Doherty Advisors LLC : Relative Value Plus

archived programs
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

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

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... 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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

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.

   

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
-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
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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
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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
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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.