Buckingham Global Advisors, LLC : All Seasons Program (ASP)

Year-to-Date
1.37%
Aug Performance
-8.05%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.75%
Sharpe (RFR=1%)
1.00
CAROR
8.77%
Assets
$ 1.3M
Worst DD
-8.05
S&P Correlation
0.51

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Aug Qtr YTD 1yr 3yr 5yr 10yr Since
2/2017
All Seasons Program (ASP) -8.05 -6.05 -1.37 -2.51 - - - 24.26
S&P 500 -1.81 6.34 16.73 0.85 - - - 22.55
+/- S&P 500 -6.24 -12.39 -18.10 -3.36 - - - 1.71

Strategy Description

Summary

ASP is a variant of our WEP strategy designed to outperform the S&P 500 in downward, choppy markets. ASP sells ratio put spreads only, and is 80% systematic with 100% systematic risk management. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$3.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
5000 RT/YR/$M
Avg. Margin-to-Equity
50%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
100.00%
Intraday
0%

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Strategy

Option-spreads
95.00%
Spreading/hedging
5.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

ASP is a variant of our WEP strategy designed to outperform the S&P 500 in downward, choppy markets. ASP sells ratio put spreads only, and is 80% systematic with 100% systematic risk management.

Investment Strategy

All Season Program (“ASP”) - is a new version of option volatility strategy in weekly options. It is designed to capture downward, choppy moves in the S&P 500 when a bearish market or conditions persist. The program’s correlation to the S&P 500 is -.30 and it positively correlates with the VIX the majority of the time. ASP focuses on short duration derivatives - the option expires within 2-8 days because the time decay is the greatest in the final week of expiration. Our hedging module captures the market’s downward move more aggressively than our flagship program – WEP. In a downward trending market, ASP’s hedge module is designed to contribute bigger profits to the entire program. • ASP aims for Sharpe Ratio +2.5 long term (5+ years) considering tail risk due to the economic cycle.

Risk Management

Buckingham employs 100% systematic risk mitigation and risk management. There is no discretionary component. Buckingham hedges all positions with GTC sell stop orders on the E-mini S&P 500 futures working every trading day. This acts as a circuit breaker, and if executed Buckingham will remove the entire position from the market.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-8.05 1 - 7/1/2019 8/1/2019
-3.38 1 5 9/1/2018 10/1/2018
-2.88 1 2 1/1/2018 2/1/2018
-1.48 1 2 4/1/2019 5/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
19.86 12 2/1/2017 1/1/2018
11.86 7 3/1/2018 9/1/2018
6.56 4 1/1/2019 4/1/2019
2.17 2 6/1/2019 7/1/2019
1.82 1 11/1/2018 11/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.05 1 8/1/2019 8/1/2019
-3.38 1 10/1/2018 10/1/2018
-2.88 1 2/1/2018 2/1/2018
-1.65 1 12/1/2018 12/1/2018
-1.48 1 5/1/2019 5/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods31.0029.0026.0020.0014.00
Percent Profitable83.8782.7696.1595.00100.00
Average Period Return0.732.795.7410.9417.15
Average Gain1.543.876.1311.6517.15
Average Loss-3.49-2.38-3.85-2.51
Best Period2.967.4213.2619.8627.40
Worst Period-8.05-6.05-3.85-2.516.75
Standard Deviation2.243.234.144.775.98
Gain Standard Deviation0.792.173.723.665.98
Loss Standard Deviation2.672.35
Sharpe Ratio (1%)0.290.791.272.092.61
Average Gain / Average Loss0.441.621.594.64
Profit / Loss Ratio2.297.8039.8288.20
Downside Deviation (10%)1.841.761.311.680.23
Downside Deviation (5%)1.731.400.850.78
Downside Deviation (0%)1.701.320.750.56
Sortino Ratio (10%)0.170.892.503.5442.43
Sortino Ratio (5%)0.371.826.1512.67
Sortino Ratio (0%)0.432.117.6119.50

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.