Crediton Hill LLC : Crediton Hill Managed Account Program

Year-to-Date
1.15%
May Performance
0.35%
Min Investment
$ 250k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
1.61%
Sharpe (RFR=1%)
3.40
CAROR
6.66%
Assets
$ 6.0M
Worst DD
-1.66
S&P Correlation
0.05

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
8/2013
Crediton Hill Managed Account Program 0.35 0.77 1.15 4.05 14.17 34.53 - 45.63
S&P 500 -6.58 -1.17 9.77 1.72 29.91 41.62 - 69.06
+/- S&P 500 6.93 1.94 -8.63 2.33 -15.74 -7.09 - -23.43

Strategy Description

Summary

Crediton 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.

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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
70%
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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Crediton 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 Strategy

The 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 Management

A 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.

   

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
-1.66 1 2 7/1/2015 8/1/2015
-0.05 1 1 10/1/2017 11/1/2017
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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
8.25 9 8/1/2013 4/1/2014
6.76 18 12/1/2017 5/1/2019
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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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods70.0068.0065.0059.0053.0047.0035.0023.00
Percent Profitable95.7198.53100.00100.00100.00100.00100.00100.00
Average Period Return0.541.643.316.639.8813.0220.2127.72
Average Gain0.591.673.316.639.8813.0220.2127.72
Average Loss-0.86-0.02
Best Period1.954.267.6412.3018.5122.6829.8235.34
Worst Period-1.66-0.021.132.905.597.9714.1720.68
Standard Deviation0.460.951.622.893.854.335.284.76
Gain Standard Deviation0.370.941.622.893.854.335.284.76
Loss Standard Deviation1.14
Sharpe Ratio (1%)0.981.471.741.952.182.543.254.97
Average Gain / Average Loss0.6980.22
Profit / Loss Ratio23.045375.07
Downside Deviation (10%)0.270.360.440.660.810.940.460.22
Downside Deviation (5%)0.210.04
Downside Deviation (0%)0.200.00
Sortino Ratio (10%)0.481.171.902.462.812.969.6227.77
Sortino Ratio (5%)2.1836.57
Sortino Ratio (0%)2.72651.70

Top Performer Badges

Index Award Type Rank Performance Period
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.