Carbide Capital Inc. : Carbide Macro Program

Year-to-Date
4.76%
Oct Performance
0.00%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.91%
Sharpe (RFR=1%)
-0.05
CAROR
-
Assets
$ 200k
Worst DD
-3.96
S&P Correlation
0.71

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
12/2018
Carbide Macro Program 0.00 0.36 4.76 - - - - 0.61
S&P 500 2.04 1.92 21.16 - - - - 21.16
+/- S&P 500 -2.04 -1.56 -16.40 - - - - -20.55

Strategy Description

Summary

The Carbide Macro Program trades futures and options on equity and volatility indices. Commodities, currencies, and interest rate futures and options will be traded as well. This strategy seeks positive risk adjusted returns by employing both long and short options strategies. The... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$11.00
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
5000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
-3.96%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
5.00%
1-30 Days
95.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic

Strategy

Option-purchasing
5.00%
Option-spreads
15.00%
Option-writing
80.00%
Strategy Pie Chart

Composition

Stock Indices
94.00%
Industrial Metals
1.00%
Precious Metals
1.00%
Energy
1.00%
Grains
1.00%
Interest Rates
1.00%
VIX
1.00%
Composition Pie Chart

Summary

The Carbide Macro Program trades futures and options on equity and volatility indices. Commodities, currencies, and interest rate futures and options will be traded as well. This strategy seeks positive risk adjusted returns by employing both long and short options strategies. The program will generally have a short equity options bias and a long commodities options bias. The CIO was formerly the head trader for a well known multi-billion dollar hedge fund.

Investment Strategy

CC utilizes both fundamental and technical analysis to identify trading opportunities in the futures and options markets. It employs fundamental top-down/bottom-up analysis of the broad financial markets to identify which instruments offer the best investment opportunities. Additionally, CC employs a series of proprietary models and technical indicators to identify the specific contracts that offer the most advantageous trading opportunities.

Risk Management

Portfolio is stress tested under various price and vol assumptions to estimate drawdowns and margin to equity ratios. Positions will be rolled or hedged (to the extent possible) when the overall portfolio is down 5-10% on a monthly 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
-3.96 1 7 1/1/0001 12/1/2018
-0.34 1 - 8/1/2019 9/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
5.12 8 1/1/2019 8/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.96 1 12/1/2018 12/1/2018
-0.34 2 9/1/2019 10/1/2019
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Time Windows Analysis

 1 Month3 Month
Number of Periods11.009.00
Percent Profitable72.7388.89
Average Period Return0.060.98
Average Gain0.631.37
Average Loss-2.15-2.15
Best Period1.572.47
Worst Period-3.96-2.15
Standard Deviation1.421.32
Gain Standard Deviation0.410.64
Loss Standard Deviation2.56
Sharpe Ratio (1%)-0.010.55
Average Gain / Average Loss0.290.64
Profit / Loss Ratio1.175.09
Downside Deviation (10%)1.341.18
Downside Deviation (5%)1.230.80
Downside Deviation (0%)1.200.72
Sortino Ratio (10%)-0.26-0.21
Sortino Ratio (5%)-0.020.91
Sortino Ratio (0%)0.051.36

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.