Crediton Hill LLC : Crediton Hill Managed Account Program

Year-to-Date: 3.24%
Dec Performance: 0.70%

Min Investment: $ 250k
Mgmt. Fee: 0%
Perf. Fee: 30.00%

Annualized Vol: 1.56%
Sharpe (RFR=1%): 3.33
CAROR: 6.37%

Assets: $ 3.3M
Worst DD: -1.66
S&P Correlation: 0.03

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Growth of 1,000 - VAMI

Monthly Performance

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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 8/2013
Crediton Hill Managed Account Program	0.70	1.06	3.24	3.24	12.07	27.04	-	48.64
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	-	90.39
+/- S&P 500	-2.16	-7.47	-25.63	-25.63	-30.77	-28.28	-	-41.75

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.

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%

Summary

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.

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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.

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Index:

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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

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
8.96	25	12/1/2017	12/1/2019
8.25	9	8/1/2013	4/1/2014

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	77.00	75.00	72.00	66.00	60.00	54.00	42.00	30.00
Percent Profitable	96.10	98.67	100.00	100.00	100.00	100.00	100.00	100.00
Average Period Return	0.52	1.56	3.13	6.31	9.42	12.39	18.94	25.94
Average Gain	0.56	1.58	3.13	6.31	9.42	12.39	18.94	25.94
Average Loss	-0.86	-0.02
Best Period	1.95	4.26	7.64	12.30	18.51	22.68	29.82	35.34
Worst Period	-1.66	-0.02	1.13	2.90	5.46	7.96	11.81	19.30
Standard Deviation	0.45	0.94	1.63	2.89	3.83	4.35	5.60	5.30
Gain Standard Deviation	0.37	0.93	1.63	2.89	3.83	4.35	5.60	5.30
Loss Standard Deviation	1.14
Sharpe Ratio (1%)	0.96	1.40	1.62	1.83	2.07	2.39	2.84	4.13
Average Gain / Average Loss	0.66	76.19
Profit / Loss Ratio	24.24	5638.20
Downside Deviation (10%)	0.27	0.37	0.52	0.79	0.96	1.15	1.38	0.81
Downside Deviation (5%)	0.20	0.04
Downside Deviation (0%)	0.19	0.00
Sortino Ratio (10%)	0.41	0.92	1.28	1.66	1.91	1.87	2.30	5.43
Sortino Ratio (5%)	2.18	36.19
Sortino Ratio (0%)	2.73	650.93

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.

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Top Performer

IASG CTA INDEX

2018
SHARPE

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Crediton Hill LLC : Crediton Hill Managed Account Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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