Crediton Hill LLC : Crediton Hill Managed Account Program

Year-to-Date
3.23%
Oct Performance
0.36%
Min Investment
$ 250k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
1.50%
Sharpe (RFR=1%)
3.28
CAROR
6.08%
Assets
$ 4.3M
Worst DD
-1.66
S&P Correlation
-0.03

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
8/2013
Crediton Hill Managed Account Program 0.36 0.95 3.23 4.13 12.43 24.97 - 53.45
S&P 500 -2.77 -0.04 1.21 7.65 26.97 55.66 - 98.21
+/- S&P 500 3.13 0.99 2.02 -3.52 -14.54 -30.69 - -44.76

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 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%
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:
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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:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-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
12.49 35 12/1/2017 10/1/2020
8.25 9 8/1/2013 4/1/2014
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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 Year5 Year
Number of Periods87.0085.0082.0076.0070.0064.0052.0040.0028.00
Percent Profitable96.5598.82100.00100.00100.00100.00100.00100.00100.00
Average Period Return0.491.503.006.008.9111.7317.6824.0331.53
Average Gain0.531.523.006.008.9111.7317.6824.0331.53
Average Loss-0.86-0.02
Best Period1.954.267.6412.3018.5122.6829.8235.3440.98
Worst Period-1.66-0.021.132.905.337.4311.8117.0523.90
Standard Deviation0.430.911.572.813.774.285.665.695.74
Gain Standard Deviation0.360.901.572.813.774.285.665.695.74
Loss Standard Deviation1.14
Sharpe Ratio (1%)0.951.371.591.781.962.272.593.514.60
Average Gain / Average Loss0.6272.90
Profit / Loss Ratio26.106123.60
Downside Deviation (10%)0.260.370.540.831.131.351.931.841.31
Downside Deviation (5%)0.190.03
Downside Deviation (0%)0.180.00
Sortino Ratio (10%)0.340.720.981.211.171.100.991.342.98
Sortino Ratio (5%)2.1936.61
Sortino Ratio (0%)2.78664.09

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 2019
IASG CTA Index Sharpe 1 3.51 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.