White Indian Trading Co. : Navajo (Prop)

Year-to-Date
10.27%
Aug Performance
2.27%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
25.09%
Sharpe (RFR=1%)
0.47
CAROR
9.96%
Assets
$ 100k
Worst DD
-42.84
S&P Correlation
0.14

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
2/2014
Navajo (Prop) 2.27 -4.75 -10.27 -1.77 28.40 72.78 - 69.88
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 - 55.78
+/- S&P 500 4.08 -11.09 -27.00 -2.62 -5.03 28.19 - 14.10

Strategy Description

Summary

Navajo takes other White Indian program short term trades. This allows the assets to be cross marginalized. Time exposure to any one market ranges approximately on 10% to 30% of the month. 5 different market sectors are traded.... 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
$10.00
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
12000 RT/YR/$M
Avg. Margin-to-Equity
33%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
2.79%
Sector Focus
Diversified 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

Other
100.00%
Strategy Pie Chart

Composition

Currency Futures
28.00%
Energy
28.00%
Softs
24.00%
Stock Indices
15.00%
Interest Rates
5.00%
Composition Pie Chart

Summary

Navajo takes other White Indian program short term trades. This allows the assets to be cross marginalized. Time exposure to any one market ranges approximately on 10% to 30% of the month. 5 different market sectors are traded.

Investment Strategy

Navajo takes short term, usually 2 to 5 day, Delta covered premium trades. This is a premium hedging strategy employed by other White Indian SC programs. The object is to have frequent market exposure, yet limit the time exposure to approximately 10% to 30% per market.

Risk Management

Navajo's Delta Covered Premium strategy utilizes stops in the underlying futures market as a hedge. stops stay in until expiry.

   

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
-42.84 12 13 6/1/2014 6/1/2015
-22.18 6 - 1/1/2019 7/1/2019
-19.40 8 4 1/1/2018 9/1/2018
-4.46 2 2 9/1/2017 11/1/2017
-3.00 1 1 10/1/2016 11/1/2016
-2.70 1 1 1/1/0001 2/1/2014
-2.25 1 2 6/1/2017 7/1/2017
-1.75 1 1 4/1/2014 5/1/2014
-1.09 1 1 12/1/2016 1/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
64.31 9 2/1/2016 10/1/2016
50.51 5 7/1/2015 11/1/2015
29.93 4 10/1/2018 1/1/2019
26.74 5 2/1/2017 6/1/2017
14.14 1 1/1/2015 1/1/2015
11.60 1 6/1/2014 6/1/2014
11.58 2 3/1/2014 4/1/2014
9.04 2 12/1/2017 1/1/2018
8.69 1 6/1/2019 6/1/2019
8.60 1 5/1/2015 5/1/2015
5.78 2 8/1/2017 9/1/2017
5.62 2 4/1/2018 5/1/2018
5.22 1 4/1/2019 4/1/2019
4.89 1 12/1/2016 12/1/2016
3.99 1 11/1/2014 11/1/2014
2.27 1 8/1/2019 8/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-38.19 4 7/1/2014 10/1/2014
-18.87 3 2/1/2015 4/1/2015
-14.31 1 7/1/2019 7/1/2019
-13.40 2 2/1/2018 3/1/2018
-11.88 4 6/1/2018 9/1/2018
-11.83 2 12/1/2015 1/1/2016
-10.99 1 5/1/2019 5/1/2019
-10.78 2 2/1/2019 3/1/2019
-9.10 1 6/1/2015 6/1/2015
-4.46 2 10/1/2017 11/1/2017
-3.00 1 11/1/2016 11/1/2016
-2.72 1 12/1/2014 12/1/2014
-2.70 1 2/1/2014 2/1/2014
-2.25 1 7/1/2017 7/1/2017
-1.75 1 5/1/2014 5/1/2014
-1.09 1 1/1/2017 1/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods67.0065.0062.0056.0050.0044.0032.0020.00
Percent Profitable58.2164.6262.9067.8670.0081.82100.00100.00
Average Period Return1.063.567.3619.8337.6659.27101.39117.50
Average Gain6.0811.3019.6737.0958.3073.67101.39117.50
Average Loss-5.94-10.57-13.51-16.60-10.49-5.50
Best Period15.1737.6344.7170.63121.85178.11165.74190.73
Worst Period-15.44-29.35-37.48-42.85-27.96-10.1928.4051.89
Standard Deviation7.2413.8620.0032.6945.5654.8142.0743.92
Gain Standard Deviation3.689.7512.7823.5538.7650.1742.0743.92
Loss Standard Deviation4.697.6410.1313.408.223.57
Sharpe Ratio (1%)0.130.240.340.580.791.042.342.58
Average Gain / Average Loss1.021.071.462.235.5513.39
Profit / Loss Ratio1.431.952.474.7212.9660.27
Downside Deviation (10%)5.078.3111.4614.3110.927.01
Downside Deviation (5%)4.907.8210.4512.417.883.50
Downside Deviation (0%)4.867.7010.2011.967.212.74
Sortino Ratio (10%)0.130.280.431.042.756.99
Sortino Ratio (5%)0.200.420.661.524.5916.34
Sortino Ratio (0%)0.220.460.721.665.2321.61

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.