hi everyone i wonder about ansbacher. sharpe ratio of 1 for a USDm 100 operation is quite okay. but my concern is that the story is too simple. selling strangles on sp futures. i would not expect the strategy to work that well. any thoughts, experiences, comments about him and the strategy? peace
IMHO: According to my experience in the past two and half years, the monthly returns posted on his web site are achievable. However, the success of a trading system depends strongly on the implementation details, and discipline. I do NOT think he has given away all the details of his trading strategy to the general public. Ansbacher was an Attorney by training. He may have an edge in the DISCIPLINE department.
======= Good reads, this & those charts. And whatever our opinions are about options; clearly mr Max likes or loves his work also, having traded/managed options since 1975. Dont see too many old timers/old traders in options.
Do you think he uses a doubling of the premium as a stop, as he mentions in one of the articles on his site, or is that just an example?
actualy "sophisticated options strategy" is not what i name what they are doing. maybe they do not disclose the "true" strategy. fair enough. i mean with metooxx you know that it is his prop options database and his quant and execution skill which give him a small edge on thousands of trades, but here we are talking about 24 trades per year with a method that could be done by more or less everyone. i mean shorting options is like that. an illiterate can do it for a while until the inevitable threeSigmaThing turns him off, but ansbacher seemed to have managed to avoid that fate and i do not understand why. selling strangles per se cannot be the only answer. BTW i do not want to copy what he is doing, just trying to understand his edge better than i currently do. peace
You can compare Ansbacher to the Zenith Fund which does the same thing -- over a much shorter lifespan. Look them up on the IASG site and you will see he makes money the same way...
According to the article, "The Art of Option Selling", Ansbacher only traded a maximum of 25% of his available capital at any one time. If he has good discipline to cut loss, a three-sigma event will hurt his performance, but not blow up his account. He claimed that he mainly sells Put options. Hence, year 2000 should be one of his worst years. If you look up the monthly returns on his web site for that particular year, it may give you an idea of how his strategy performs under adverse conditions. As I mentioned before, I do NOT think he has given away ALL the details of his trading strategy. He MAY have other tricks.
It's interesting that this strategy is much less successful this year. Both funds are below 5% returns so far. Ansbacher's performance note talks of volatility in April greater than that at 9/11. He didn't sound to happy about things -- even though he made money. Having said that, anyone that can manage a large fund and return 25% year in and year out using only 1/4 of the capital for investment is a trading god in my book.