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

Year-to-Date
0.41%
Oct Performance
-2.49%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.36%
Sharpe (RFR=1%)
0.68
CAROR
11.34%
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2012
Alternative Hedge Energy (Proprietary) -2.49 10.64 0.41 21.34 29.50 84.24 - 119.90
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 - 117.98
+/- S&P 500 -4.53 8.72 -20.75 9.34 -11.92 35.25 - 1.92

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
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
-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
-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
-2.49 1 10/1/2019 10/1/2019
-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 Periods88.0086.0083.0077.0071.0065.0053.0041.0029.00
Percent Profitable68.1869.7767.4767.5367.6175.38100.00100.00100.00
Average Period Return1.013.125.9112.1518.3024.4943.4862.0970.55
Average Gain3.467.8212.9123.2531.2033.6243.4862.0970.55
Average Loss-4.24-7.73-8.62-10.94-8.63-3.48
Best Period12.3029.2230.2847.6765.4183.2397.2492.10115.77
Worst Period-16.59-20.00-22.99-23.76-16.85-8.6112.3431.1530.53
Standard Deviation4.729.2412.4719.3824.7328.0221.8316.9827.54
Gain Standard Deviation2.595.687.3612.0419.4126.4421.8316.9827.54
Loss Standard Deviation3.906.237.157.724.582.72
Sharpe Ratio (1%)0.200.310.430.580.680.801.853.422.38
Average Gain / Average Loss0.821.011.502.133.629.66
Profit / Loss Ratio1.752.333.114.427.5529.59
Downside Deviation (10%)3.405.967.4910.099.687.420.63
Downside Deviation (5%)3.265.536.568.056.303.03
Downside Deviation (0%)3.225.426.347.585.532.17
Sortino Ratio (10%)0.180.320.460.711.111.9244.18
Sortino Ratio (5%)0.290.520.821.382.667.43
Sortino Ratio (0%)0.310.580.931.603.3111.31

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.