White Indian Trading Co. : Alternative Hedge Currency (Proprietary)

Year-to-Date
5.28%
Oct Performance
0.46%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.40%
Sharpe (RFR=1%)
0.20
CAROR
2.75%
Assets
$ 50k
Worst DD
-20.89
S&P Correlation
-0.02

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2012
Alternative Hedge Currency (Proprietary) 0.46 -0.32 -5.28 -3.30 -6.90 3.02 - 22.05
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 117.98
+/- S&P 500 -1.58 -2.24 -26.44 -15.31 -48.32 -45.97 - -95.93

Strategy Description

Summary

A two step program that provides delta coverage. The first step sells Futures Currency Strangles (put and calls outside of the money). The second step places orders in the underlying futures market to provide delta coverage once the market moves in a trend direction therefore creating... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$12.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
9000 RT/YR/$M
Avg. Margin-to-Equity
50%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
0%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
20.00%
1-30 Days
80.00%
Intraday
0%

Decision-Making

Discretionary
1.00%
Systematic
99.00%

Strategy

Option-writing
70.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

A two step program that provides delta coverage. The first step sells Futures Currency Strangles (put and calls outside of the money). The second step places orders in the underlying futures market to provide delta coverage once the market moves in a trend direction therefore creating a covered option on the trend side of the trade and seeks to gain the premium on the opposite option.

Investment Strategy

A two step program that provides delta coverage. The first step sells Futures Currency Strangles (put and calls outside of the money). The second step places orders in the underlying futures market to provide delta coverage once the market moves in a trend direction therefore creating a covered option on the trend side of the trade and seeks to gain the premium on the opposite option.

Risk Management

Coverage in the underlying futures contract provides a level of delta coverage (usually over delta'd).

   

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
-20.89 9 6 7/1/2014 4/1/2015
-16.59 5 11 10/1/2012 3/1/2013
-11.00 7 - 7/1/2017 2/1/2018
-7.23 6 5 10/1/2015 4/1/2016
-5.71 1 5 10/1/2016 11/1/2016
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
24.01 4 7/1/2015 10/1/2015
21.40 6 2/1/2014 7/1/2014
13.74 2 4/1/2013 5/1/2013
13.36 4 7/1/2012 10/1/2012
9.37 6 7/1/2013 12/1/2013
8.37 4 7/1/2016 10/1/2016
7.12 6 2/1/2017 7/1/2017
6.34 1 2/1/2015 2/1/2015
5.78 1 5/1/2015 5/1/2015
5.45 3 6/1/2018 8/1/2018
5.10 2 3/1/2018 4/1/2018
4.23 1 12/1/2016 12/1/2016
2.60 1 5/1/2016 5/1/2016
2.47 1 3/1/2016 3/1/2016
2.08 2 11/1/2018 12/1/2018
2.04 2 12/1/2015 1/1/2016
1.64 1 5/1/2019 5/1/2019
1.16 1 12/1/2014 12/1/2014
0.46 1 10/1/2019 10/1/2019
0.35 1 2/1/2013 2/1/2013
0.30 2 2/1/2019 3/1/2019
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-15.55 2 3/1/2015 4/1/2015
-13.53 3 11/1/2012 1/1/2013
-11.74 4 8/1/2014 11/1/2014
-11.00 7 8/1/2017 2/1/2018
-7.57 1 6/1/2013 6/1/2013
-6.61 1 2/1/2016 2/1/2016
-5.71 1 11/1/2016 11/1/2016
-5.20 4 6/1/2019 9/1/2019
-3.87 1 3/1/2013 3/1/2013
-3.69 1 5/1/2018 5/1/2018
-3.35 1 6/1/2015 6/1/2015
-2.62 1 11/1/2015 11/1/2015
-2.44 1 6/1/2016 6/1/2016
-2.44 1 4/1/2016 4/1/2016
-2.13 1 1/1/2017 1/1/2017
-1.64 2 9/1/2018 10/1/2018
-1.62 1 1/1/2019 1/1/2019
-1.59 1 1/1/2014 1/1/2014
-1.33 1 1/1/2015 1/1/2015
-0.83 1 4/1/2019 4/1/2019
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods88.0086.0083.0077.0071.0065.0053.0041.0029.00
Percent Profitable59.0953.4945.7855.8470.4267.6983.0287.8089.66
Average Period Return0.290.821.433.545.506.8210.8115.2216.41
Average Gain2.545.358.6010.399.1511.9213.5817.8218.68
Average Loss-2.96-4.40-4.62-5.13-3.19-3.87-2.73-3.50-3.26
Best Period9.2421.6426.7930.6532.5229.7232.0737.9634.86
Worst Period-9.81-13.53-13.27-17.46-6.15-9.35-7.18-6.32-5.73
Standard Deviation3.586.348.499.879.0210.709.7811.9111.42
Gain Standard Deviation2.234.536.827.218.339.248.2610.239.68
Loss Standard Deviation2.493.413.654.441.592.452.632.032.43
Sharpe Ratio (1%)0.060.090.110.260.440.450.800.940.99
Average Gain / Average Loss0.861.221.862.032.873.084.985.095.73
Profit / Loss Ratio1.241.401.572.566.846.4524.3636.6549.62
Downside Deviation (10%)2.674.485.877.406.579.119.8812.3415.75
Downside Deviation (5%)2.503.924.615.002.693.632.612.742.89
Downside Deviation (0%)2.463.784.324.481.932.591.521.381.23
Sortino Ratio (10%)-0.04-0.09-0.18-0.20-0.32-0.38-0.50-0.51-0.71
Sortino Ratio (5%)0.080.140.200.511.491.322.984.073.91
Sortino Ratio (0%)0.120.220.330.792.852.647.1211.0513.36

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.