Crediton Hill LLC : Crediton Hill Managed Account Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.53% Mar Performance 0.29% Min Investment $ 250k Mgmt. Fee 0% Perf. Fee 30.00% Annualized Vol 1.54% Sharpe (RFR=1%) 3.38 CAROR 6.37% Assets $ 3.3M Worst DD -1.66 S&P Correlation 0.01 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since8/2013 Crediton Hill Managed Account Program 0.29 1.53 1.53 4.18 12.59 26.27 - 50.91 S&P 500 -12.51 -20.00 -20.00 -8.82 8.28 23.72 - 79.07 +/- S&P 500 12.80 21.53 21.53 12.99 4.31 2.56 - -28.16 Strategy Description SummaryCrediton Hill Managed Account Program trades S&P 500 index futures and options in the form of discretionary risk taking. Typical holding period of positions ranges from a few days to a couple of weeks. The program aims to provide high Sharpe ratio returns for the investors.... Read More Account & Fees Type Managed Account Minimum Investment $ 250k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 0% Performance Fee 30.00% Average Commission $1.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency 1-7 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 8000 RT/YR/$M Avg. Margin-to-Equity 50% Targeted Worst DD -3.00% Worst Peak-to-Trough -1.66% 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 100.00% Systematic 0% Strategy Arbitrage 20.00% Option-writing 40.00% Spreading/hedging 40.00% Composition Stock Indices 100.00% SummaryCrediton Hill Managed Account Program trades S&P 500 index futures and options in the form of discretionary risk taking. Typical holding period of positions ranges from a few days to a couple of weeks. The program aims to provide high Sharpe ratio returns for the investors.Investment StrategyThe program aims to identify cheapest and richest options on the S&P 500 index by taking into consideration the implied volatility and realized volatility differences vs. their historical averages on the relevant parts of the volatility surface. This rich-cheapness analysis, coupled with Crediton Hill's proprietary analysis of the short term S&P 500 index trend, results in option buying as well as selling decisions on certain out-of-the-money short-dated options. The distinctive use of the trend analysis is effectively an improvement of the log-normal distributional assumption of typical option pricing methodology and has served the program well since inception. Risk ManagementA prominent feature of the program is that heavy hedges are typically placed in the opposite direction of large positions for the purpose of mitigating severe adverse market movements. When these severe adverse market movements do cross certain thresholds, we simultaneously unwind our positions and their hedges, often resulting in positive PNL. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -1.66 1 2 7/1/2015 8/1/2015 -0.05 1 1 10/1/2017 11/1/2017 Show More Consecutive Gains Run-up Length (Mos.) Start End 13.33 14 6/1/2014 7/1/2015 13.13 26 9/1/2015 10/1/2017 10.63 28 12/1/2017 3/1/2020 8.25 9 8/1/2013 4/1/2014 Show More Consecutive Losses Run-up Length (Mos.) Start End -1.66 1 8/1/2015 8/1/2015 -0.05 1 11/1/2017 11/1/2017 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods80.0078.0075.0069.0063.0057.0045.0033.00 Percent Profitable96.2598.72100.00100.00100.00100.00100.00100.00 Average Period Return0.521.563.106.219.2812.1918.5025.36 Average Gain0.561.593.106.219.2812.1918.5025.36 Average Loss-0.86-0.02 Best Period1.954.267.6412.3018.5122.6829.8235.34 Worst Period-1.66-0.021.132.905.467.9611.8119.30 Standard Deviation0.440.921.602.873.804.325.655.38 Gain Standard Deviation0.370.911.602.873.804.325.655.38 Loss Standard Deviation1.14 Sharpe Ratio (1%)0.981.431.631.812.052.362.743.96 Average Gain / Average Loss0.6576.22 Profit / Loss Ratio25.125869.17 Downside Deviation (10%)0.260.360.510.810.971.181.590.98 Downside Deviation (5%)0.200.04 Downside Deviation (0%)0.190.00 Sortino Ratio (10%)0.420.941.241.491.731.651.733.88 Sortino Ratio (5%)2.2236.94 Sortino Ratio (0%)2.78664.44 Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 9 0.77 2/2020 Stock Index Trader Index Month 10 0.46 1/2020 IASG CTA Index Sharpe 1 3.33 2018 - 2019 IASG CTA Index Sharpe 1 3.51 2017 - 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. x {{title}} x {{title}} Add Cancel