Buckingham Global Capital : Nanhua Buckingham Offshore Multi-Strategy Fund (WEP)

archived programs
Year-to-Date
N / A
Jul Performance
1.04%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.89%
Sharpe (RFR=1%)
0.00
CAROR
-
Assets
$ 500k
Worst DD
-6.06
S&P Correlation
0.89

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 Offshore Multi-Strategy Fund (WEP) 1.04 - - - - - - 0.56
S&P 500 1.31 - - - - - - 29.07
+/- S&P 500 -0.27 - - - - - - -28.51

Strategy Description

Summary

The Fund uses Buckingham Global’s Flagship strategy, the Weekly E-mini Program (“WEP”), which trades E-mini S&P 500 futures and options with a long-only VIX hedge overlay to generate absolute returns with a low correlation to the S&P 500. WEP is a proprietary options strategy which... 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 $8.00
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 8000 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -10.00%
Worst Peak-to-Trough -5.28%
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
100.00%
Strategy Pie Chart

Composition

Stock Indices
90.00%
VIX
10.00%
Composition Pie Chart

Summary

The Fund uses Buckingham Global’s Flagship strategy, the Weekly E-mini Program (“WEP”), which trades E-mini S&P 500 futures and options with a long-only VIX hedge overlay to generate absolute returns with a low correlation to the S&P 500. WEP is a proprietary options strategy which utilizes pure quantitative models with 20 plus years of back-testing results and is designed to outperform the index in both bull, bear and congested markets. The Fund is available for US QEP Investors using Non-Taxable funds, and for certain Non-US Investors.

Investment Strategy

The Weekly E-mini Program (“WEP”) Focuses on short duration derivatives: the option expires within 2-8 days because the time decay is the most rapid during this final week of expiration. Algorithms identify the option strikes with the best risk/reward ratio. WEP employs a rigorous 100% systematic risk management, risk mitigation and exit strategy to lower overall volatility. Utilizes ratio put spreads lieu of fully naked options which adds a long gamma element to the program. Hedges with long-only VIX futures Strategy Hightlights Features quant-driven S&P 500 option strategy with a proven track of delivering consistent absolute returns. Utilize 80% systematic trading approach model to increase the probability of winning trades. Targets 15~20% returns per year with 8% annual volatility. Low overall correlation with a traditional stock/bond portfolio. Potentially can outperform S&P 500 in downward, bear market. Historical Sharpe Ratio of 2.0+. Target is to outperform the S&P 500 index 80% of the time.

Risk Management

100% Systematic Risk Management: 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.

   

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
-6.06 3 4 1/1/0001 12/1/2018
-2.50 1 2 4/1/2019 5/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
6.60 4 1/1/2019 4/1/2019
2.99 2 6/1/2019 7/1/2019
1.74 1 11/1/2018 11/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.28 1 10/1/2018 10/1/2018
-2.52 1 12/1/2018 12/1/2018
-2.50 1 5/1/2019 5/1/2019
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Time Windows Analysis

 1 Month3 Month
Number of Periods10.008.00
Percent Profitable70.0087.50
Average Period Return0.090.91
Average Gain1.591.90
Average Loss-3.43-6.06
Best Period2.085.52
Worst Period-5.28-6.06
Standard Deviation2.573.45
Gain Standard Deviation0.412.15
Loss Standard Deviation1.60
Sharpe Ratio (1%)0.000.19
Average Gain / Average Loss0.460.31
Profit / Loss Ratio1.082.20
Downside Deviation (10%)2.222.63
Downside Deviation (5%)2.052.23
Downside Deviation (0%)2.012.14
Sortino Ratio (10%)-0.14-0.12
Sortino Ratio (5%)0.000.30
Sortino Ratio (0%)0.040.42

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.