Doherty Advisors LLC : Compass

Year-to-Date
6.35%
Mar Performance
1.83%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
7.04%
Sharpe (RFR=1%)
1.18
CAROR
9.47%
Assets
$ 13.5M
Worst DD
-6.40
S&P Correlation
0.77

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 Since
6/2015
Compass 1.83 3.01 6.35 11.96 30.15 - - 41.48
S&P 500 1.79 13.07 13.07 7.33 36.22 - - 41.34
+/- S&P 500 0.04 -10.05 -6.72 4.63 -6.07 - - 0.13

Strategy Description

Summary

The absolute return Doherty ‐ Compass Program allocates equally to Doherty's three existing strategies: Relative Value Growth program (track‐record >14 years), Grey Swan Equity Hedge (track‐record >6 years), and Orion (long equities). The allocation matrix remains constant.

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Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1400 RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
30.00%
1-30 Days
70.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Spreading/hedging
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The absolute return Doherty ‐ Compass Program allocates equally to Doherty's three existing strategies: Relative Value Growth program (track‐record >14 years), Grey Swan Equity Hedge (track‐record >6 years), and Orion (long equities). The allocation matrix remains constant.

   

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
-6.40 1 5 1/1/2018 2/1/2018
-5.66 1 2 7/1/2015 8/1/2015
-3.91 1 2 11/1/2018 12/1/2018
-1.07 1 1 9/1/2018 10/1/2018
-0.86 1 1 12/1/2015 1/1/2016
-0.71 1 1 1/1/0001 6/1/2015
-0.47 1 1 9/1/2016 10/1/2016
-0.08 1 1 10/1/2015 11/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
17.99 15 11/1/2016 1/1/2018
10.02 8 2/1/2016 9/1/2016
9.85 7 3/1/2018 9/1/2018
9.06 2 9/1/2015 10/1/2015
6.35 3 1/1/2019 3/1/2019
2.30 1 11/1/2018 11/1/2018
1.53 1 7/1/2015 7/1/2015
0.22 1 12/1/2015 12/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.40 1 2/1/2018 2/1/2018
-5.66 1 8/1/2015 8/1/2015
-3.91 1 12/1/2018 12/1/2018
-1.07 1 10/1/2018 10/1/2018
-0.86 1 1/1/2016 1/1/2016
-0.71 1 6/1/2015 6/1/2015
-0.47 1 10/1/2016 10/1/2016
-0.08 1 11/1/2015 11/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable82.6184.0992.68100.00100.00100.00
Average Period Return0.782.324.859.8515.1620.74
Average Gain1.453.345.299.8515.1620.74
Average Loss-2.40-3.05-0.61
Best Period4.678.979.8418.8025.6529.96
Worst Period-6.40-5.02-0.702.009.0914.97
Standard Deviation2.033.012.903.623.614.19
Gain Standard Deviation1.081.872.543.623.614.19
Loss Standard Deviation2.541.940.11
Sharpe Ratio (1%)0.340.691.502.453.784.47
Average Gain / Average Loss0.601.098.72
Profit / Loss Ratio2.875.78110.43
Downside Deviation (10%)1.531.861.020.61
Downside Deviation (5%)1.431.500.31
Downside Deviation (0%)1.411.410.17
Sortino Ratio (10%)0.240.592.347.90
Sortino Ratio (5%)0.491.3813.95
Sortino Ratio (0%)0.551.6529.29

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 8 1.16 2/2019
Stock Index Trader Index Month 10 1.16 2/2019
Stock Index Trader Index Month 8 3.24 1/2019
Discretionary Trader Index Month 7 3.24 1/2019
Discretionary Trader Index Month 9 2.08 11/2018
Stock Index Trader Index Month 9 2.08 11/2018
Stock Index Trader Index Month 6 1.82 8/2018
Discretionary Trader Index Month 7 1.82 8/2018
Stock Index Trader Index Month 6 2.90 7/2018
Discretionary Trader Index Month 8 2.90 7/2018
Stock Index Trader Index Month 8 1.55 5/2018
Stock Index Trader Index Month 7 1.71 11/2017
Discretionary Trader Index Month 10 1.71 11/2017
Stock Index Trader Index Month 5 1.64 10/2017
Stock Index Trader Index Month 9 1.08 9/2017

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.