Doherty Advisors LLC : Grey Swan Hedge Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.86% Mar Performance -0.20% Min Investment $ 10,000k Mgmt. Fee 0.65% Perf. Fee 15.00% Annualized Vol 2.02% Sharpe (RFR=1%) -1.44 CAROR -1.92% Assets $ 9.0M Worst DD -19.86 S&P Correlation -0.87 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 Since4/2010 Grey Swan Hedge -0.20 -0.54 -1.86 -0.10 -5.62 -7.90 - -16.04 S&P 500 1.79 13.07 13.07 7.33 36.22 49.85 - 145.69 +/- S&P 500 -1.99 -13.61 -14.93 -7.43 -41.84 -57.75 - -161.73 Strategy Description Investment StrategyGrey Swan Equity Hedge (via managed accounts) In April, Doherty Advisors launched the Grey Swan hedge program which is designed to provide downside protection in descending equity markets and implements different series of long put and put spreads within the S&P 500 Index... Read More Account & Fees Type Managed Account Minimum Investment $ 10,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 0.65% Performance Fee 15.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency 15-30 Days Redemption Frequency 15-30 Days Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency RT/YR/$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 70.00% 1-30 Days 30.00% Intraday 0% Decision-Making Discretionary 100.00% Systematic 0% Strategy Spreading/hedging 100.00% Composition Stock Indices 100.00% Investment StrategyGrey Swan Equity Hedge (via managed accounts) In April, Doherty Advisors launched the Grey Swan hedge program which is designed to provide downside protection in descending equity markets and implements different series of long put and put spreads within the S&P 500 Index across various expiration time cycles. The strategy is offered via managed accounts. This strategy is the perfect complement to the flagship RVV It shares the same characteristics of high liquidity and full transparency, but differs in that it is always long positive gamma (i.e. Delta/Beta exposure gets exponentially shorter as the market descends). RVV seeks to profit in both upward and downward trading markets (profitable 92% of all months), while, of course, Grey Swan prospers exponentially in corrective or descending markets. 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 -19.86 99 - 6/1/2010 9/1/2018 Show More Consecutive Gains Run-up Length (Mos.) Start End 2.62 3 4/1/2010 6/1/2010 2.61 1 12/1/2018 12/1/2018 1.70 1 10/1/2018 10/1/2018 1.66 2 8/1/2015 9/1/2015 1.56 4 6/1/2011 9/1/2011 0.98 2 2/1/2018 3/1/2018 0.90 3 12/1/2015 2/1/2016 0.58 1 5/1/2012 5/1/2012 0.55 1 8/1/2010 8/1/2010 0.29 1 1/1/2015 1/1/2015 0.28 1 1/1/2014 1/1/2014 0.14 1 7/1/2014 7/1/2014 0.10 1 10/1/2016 10/1/2016 0.10 1 9/1/2014 9/1/2014 0.09 1 6/1/2015 6/1/2015 0.02 1 8/1/2013 8/1/2013 0.02 1 10/1/2012 10/1/2012 Show More Consecutive Losses Run-up Length (Mos.) Start End -4.47 9 9/1/2010 5/1/2011 -4.03 15 11/1/2016 1/1/2018 -3.27 7 10/1/2011 4/1/2012 -2.94 7 3/1/2016 9/1/2016 -2.85 6 4/1/2018 9/1/2018 -2.23 1 7/1/2010 7/1/2010 -1.86 3 1/1/2019 3/1/2019 -1.69 9 11/1/2012 7/1/2013 -1.25 5 2/1/2014 6/1/2014 -1.20 2 10/1/2015 11/1/2015 -1.18 4 6/1/2012 9/1/2012 -1.14 4 2/1/2015 5/1/2015 -1.04 4 9/1/2013 12/1/2013 -0.76 3 10/1/2014 12/1/2014 -0.54 1 7/1/2015 7/1/2015 -0.38 1 8/1/2014 8/1/2014 -0.31 1 11/1/2018 11/1/2018 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods108.00106.00103.0097.0091.0085.0073.0061.0049.00 Percent Profitable24.0718.8710.683.091.100.000.000.000.00 Average Period Return-0.16-0.50-1.05-2.14-3.16-4.20-6.10-7.85-9.71 Average Gain0.550.931.120.830.17 Average Loss-0.38-0.83-1.30-2.24-3.20-4.20-6.10-7.85-9.71 Best Period2.614.032.741.470.17-1.10-3.80-4.81-6.59 Worst Period-2.23-2.98-4.54-6.00-6.43-7.67-9.44-11.63-13.09 Standard Deviation0.580.931.101.131.191.221.071.161.20 Gain Standard Deviation0.620.950.990.58 Loss Standard Deviation0.350.510.781.001.151.221.071.161.20 Sharpe Ratio (1%)-0.42-0.81-1.40-2.79-3.90-5.09-8.54-10.25-12.35 Average Gain / Average Loss1.421.120.860.370.05 Profit / Loss Ratio0.450.260.100.010.00 Downside Deviation (10%)0.761.933.687.2310.8214.5021.8929.4237.36 Downside Deviation (5%)0.511.081.863.344.816.339.1911.9614.86 Downside Deviation (0%)0.450.881.442.413.384.376.197.939.78 Sortino Ratio (10%)-0.75-0.89-0.95-0.99-0.99-1.00-1.00-1.00-1.00 Sortino Ratio (5%)-0.48-0.69-0.83-0.94-0.97-0.98-0.99-1.00-1.00 Sortino Ratio (0%)-0.36-0.57-0.73-0.89-0.94-0.96-0.99-0.99-0.99 Top Performer Badges Index Award Type Rank Performance Period Stock Index Trader Index Month 3 2.61 12/2018 Discretionary Trader Index Month 8 2.61 12/2018 Stock Index Trader Index Month 10 0.71 2/2018 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