Doherty Advisors LLC : Relative Value Growth

Year-to-Date
0.75%
May Performance
1.56%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
11.15%
Sharpe (RFR=1%)
0.98
CAROR
11.89%
Assets
$ 105.0M
Worst DD
-37.25
S&P Correlation
0.19

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
6/2003
Relative Value Growth 1.56 1.92 0.75 6.30 8.03 21.83 77.51 503.43
S&P 500 -6.58 -1.17 9.77 1.72 29.91 41.62 196.32 179.49
+/- S&P 500 8.14 3.10 -9.03 4.58 -21.87 -19.78 -118.81 323.94

Strategy Description

Investment Strategy

Relative Value Growth is a core uncorrelated, non-directional, diversifying source of absolute return for a variety of portfolios and investors. Relative Value Growth is a discretionary S&P based program that employs a repeatable, mathematical investment process that is... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
1.50%
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
15%
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
0%
1-30 Days
0%
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

Relative Value Growth is a core uncorrelated, non-directional, diversifying source of absolute return for a variety of portfolios and investors. Relative Value Growth is a discretionary S&P based program that employs a repeatable, mathematical investment process that is agnostic both to markets and volatility. Using a mathematical framework combined with rigorous risk management and Bob Doherty's deep understanding from 26+years of options trading experience, Relative Value seeks to identify and exploit inefficiencies between various strike prices on both the put and call skew. RV Growth has annualized at 15% over its nearly 12 year track, remaining profitable in 85% of all months since inception, creating a steady alpha stream that has historically out-performed the S&P as well as L/S equity, relative value and CTA indices.

   

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
-37.25 2 37 8/1/2008 10/1/2008
-8.82 1 1 12/1/2007 1/1/2008
-6.36 2 8 12/1/2017 2/1/2018
-3.96 1 1 6/1/2007 7/1/2007
-2.16 1 1 7/1/2015 8/1/2015
-2.13 3 3 2/1/2013 5/1/2013
-1.74 1 3 1/1/2007 2/1/2007
-1.16 2 3 12/1/2018 2/1/2019
-0.65 1 3 8/1/2013 9/1/2013
-0.61 1 1 8/1/2012 9/1/2012
-0.41 2 1 9/1/2015 11/1/2015
-0.39 1 1 4/1/2006 5/1/2006
-0.31 1 2 2/1/2016 3/1/2016
-0.21 2 1 5/1/2016 7/1/2016
-0.19 1 1 5/1/2015 6/1/2015
-0.14 1 1 11/1/2014 12/1/2014
-0.11 1 1 1/1/2017 2/1/2017
-0.06 1 1 5/1/2014 6/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
169.67 35 6/1/2003 4/1/2006
30.65 8 11/1/2008 6/1/2009
26.63 7 2/1/2008 8/1/2008
20.85 5 8/1/2007 12/1/2007
18.31 12 9/1/2011 8/1/2012
15.47 10 11/1/2009 8/1/2010
13.35 8 6/1/2006 1/1/2007
5.45 4 3/1/2007 6/1/2007
5.36 5 3/1/2018 7/1/2018
4.72 4 9/1/2018 12/1/2018
4.34 3 12/1/2015 2/1/2016
4.25 5 1/1/2015 5/1/2015
3.62 1 9/1/2015 9/1/2015
3.16 6 12/1/2013 5/1/2014
3.06 5 10/1/2012 2/1/2013
2.94 6 10/1/2010 3/1/2011
2.43 10 3/1/2017 12/1/2017
1.97 6 8/1/2016 1/1/2017
1.93 5 7/1/2014 11/1/2014
1.86 2 5/1/2011 6/1/2011
1.85 1 6/1/2013 6/1/2013
1.56 1 5/1/2019 5/1/2019
1.39 2 8/1/2009 9/1/2009
0.79 2 4/1/2016 5/1/2016
0.65 1 7/1/2015 7/1/2015
0.65 1 8/1/2013 8/1/2013
0.55 1 3/1/2019 3/1/2019
0.25 1 10/1/2013 10/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-37.25 2 9/1/2008 10/1/2008
-8.82 1 1/1/2008 1/1/2008
-6.36 2 1/1/2018 2/1/2018
-4.89 2 7/1/2011 8/1/2011
-3.96 1 7/1/2007 7/1/2007
-2.16 1 8/1/2015 8/1/2015
-2.13 3 3/1/2013 5/1/2013
-1.74 1 2/1/2007 2/1/2007
-1.16 2 1/1/2019 2/1/2019
-0.85 1 10/1/2009 10/1/2009
-0.74 1 9/1/2010 9/1/2010
-0.65 1 9/1/2013 9/1/2013
-0.61 1 9/1/2012 9/1/2012
-0.41 2 10/1/2015 11/1/2015
-0.39 1 5/1/2006 5/1/2006
-0.31 1 3/1/2016 3/1/2016
-0.30 1 8/1/2018 8/1/2018
-0.23 1 7/1/2013 7/1/2013
-0.21 2 6/1/2016 7/1/2016
-0.20 1 4/1/2011 4/1/2011
-0.19 1 4/1/2019 4/1/2019
-0.19 1 6/1/2015 6/1/2015
-0.14 1 12/1/2014 12/1/2014
-0.11 1 2/1/2017 2/1/2017
-0.06 1 6/1/2014 6/1/2014
-0.02 1 7/1/2009 7/1/2009
-0.01 1 11/1/2013 11/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods192.00190.00187.00181.00175.00169.00157.00145.00133.00
Percent Profitable81.7788.4289.3088.9589.7194.0899.36100.00100.00
Average Period Return1.003.036.1312.3117.9022.9933.3544.7854.71
Average Gain1.714.157.8614.9620.6424.6733.6044.7854.71
Average Loss-2.21-5.51-8.30-9.03-6.06-3.77-6.00
Best Period11.0525.9139.2274.06114.83142.32168.62211.55294.07
Worst Period-29.50-35.78-31.25-21.86-13.15-8.38-6.0011.2113.06
Standard Deviation3.226.2710.1018.1624.8729.0436.0346.7052.21
Gain Standard Deviation1.904.528.4817.3324.7729.1236.0046.7052.21
Loss Standard Deviation5.3510.2311.197.364.461.96
Sharpe Ratio (1%)0.280.440.560.620.660.720.840.870.95
Average Gain / Average Loss0.770.750.951.663.416.555.60
Profit / Loss Ratio3.475.757.9113.3429.73104.10873.71
Downside Deviation (10%)2.524.125.055.385.034.523.922.783.65
Downside Deviation (5%)2.463.934.584.102.801.500.74
Downside Deviation (0%)2.443.884.483.832.391.020.48
Sortino Ratio (10%)0.230.440.731.362.052.824.488.357.41
Sortino Ratio (5%)0.370.711.232.765.8614.0140.73
Sortino Ratio (0%)0.410.781.373.217.4922.5069.65

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 4 1.56 5/2019
Stock Index Trader Index Month 9 0.71 12/2018
Stock Index Trader Index Month 8 2.60 10/2018
Stock Index Trader Index Month 10 1.60 4/2018
Stock Index Trader Index Month 9 1.60 4/2018

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