
R Squared82.88%76.13%
Style analysis is based on monthly returns from Jan 2014 to Dec 2019 and uses total portfolio return with monthly rebalancing. Returns based style analysis aims to explain the portfolio returns based on asset class exposures, it does not identify the actual portfolio holdings.
Asset Allocation
CategoryWeight
US Stocks96.70%
Intl Stocks1.40%
US Bonds0.00%
Intl Bonds0.00%
Other0.00%
Cash1.90%
Equity Market Capitalization
CategoryWeight
Large Cap91.95%
Mid Cap8.05%
Small Cap0.00%
Stock Sectors
CategoryWeight
Basic Materials1.56%
Consumer Cyclical13.64%
Financial Services11.16%
Real Estate1.72%
Consumer Defensive7.36%
Healthcare12.97%
Utilities2.21%
Communication Services6.08%
Energy3.21%
Industrials7.80%
Technology32.30%
Drawdowns (worst 10)
RankStartEndLengthRecovery ByRecovery TimeUnderwater PeriodDrawdown
1Oct-18Dec-183 monthsNov-1911 months1 year 2 months-13.03%
2Dec-15Jan-162 monthsJul-166 months8 months-6.74%
3Aug-15Sep-152 monthsNov-152 months4 months-6.50%
4Feb-18Mar-182 monthsMay-182 months4 months-3.61%
5Sep-14Jan-155 monthsMay-154 months9 months-3.38%
6Jan-14Jan-141 monthFeb-141 month2 months-1.91%
7Jun-15Jun-151 monthJul-151 month2 months-1.35%
8Jul-14Jul-141 monthAug-141 month2 months-0.55%
9Mar-14Mar-141 monthMay-142 months3 months-0.42%
10Jun-18Jun-181 monthJul-181 month2 months-0.36%
Rolling Returns
YearLighthouse Option Writing 3-year annualized returnLighthouse Option Writing 5-year annualized returnInvesco S&P 500 BuyWrite ETF 3-year annualized returnInvesco S&P 500 BuyWrite ETF 5-year annualized return
20165.15%N/A4.79%N/A
20178.14%N/A7.13%N/A
20184.34%4.44%4.01%4.00%
20197.82%6.66%6.69%5.92%