Buckingham Global Advisors, LLC : Small Emini Program

Year-to-Date
10.33%
Sep Performance
1.10%
Min Investment
$ 60k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
5.05%
Sharpe (RFR=1%)
1.56
CAROR
-
Assets
$ 11.5M
Worst DD
-2.54
S&P Correlation
0.90

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
12/2018
Small Emini Program 1.10 3.46 10.33 - - - - 7.53
S&P 500 1.72 1.19 18.74 - - - - 18.74
+/- S&P 500 -0.62 2.27 -8.41 - - - - -11.21

Strategy Description

Summary

The SEP or Small E-mini Program is a retail version of our WEP strategy. The SEP sells ratio put spreads on the E-mini S&P 500. SEP is 80% systematic. Risk management is 100% systematic.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 60k
Trading Level Incremental Increase
$ 60k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
8000 RT/YR/$M
Avg. Margin-to-Equity
40%
Targeted Worst DD
-15.00%
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
30.00%
Option-writing
70.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The SEP or Small E-mini Program is a retail version of our WEP strategy. The SEP sells ratio put spreads on the E-mini S&P 500. SEP is 80% systematic. Risk management is 100% systematic.

Investment Strategy

The Small E-Mini Program is guided by a proprietary trading model developed to trade the E-mini S&P 500 weekly volatility. SEP uses a proprietary options strategy, which includes options selling and options writing, to capitalize on the systematic entry signals produced by the program. SEP has been refined to achieve the desired returns while limiting account drawdowns. Products traded in SEP are E-Mini S&P futures and options. The strategy has been tested against 18 years of real data in an attempt to achieve a Sharpe Ratio of (>3.00+). SEP focuses on short duration derivatives - the options expire within 2-8 days, because the time decay is the greatest during the last week of expiration. It accomplishes this primarily by identifying the option strikes with the best risk/reward ratio.

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:
Max Gain:
Gain Frequency:
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Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
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
-2.54 1 2 1/1/0001 12/1/2018
-1.32 1 1 4/1/2019 5/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
6.08 4 1/1/2019 4/1/2019
5.39 4 6/1/2019 9/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.54 1 12/1/2018 12/1/2018
-1.32 1 5/1/2019 5/1/2019
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Time Windows Analysis

 1 Month3 Month
Number of Periods10.008.00
Percent Profitable80.00100.00
Average Period Return0.742.78
Average Gain1.412.78
Average Loss-1.93
Best Period1.874.83
Worst Period-2.540.53
Standard Deviation1.461.63
Gain Standard Deviation0.301.63
Loss Standard Deviation0.86
Sharpe Ratio (1%)0.451.55
Average Gain / Average Loss0.73
Profit / Loss Ratio2.91
Downside Deviation (10%)1.080.24
Downside Deviation (5%)0.94
Downside Deviation (0%)0.91
Sortino Ratio (10%)0.316.33
Sortino Ratio (5%)0.70
Sortino Ratio (0%)0.82

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.