Carbide Capital Inc. : Carbide Hedge Progam

Year-to-Date
2.36%
Oct Performance
-0.12%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
2.29%
Sharpe (RFR=1%)
-1.27
CAROR
-1.92%
Assets
$ 194k
Worst DD
-6.18
S&P Correlation
-0.48

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
9/2016
Carbide Hedge Progam -0.12 0.26 -2.36 -2.71 -5.59 - - -5.94
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 38.67
+/- S&P 500 -2.16 -1.66 -23.52 -14.72 -47.00 - - -44.61

Strategy Description

Summary

The Carbide Hedge Program seeks to hedge against significant market corrections. The program will generally be long options on broad equity indices and bond futures. The program can be used as an equity overlay strategy or outright asymmetric short.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
5.00
Management Fee
1.00%
Performance Fee
25.00%
Average Commission
$7.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
Worst Peak-to-Trough
-5.64%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
70.00%
1-30 Days
30.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Option-purchasing
95.00%
Option-spreads
5.00%
Strategy Pie Chart

Composition

Stock Indices
97.00%
Interest Rates
3.00%
Composition Pie Chart

Summary

The Carbide Hedge Program seeks to hedge against significant market corrections. The program will generally be long options on broad equity indices and bond futures. The program can be used as an equity overlay strategy or outright asymmetric short.

Investment Strategy

Comprehensive investment process incorporates volatility, as well as fundamental and technical analysis into trading decisions. Trades will be determined based on a number of factors such as risk / reward, the outright level of implied volatility, and the term structure of volatility. Short calls may be used to reduce hedge cost.

Risk Management

The strategy is primarily long options, where the risk is losing the premium spent. The program will seek to maintain a balance between reducing the cost of protection and maintaining a hedge against tail events. There will be short option positions on occasion, which will be actively managed. The portfolio will be stress tested on an ongoing basis.

   

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
-6.18 -1 - 1/1/0001 7/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
3.33 1 2/1/2018 2/1/2018
1.26 1 10/1/2018 10/1/2018
0.54 1 8/1/2019 8/1/2019
0.10 1 12/1/2018 12/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.64 17 9/1/2016 1/1/2018
-2.61 7 1/1/2019 7/1/2019
-2.08 7 3/1/2018 9/1/2018
-0.46 1 11/1/2018 11/1/2018
-0.28 2 9/1/2019 10/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods38.0036.0033.0027.0021.0015.00
Percent Profitable10.5322.2218.1825.930.000.00
Average Period Return-0.16-0.48-0.95-1.48-1.55-2.56
Average Gain1.311.372.020.99
Average Loss-0.33-1.01-1.61-2.34-1.55-2.56
Best Period3.333.002.151.89-0.20-1.05
Worst Period-0.51-1.28-2.45-4.59-3.29-4.40
Standard Deviation0.661.181.602.071.180.92
Gain Standard Deviation1.431.300.130.87
Loss Standard Deviation0.110.230.811.611.180.92
Sharpe Ratio (1%)-0.37-0.62-0.91-1.20-2.58-4.95
Average Gain / Average Loss3.941.361.260.42
Profit / Loss Ratio0.460.390.280.15
Downside Deviation (10%)0.712.003.766.799.2212.84
Downside Deviation (5%)0.411.132.043.193.274.65
Downside Deviation (0%)0.330.911.622.431.942.71
Sortino Ratio (10%)-0.80-0.85-0.91-0.95-0.99-1.00
Sortino Ratio (5%)-0.60-0.65-0.71-0.78-0.94-0.98
Sortino Ratio (0%)-0.48-0.52-0.58-0.61-0.80-0.94

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 9 -0.16 9/2019
Option Strategy Index Month 5 0.54 8/2019
Option Strategy Index Month 10 -0.37 7/2019
Option Strategy Index Month 9 -0.40 6/2019
Option Strategy Index Month 8 -0.17 5/2019
Option Strategy Index Month 8 -0.44 4/2019
Option Strategy Index Month 5 0.10 12/2018
Option Strategy Index Month 4 1.26 10/2018

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