Doherty Advisors LLC : Relative Value Plus

Year-to-Date: 0.29%
May Performance: 2.65%

Min Investment: $ 1,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 4.73%
Sharpe (RFR=1%): 0.28
CAROR: 2.24%

Assets: $ 30.0M
Worst DD: -9.84
S&P Correlation: -0.52

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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 7/2011
Relative Value Plus	2.65	3.02	-0.29	7.32	1.45	9.23	-	19.14
S&P 500	-6.58	-1.17	9.77	1.72	29.91	41.62	-	110.76
+/- S&P 500	9.23	4.19	-10.07	5.59	-28.46	-32.38	-	-91.63

Strategy Description

Investment Strategy

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: 1745 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%

Investment Strategy

RELATIVE VALUE PLUS (RVP) trading strategy is a combination of the flagship KBD Relative Value, Class C, which is a pure relative value / market neutral volatility arbitrage, and Grey Swan Equity Hedge Program. Essentially, KBD trades the shape of the volatility skew in the front two S&P 500 and US Treasury listed options, two of the most liquid markets in the world. Grey Swan is a long only S&P 500 put option hedging strategy, which removes the tail risk. The strategy is agnostic as to direction of both the underlying markets and volatility itself. One feature that separates it from other volatility strategies is that KBD Capital Partners is a small payer of premium each month, though it remains slightly net short options on a notional basis. Generally, the net delta and gamma exposures are between +10% to -10% over 90% of the time. There is no basis or calendar risk.

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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.

Compare to:

Index:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Reward
Compound RoR:
Average RoR:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-9.84	24	-	2/1/2016	2/1/2018
-3.97	2	2	1/1/0001	8/1/2011
-3.41	6	20	11/1/2012	5/1/2013
-1.88	2	2	9/1/2015	11/1/2015
-1.19	5	1	3/1/2015	8/1/2015
-0.96	1	1	8/1/2012	9/1/2012
-0.69	3	1	12/1/2011	3/1/2012

Consecutive Gains

Run-up	Length (Mos.)	Start	End
9.57	4	9/1/2011	12/1/2011
8.11	3	10/1/2018	12/1/2018
5.34	3	12/1/2015	2/1/2016
4.74	5	4/1/2012	8/1/2012
3.98	1	9/1/2015	9/1/2015
3.38	3	1/1/2015	3/1/2015
3.25	2	3/1/2018	4/1/2018
2.65	1	5/1/2019	5/1/2019
2.15	2	10/1/2012	11/1/2012
2.05	3	1/1/2014	3/1/2014
1.82	1	6/1/2013	6/1/2013
1.15	3	8/1/2016	10/1/2016
1.08	1	9/1/2014	9/1/2014
0.76	1	8/1/2013	8/1/2013
0.61	1	6/1/2018	6/1/2018
0.55	1	3/1/2019	3/1/2019
0.38	1	12/1/2017	12/1/2017
0.31	1	8/1/2017	8/1/2017
0.28	1	7/1/2014	7/1/2014
0.18	1	10/1/2017	10/1/2017
0.18	1	3/1/2017	3/1/2017
0.05	1	11/1/2014	11/1/2014
0.04	1	5/1/2017	5/1/2017
0.03	1	2/1/2013	2/1/2013

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-6.02	2	1/1/2018	2/1/2018
-3.97	2	7/1/2011	8/1/2011
-3.22	2	1/1/2019	2/1/2019
-3.17	5	3/1/2016	7/1/2016
-2.91	3	3/1/2013	5/1/2013
-2.11	4	11/1/2016	2/1/2017
-1.88	2	10/1/2015	11/1/2015
-1.52	4	9/1/2013	12/1/2013
-1.19	5	4/1/2015	8/1/2015
-1.05	3	7/1/2018	9/1/2018
-0.96	1	9/1/2012	9/1/2012
-0.81	1	7/1/2013	7/1/2013
-0.78	3	4/1/2014	6/1/2014
-0.69	3	1/1/2012	3/1/2012
-0.55	2	12/1/2012	1/1/2013
-0.39	1	10/1/2014	10/1/2014
-0.36	2	6/1/2017	7/1/2017
-0.34	1	11/1/2017	11/1/2017
-0.32	1	12/1/2014	12/1/2014
-0.31	1	8/1/2014	8/1/2014
-0.30	1	5/1/2018	5/1/2018
-0.22	1	9/1/2017	9/1/2017
-0.19	1	4/1/2019	4/1/2019
-0.10	1	4/1/2017	4/1/2017

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	95.00	93.00	90.00	84.00	78.00	72.00	60.00	48.00	36.00
Percent Profitable	45.26	49.46	61.11	60.71	66.67	75.00	80.00	97.92	97.22
Average Period Return	0.19	0.58	1.10	1.67	1.95	2.51	4.35	6.63	7.35
Average Gain	1.21	2.17	2.75	4.14	4.22	4.42	5.87	6.78	7.62
Average Loss	-0.67	-0.97	-1.50	-2.16	-2.61	-3.21	-1.71	-0.37	-2.10
Best Period	4.10	8.61	9.21	13.98	14.71	13.35	12.99	15.90	20.94
Worst Period	-3.96	-5.67	-6.03	-5.96	-7.14	-9.84	-4.49	-0.37	-2.10
Standard Deviation	1.37	2.22	2.73	3.82	4.24	4.43	3.88	3.97	5.19
Gain Standard Deviation	1.20	1.96	2.03	2.68	3.13	3.00	2.60	3.87	5.00
Loss Standard Deviation	0.83	1.04	1.24	1.30	1.71	2.75	1.34
Sharpe Ratio (1%)	0.08	0.15	0.22	0.17	0.10	0.11	0.34	0.65	0.43
Average Gain / Average Loss	1.80	2.23	1.83	1.92	1.62	1.37	3.42	18.15	3.63
Profit / Loss Ratio	1.55	2.18	2.88	2.96	3.24	4.12	13.69	853.00	127.00
Downside Deviation (10%)	0.99	1.76	2.73	4.87	6.97	8.90	12.04	15.43	20.91
Downside Deviation (5%)	0.81	1.13	1.46	2.14	2.59	2.97	2.26	1.13	1.87
Downside Deviation (0%)	0.77	1.00	1.21	1.58	1.79	2.09	0.96	0.05	0.35
Sortino Ratio (10%)	-0.22	-0.37	-0.50	-0.69	-0.81	-0.87	-0.95	-0.97	-0.97
Sortino Ratio (5%)	0.14	0.29	0.41	0.31	0.17	0.17	0.59	2.28	1.20
Sortino Ratio (0%)	0.25	0.58	0.91	1.06	1.09	1.20	4.54	122.97	21.00

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Stock Index Trader Index	Month	3	2.65	5/2019
Discretionary Trader Index	Month	6	3.01	12/2018
Stock Index Trader Index	Month	2	3.01	12/2018
Discretionary Trader Index	Month	10	2.35	3/2018
Stock Index Trader Index	Month	10	2.35	3/2018

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

^#3

Top Performer

STOCK INDEX TRADER INDEX

MAY
2019

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Orion	9.80%

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Doherty Advisors LLC : Relative Value Plus

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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