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

Year-to-Date
1.36%
Jul Performance
-0.17%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.62%
Sharpe (RFR=1%)
0.63
CAROR
10.01%
Assets
$ 50k
Worst DD
-24.89
S&P Correlation
0.01

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
7/2012
Alternative Hedge Energy (Proprietary) -0.17 -0.34 -1.36 1.73 -1.22 75.52 - 116.17
S&P 500 5.51 12.32 1.25 9.76 31.27 53.90 - 151.19
+/- S&P 500 -5.68 -12.66 -2.61 -8.02 -32.49 21.62 - -35.02

Strategy Description

Summary

This is a unique strategy. A two step program that provides delta coverage. The first step sells an Energy Strangle (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... 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 5000 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 0%
Sector Focus Energy Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 1.00%
Systematic 99.00%

Strategy

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

Composition

Energy
100.00%
Composition Pie Chart

Summary

This is a unique strategy. A two step program that provides delta coverage. The first step sells an Energy Strangle (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 an Energy Strangle (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

Positions in the underlying futures market are taken to provide delta coverage (usually over delta'd) for the options on that side of the strike price.

   

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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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
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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%)
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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
-24.89 9 4 12/1/2017 9/1/2018
-23.76 12 14 6/1/2014 6/1/2015
-16.03 3 - 1/1/2019 4/1/2019
-9.22 3 2 3/1/2013 6/1/2013
-3.75 2 1 9/1/2017 11/1/2017
-1.12 1 1 2/1/2014 3/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
68.70 19 3/1/2016 9/1/2017
34.26 4 10/1/2018 1/1/2019
33.23 8 7/1/2013 2/1/2014
22.47 9 7/1/2012 3/1/2013
15.98 4 9/1/2015 12/1/2015
13.46 2 8/1/2019 9/1/2019
9.88 3 4/1/2018 6/1/2018
7.80 2 5/1/2019 6/1/2019
7.20 1 7/1/2015 7/1/2015
5.65 1 12/1/2017 12/1/2017
4.81 1 8/1/2014 8/1/2014
4.49 1 1/1/2015 1/1/2015
4.39 3 4/1/2014 6/1/2014
1.17 1 11/1/2014 11/1/2014
0.23 1 4/1/2015 4/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.60 2 9/1/2014 10/1/2014
-17.36 3 7/1/2018 9/1/2018
-17.29 3 1/1/2018 3/1/2018
-16.03 3 2/1/2019 4/1/2019
-9.22 3 4/1/2013 6/1/2013
-8.49 1 7/1/2014 7/1/2014
-6.24 1 7/1/2019 7/1/2019
-5.23 2 1/1/2016 2/1/2016
-4.14 10 10/1/2019 7/1/2020
-3.75 2 10/1/2017 11/1/2017
-3.46 2 2/1/2015 3/1/2015
-2.50 1 12/1/2014 12/1/2014
-2.09 2 5/1/2015 6/1/2015
-1.43 1 8/1/2015 8/1/2015
-1.12 1 3/1/2014 3/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods97.0095.0092.0086.0080.0074.0062.0050.0038.00
Percent Profitable61.8664.2165.2269.7768.7574.32100.00100.00100.00
Average Period Return0.902.785.5211.3917.2321.9238.5360.2873.26
Average Gain3.467.7412.4721.0028.8330.6938.5360.2873.26
Average Loss-3.25-6.11-7.53-10.77-8.29-3.49
Best Period12.3029.2230.2847.6765.4183.2397.2492.10115.77
Worst Period-16.59-20.00-22.99-23.76-16.85-8.610.2431.1530.53
Standard Deviation4.518.8611.9818.5623.6927.2323.7116.0524.54
Gain Standard Deviation2.595.667.3412.7119.3126.3623.7116.0524.54
Loss Standard Deviation3.816.197.047.614.632.67
Sharpe Ratio (1%)0.180.290.420.560.660.731.503.502.78
Average Gain / Average Loss1.061.271.661.953.488.80
Profit / Loss Ratio1.732.273.114.507.6525.48
Downside Deviation (10%)3.245.717.189.669.347.663.75
Downside Deviation (5%)3.105.276.257.676.033.090.44
Downside Deviation (0%)3.075.176.037.215.282.20
Sortino Ratio (10%)0.150.270.420.661.031.526.07
Sortino Ratio (5%)0.260.480.801.362.616.4380.26
Sortino Ratio (0%)0.290.540.911.583.269.94

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.