W.G. Wealth Guardian Ltd. : Strategic Enhanced SP500 Program (SESP)

Year-to-Date
50.22%
Sep Performance
-11.35%
Min Investment
$ 150k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
25.71%
Sharpe (RFR=1%)
1.09
CAROR
29.57%
Assets
$ 1.5M
Worst DD
-11.35
S&P Correlation
0.05

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
1/2017
Strategic Enhanced SP500 Program (SESP) -11.35 -3.92 50.22 65.40 124.80 - - 164.17
S&P 500 -3.92 8.47 4.09 12.98 32.33 - - 46.07
+/- S&P 500 -7.43 -12.39 46.13 52.42 92.47 - - 118.10

Strategy Description

Summary

The Strategic Enhanced SP500 Program (SESP) is designed to improve upon traditional long-only investment vehicles - using the S&P500 index as a baseline - by smoothing or even enhancing performance during range-bound periods as well as market shocks. The program combines a long equity... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 150k
Trading Level Incremental Increase $ 150k
CTA Max Funding Factor 2.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $6.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 1

Trading

Trading Frequency 1900 RT/YR/$M
Avg. Margin-to-Equity 40%
Targeted Worst DD -25.00%
Worst Peak-to-Trough 17.75%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 15.00%
1-3 Months 20.00%
1-30 Days 65.00%
Intraday 0%

Decision-Making

Discretionary
Systematic 100.00%

Strategy

Arbitrage
15.00%
Momentum
15.00%
Option-purchasing
10.00%
Pattern Recognition
10.00%
Spreading/hedging
20.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

VIX
50.00%
Stock Indices
40.00%
Other
10.00%
Composition Pie Chart

Summary

The Strategic Enhanced SP500 Program (SESP) is designed to improve upon traditional long-only investment vehicles - using the S&P500 index as a baseline - by smoothing or even enhancing performance during range-bound periods as well as market shocks. The program combines a long equity element with momentum and spread arbitrage methodologies in specific market volatility instruments that enable improved risk management and in turn superior returns. The strategy has been formalized into an automated system, thereby eliminating human intervention and ensuring unencumbered operation. The system attempts to produce consistent returns in varying market and volatility environments that have little or no correlation to traditional and alternative strategies alike. This makes it a valuable component of any multi-asset class portfolio as it can greatly reduce overall volatility. The strategy was developed by investment professionals by utilizing the expertise and knowledge gained through years of trading and market observation.

Investment Strategy

SESP comprises 3 elements. At the heart of the program is a core long equity component. This is then complimented by our existing GVRP volatility trading program. Finally, SESP adds a defensive mechanism that detects sharp market falls in order to mitigate short-term adverse performance. In this way, the program attempts to emulate the returns of a long-equity investment but with the poor performance during periods of sideways markets and downturns mitigated or enhanced. GVRP excels in taking advantage of range-bound markets to generate consistent income. At the same time, the strategy is inherently long gamma and has the capability to capture increasing returns during market turmoil and selloffs.

The defensive mechanism uses momentum and market psychology methodologies in an attempt to detect the early onset of sharp market downturns. In case of a trigger, the mechanism puts the portfolio in a defensive stance by taking protective measures against the long equity component. Although the trigger occurs infrequently, the mechanism can be vulnerable to false breaks that do not develop into significant market drops. In this case, the program would detect a false break and revert the portfolio into a normal stance. The program is then able to enhance the traditional long-only portfolio. The methodology is conceptually driven and based on quantitative analysis of statistical information. The program participates in the long element of the market and the other 2 components lie in wait for the correct opportunities to augment the portfolio returns. Therefore, the strategy can potentially profit in many different types of market environments – be it market lulls, rallies or sharp declines. SESP can provide excellent diversification and hedging potential, not only having very low correlation to traditional investments such as stocks and bonds but also to the alternative investment world.

A more detailed description of the program can be found here:

https://www.iasg.com/en-us/groups/group/w-g-wealth-guardian-ltd-/program/gamma-volatility-ratio-program-gvrp-

Risk Management

The strategy was conceived conceptually (as opposed to data mining) with risk management at is heart. The means that risk management is inherent in the selection and execution of trades rather than placing limits that disregard the current character of the market. Traditional markets and strategies are typically vulnerable to shocks while most strategies classified as alternative are vulnerable to periods of sideways/range-bound movement. This strategy attempts to outperform by emulating the returns of a long-only vehicle but mitigating the drawdowns during downturns and range-bound periods. By utilizing strategic countermeasures and by taking advantage of gamma convexity, it is preemptively protected against sharp market downturns. At the same time it reaps returns during periods of low volatility and sideways movement.

   

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
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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
-11.35 1 - 8/1/2020 9/1/2020
-10.44 3 2 9/1/2018 12/1/2018
-9.12 1 1 1/1/2020 2/1/2020
-6.35 1 3 4/1/2019 5/1/2019
-3.76 1 2 8/1/2019 9/1/2019
-3.55 1 3 2/1/2018 3/1/2018
-2.86 1 2 7/1/2017 8/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
83.11 6 3/1/2020 8/1/2020
21.76 6 9/1/2017 2/1/2018
19.06 7 1/1/2017 7/1/2017
18.75 4 1/1/2019 4/1/2019
12.12 6 4/1/2018 9/1/2018
12.12 4 10/1/2019 1/1/2020
9.41 3 6/1/2019 8/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.35 1 9/1/2020 9/1/2020
-10.44 3 10/1/2018 12/1/2018
-9.12 1 2/1/2020 2/1/2020
-6.35 1 5/1/2019 5/1/2019
-3.76 1 9/1/2019 9/1/2019
-3.55 1 3/1/2018 3/1/2018
-2.86 1 8/1/2017 8/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods45.0043.0040.0034.0028.0022.00
Percent Profitable80.0079.0792.50100.00100.00100.00
Average Period Return2.417.9016.4428.4740.5052.82
Average Gain4.3411.0017.9428.4740.5052.82
Average Loss-5.30-3.81-2.03
Best Period42.2367.1083.1179.56101.5897.09
Worst Period-11.35-10.44-3.594.897.6415.57
Standard Deviation7.4213.1619.9822.7528.1525.78
Gain Standard Deviation6.8813.0520.0422.7528.1525.78
Loss Standard Deviation3.533.501.51
Sharpe Ratio (1%)0.310.580.801.211.391.97
Average Gain / Average Loss0.822.898.82
Profit / Loss Ratio3.2810.92108.80
Downside Deviation (10%)2.952.751.320.02
Downside Deviation (5%)2.832.390.77
Downside Deviation (0%)2.802.300.65
Sortino Ratio (10%)0.682.4210.601193.17
Sortino Ratio (5%)0.823.2020.66
Sortino Ratio (0%)0.863.4325.23

Top Performer Badges

Index Award Type Rank Performance Period

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