Buckingham Global Capital : Nanhua Buckingham Multi-Strategy Fund

archived programs
Year-to-Date
N / A
Jul Performance
1.37%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.97%
Sharpe (RFR=1%)
0.45
CAROR
-
Assets
$ 1.3M
Worst DD
-6.72
S&P Correlation
0.85

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
10/2018
Nanhua Buckingham Multi-Strategy Fund 1.37 - - - - - - 5.48
S&P 500 1.31 - - - - - - 24.01
+/- S&P 500 0.06 - - - - - - -18.53

Strategy Description

Summary

The Multi-Strategy Fund employs multiple quantitative-driven methodologies such as options volatility arbitrage, and macro big data trend- following on the E-mini S&P 500 futures and options, with a hedge overlay utilizing long VIX futures. The Portfolio Managers balance the weights... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $3.50
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 1

Trading

Trading Frequency 3500 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 6.72%
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 10.00%
Systematic 90.00%

Strategy

Counter-trend
10.00%
Fundamental
10.00%
Option-spreads
50.00%
Technical
10.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Stock Indices
90.00%
VIX
10.00%
Composition Pie Chart

Summary

The Multi-Strategy Fund employs multiple quantitative-driven methodologies such as options volatility arbitrage, and macro big data trend- following on the E-mini S&P 500 futures and options, with a hedge overlay utilizing long VIX futures. The Portfolio Managers balance the weights of each strategy based on the current market environment or evolving market conditions to achieve optimal performance. They may utilize any strategy that they deem fit for the current market environment. The Fund seeks to achieve positive annualized returns of greater than 15% with a volatility objective under 10%.

Investment Strategy

MTE (METIS Tactical Program) - 100% systematic, macro big data e-mini S&P 500 futures long/short strategy that employs five main sub-models utilizing 40+ macro, technical and fundamental data points to make trading decisions. WEP (Weekly E-mini Program) - Options volatility arbitrage that performs best in intermediate volatility and in up-trending markets. 100% systematic risk management, risk mitigation and exit strategy. ASP (All Season Program) - Options volatility arbitrage program that performs best in intermediate to high volatility and in choppy, downward or bearish markets. 100% systematic risk management, risk mitigation and exit strategy.

Risk Management

100% Systematic Risk Management: For 50% of the strategy employing an options volatility strategy, there are GTC sell stop orders applied on or around all short strikes of all ratio spreads. If the stops are triggered, the program goes delta neutral and exits the market from all options volatility/volatility arbitrage trades. The program can also employ a long-only VIX hedge overlay that is triggered by proprietary volatility and trend models. The Metis Tactical component, which accounts for approximately 50% of the Fund composition, uses five sub models that are equally voting to determine position in the market on a daily basis. The model has the ability to cut exposure by 50% or exit the market and go to cash.

   

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

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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
-6.72 1 2 11/1/2018 12/1/2018
-5.90 1 - 4/1/2019 5/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
10.26 4 1/1/2019 4/1/2019
5.26 2 6/1/2019 7/1/2019
3.54 2 10/1/2018 11/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.72 1 12/1/2018 12/1/2018
-5.90 1 5/1/2019 5/1/2019
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Time Windows Analysis

 1 Month3 Month
Number of Periods10.008.00
Percent Profitable80.0050.00
Average Period Return0.610.65
Average Gain2.343.43
Average Loss-6.31-2.14
Best Period6.508.31
Worst Period-6.72-3.65
Standard Deviation4.033.90
Gain Standard Deviation1.943.50
Loss Standard Deviation0.581.63
Sharpe Ratio (1%)0.130.10
Average Gain / Average Loss0.371.61
Profit / Loss Ratio1.481.61
Downside Deviation (10%)3.012.59
Downside Deviation (5%)2.861.96
Downside Deviation (0%)2.831.81
Sortino Ratio (10%)0.07-0.22
Sortino Ratio (5%)0.180.20
Sortino Ratio (0%)0.220.36

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.