Doherty Advisors LLC : Grey Swan Hedge

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

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
4/2010
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 Strategy

Grey 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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Investment Strategy

Grey 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.

   

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
-19.86 99 - 6/1/2010 9/1/2018
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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
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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
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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.