Buckingham Global Advisors, LLC : Weekly Emini Program

Year-to-Date
8.83%
Jul Performance
1.61%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.69%
Sharpe (RFR=1%)
1.26
CAROR
12.19%
Assets
$ 17.0M
Worst DD
-13.46
S&P Correlation
0.63

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
3/2015
Weekly Emini Program 1.61 2.75 -8.83 -4.48 15.88 77.36 - 86.48
S&P 500 5.51 12.32 1.25 9.76 31.27 53.90 - 67.55
+/- S&P 500 -3.90 -9.57 -10.08 -14.24 -15.39 23.46 - 18.93

Strategy Description

Investment Strategy

Weekly E-Mini Program is a systematic VIX-hedged option program guided by a proprietary trading model developed to trade the E-mini weekly volatility and designed to anticipate when the market is in or about to enter a turbulent time. WEP uses a proprietary options strategy,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 100k
CTA Max Funding Factor 1.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
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

Momentum
10.00%
Option-spreads
20.00%
Option-writing
60.00%
Technical
10.00%
Strategy Pie Chart

Composition

Stock Indices
90.00%
VIX
10.00%
Composition Pie Chart

Investment Strategy

Weekly E-Mini Program is a systematic VIX-hedged option program guided by a proprietary trading model developed to trade the E-mini weekly volatility and designed to anticipate when the market is in or about to enter a turbulent time. WEP uses a proprietary options strategy, which includes options selling and options writing, to capitalize on the systematic entry signals produced by the program. The VIX futures hedging is designed to anticipate when the market is in or about to enter a turbulent time. WEP has been refined to achieve the desired returns while limiting account drawdowns. Products traded in WEP are E- mini S&P 500 futures and options and VIX futures. The program does not short VIX futures.

WEP focuses on short duration derivatives - the option expires within 2-8 days, because the time decay is the greatest in those final days. It does this primarily by identifying the option strikes with best risk/reward ratio.

WEP uses historical value analysis to assess the attractiveness of any trading opportunities. BGA focuses on top down and macro themes. We employ volatility matrix and short term market indicators to determine trade entry, exit and weights.

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, and utilizes a long-only VIX hedge overlay at times when its proprietary models indicate higher volatility or a downward trend in 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:
Average Gain:
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:
Kurtosis:

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
-13.46 2 - 1/1/2020 3/1/2020
-6.28 1 2 12/1/2015 1/1/2016
-6.09 1 3 7/1/2015 8/1/2015
-4.95 1 5 9/1/2018 10/1/2018
-4.75 1 3 1/1/2018 2/1/2018
-2.64 1 2 4/1/2019 5/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
59.45 24 2/1/2016 1/1/2018
13.76 7 3/1/2018 9/1/2018
11.96 5 3/1/2015 7/1/2015
10.98 4 9/1/2015 12/1/2015
10.57 8 6/1/2019 1/1/2020
6.46 4 1/1/2019 4/1/2019
4.53 4 4/1/2020 7/1/2020
1.56 1 11/1/2018 11/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.46 2 2/1/2020 3/1/2020
-6.28 1 1/1/2016 1/1/2016
-6.09 1 8/1/2015 8/1/2015
-4.95 1 10/1/2018 10/1/2018
-4.75 1 2/1/2018 2/1/2018
-2.64 1 5/1/2019 5/1/2019
-1.38 1 12/1/2018 12/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods65.0063.0060.0054.0048.0042.0030.0018.00
Percent Profitable87.6974.6088.3388.8993.75100.00100.00100.00
Average Period Return1.002.945.8013.8722.7532.2551.6470.87
Average Gain1.845.097.6516.0724.4132.2551.6470.87
Average Loss-4.99-3.40-8.19-3.71-2.22
Best Period4.379.2915.0229.0444.1059.4576.7888.51
Worst Period-10.37-12.79-10.28-6.01-5.582.0818.2648.26
Standard Deviation2.514.566.419.1212.6415.4817.2614.67
Gain Standard Deviation0.641.913.977.0011.1815.4817.2614.67
Loss Standard Deviation2.754.173.101.932.91
Sharpe Ratio (1%)0.360.590.831.411.681.952.824.56
Average Gain / Average Loss0.371.500.934.3310.99
Profit / Loss Ratio2.624.407.0834.67164.87
Downside Deviation (10%)2.103.103.812.962.982.25
Downside Deviation (5%)1.992.743.121.681.12
Downside Deviation (0%)1.972.662.961.370.81
Sortino Ratio (10%)0.280.550.882.995.099.78
Sortino Ratio (5%)0.460.981.707.6818.97
Sortino Ratio (0%)0.511.101.9610.1327.98

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 5 0.00 7/2020
Option Strategy Index Month 2 1.12 6/2020
Option Strategy Index Month 4 0.84 5/2020
Option Strategy Index Month 3 0.89 4/2020
Option Strategy Index Month 3 0.89 4/2020
Option Strategy Index Month 6 -3.45 3/2020
Option Strategy Index Month 7 -10.37 2/2020
Stock Index Trader Index Month 7 0.78 1/2020
Option Strategy Index Month 2 0.78 1/2020
IASG CTA Index Sharpe 3 1.96 2019
Option Strategy Index Month 3 1.13 12/2019
Option Strategy Index Month 9 0.00 11/2019
Option Strategy Index Month 2 1.13 10/2019
Option Strategy Index Month 3 1.20 9/2019
Option Strategy Index Month 3 1.27 8/2019
Option Strategy Index Month 2 1.22 7/2019
Stock Index Trader Index Month 7 1.22 7/2019
Option Strategy Index Month 1 2.16 6/2019
Option Strategy Index Month 9 -2.64 5/2019
Option Strategy Index Month 2 1.15 4/2019
Option Strategy Index Month 1 1.53 3/2019
Stock Index Trader Index Month 4 1.53 3/2019
Option Strategy Index Month 2 1.75 2/2019
Stock Index Trader Index Month 9 1.75 2/2019
Option Strategy Index Month 4 1.88 1/2019
IASG CTA Index Sharpe 5 1.87 2018
IASG CTA Index 3 Year 6 54.15 2015 - 2018
Option Strategy Index Month 9 -1.38 12/2018
Option Strategy Index Month 3 1.56 11/2018
Stock Index Trader Index Month 6 1.65 9/2018
Option Strategy Index Month 4 1.65 9/2018
Stock Index Trader Index Month 7 1.75 8/2018
Option Strategy Index Month 3 1.75 8/2018
Option Strategy Index Month 2 2.41 7/2018
Stock Index Trader Index Month 9 2.41 7/2018
Stock Index Trader Index Month 8 1.67 6/2018
Option Strategy Index Month 5 1.67 6/2018
Stock Index Trader Index Month 4 2.10 5/2018
Option Strategy Index Month 1 2.10 5/2018
Option Strategy Index Month 3 2.48 4/2018
Stock Index Trader Index Month 6 2.48 4/2018
Option Strategy Index Month 8 0.96 3/2018
Option Strategy Index Month 7 -4.75 2/2018
Option Strategy Index Month 1 2.09 1/2018
Stock Index Trader Index Month 10 2.09 1/2018
IASG CTA Index Sharpe 3 2.55 2017
Option Strategy Index Month 2 1.50 12/2017
Stock Index Trader Index Month 8 1.50 12/2017
IASG CTA Index Annual 6 23.50 2017
Option Strategy Index Month 1 1.43 11/2017
Stock Index Trader Index Month 10 1.43 11/2017
Option Strategy Index Month 3 1.63 10/2017
Stock Index Trader Index Month 6 1.63 10/2017
Stock Index Trader Index Month 6 1.44 9/2017
Systematic Trader Index Month 9 1.44 9/2017
Option Strategy Index Month 3 1.44 9/2017
Option Strategy Index Month 3 2.12 8/2017
Stock Index Trader Index Month 6 2.12 8/2017
Stock Index Trader Index Month 5 1.54 7/2017
Option Strategy Index Month 2 1.54 7/2017
Option Strategy Index Month 2 1.68 6/2017
Stock Index Trader Index Month 7 1.68 6/2017
Option Strategy Index Month 3 2.10 5/2017
Stock Index Trader Index Month 4 2.10 5/2017
Stock Index Trader Index Month 8 1.73 4/2017
Option Strategy Index Month 5 1.73 4/2017
Stock Index Trader Index Month 8 2.17 3/2017
Option Strategy Index Month 3 2.17 3/2017
Stock Index Trader Index Month 3 1.92 2/2017
Option Strategy Index Month 2 1.92 2/2017
Stock Index Trader Index Month 9 2.04 1/2017
Option Strategy Index Month 4 2.04 1/2017
Option Strategy Index Month 4 1.78 12/2016
Stock Index Trader Index Month 4 1.78 12/2016

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