Doherty Advisors LLC : Relative Value Plus Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A 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 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 May Qtr YTD 1yr 3yr 5yr 10yr Since7/2011 Relative Value Plus 2.65 - - - 3.76 6.32 - 19.14 S&P 500 -6.58 - - - 29.91 41.62 - 137.43 +/- S&P 500 9.23 - - - -26.14 -35.29 - -118.30 Strategy Description Investment StrategyRELATIVE 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... Read More 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% Decision-Making Discretionary 100.00% Systematic 0% Strategy Spreading/hedging 100.00% Composition Stock Indices 100.00% Investment StrategyRELATIVE 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. 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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods95.0093.0090.0084.0078.0072.0060.0048.0036.00 Percent Profitable45.2649.4661.1160.7166.6775.0080.0097.9297.22 Average Period Return0.190.581.101.671.952.514.356.637.35 Average Gain1.212.172.754.144.224.425.876.787.62 Average Loss-0.67-0.97-1.50-2.16-2.61-3.21-1.71-0.37-2.10 Best Period4.108.619.2113.9814.7113.3512.9915.9020.94 Worst Period-3.96-5.67-6.03-5.96-7.14-9.84-4.49-0.37-2.10 Standard Deviation1.372.222.733.824.244.433.883.975.19 Gain Standard Deviation1.201.962.032.683.133.002.603.875.00 Loss Standard Deviation0.831.041.241.301.712.751.34 Sharpe Ratio (1%)0.080.150.220.170.100.110.340.650.43 Average Gain / Average Loss1.802.231.831.921.621.373.4218.153.63 Profit / Loss Ratio1.552.182.882.963.244.1213.69853.00127.00 Downside Deviation (10%)0.991.762.734.876.978.9012.0415.4320.91 Downside Deviation (5%)0.811.131.462.142.592.972.261.131.87 Downside Deviation (0%)0.771.001.211.581.792.090.960.050.35 Sortino Ratio (10%)-0.22-0.37-0.50-0.69-0.81-0.87-0.95-0.97-0.97 Sortino Ratio (5%)0.140.290.410.310.170.170.592.281.20 Sortino Ratio (0%)0.250.580.911.061.091.204.54122.9721.00 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. x {{title}} x {{title}} Add Cancel