White Indian Trading Co. : SCS Interest Rate Program (Proprietary)

archived programs
Year-to-Date
N / A
Feb Performance
-0.20%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.90%
Sharpe (RFR=1%)
0.17
CAROR
2.57%
Assets
$ 35k
Worst DD
-29.20
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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
8/2011
SCS Interest Rate Program (Proprietary) -0.20 -12.91 - -2.05 -16.87 - - 12.34
S&P 500 -0.41 -7.12 - -8.19 27.57 - - 58.50
+/- S&P 500 0.21 -5.79 - 6.14 -44.44 - - -46.16

Strategy Description

Summary

Unique SCS sub program that trades the Interest Rate futures and options... 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
$13.00
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
6500 RT/YR/$M
Avg. Margin-to-Equity
42%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Financial & Metals 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
66.00%
Trend-following
34.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

Unique SCS sub program that trades the Interest Rate futures and options

Investment Strategy

This SCS program will sell the straddle thereby attempting to garner the maximum option premium available. The uniqueness comes from the system placing stop orders in the underlying futures contract so that if/when the futures start to trend a position is taken in the underlying futures contract to cover the options on that side of the strike price.

Risk Management

When the underlying futures starts to trend a position is taken in the futures contract in order to cover the options written on that side of the trade. When the market trends down a short futures position is taken to cover the put options. When an up trend occursd a long position is engaged to cover the call option.

   

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
-29.20 14 - 3/1/2013 5/1/2014
-10.28 4 5 6/1/2012 10/1/2012
-0.78 1 1 4/1/2012 5/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
23.68 3 8/1/2011 10/1/2011
17.27 3 9/1/2014 11/1/2014
15.09 5 11/1/2012 3/1/2013
13.19 3 9/1/2015 11/1/2015
10.99 2 9/1/2013 10/1/2013
8.72 1 4/1/2015 4/1/2015
8.51 1 6/1/2014 6/1/2014
6.69 2 3/1/2012 4/1/2012
3.79 1 6/1/2012 6/1/2012
2.78 1 1/1/2014 1/1/2014
2.36 1 7/1/2013 7/1/2013
1.33 1 2/1/2015 2/1/2015
0.90 1 8/1/2012 8/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.23 4 2/1/2014 5/1/2014
-17.52 3 4/1/2013 6/1/2013
-12.91 3 12/1/2015 2/1/2016
-10.13 2 9/1/2012 10/1/2012
-8.62 2 11/1/2013 12/1/2013
-7.20 2 12/1/2014 1/1/2015
-4.50 1 3/1/2015 3/1/2015
-4.29 4 5/1/2015 8/1/2015
-3.52 2 7/1/2014 8/1/2014
-1.63 1 8/1/2013 8/1/2013
-1.06 1 7/1/2012 7/1/2012
-0.78 1 5/1/2012 5/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods55.0053.0050.0044.0038.0032.0020.00
Percent Profitable45.4554.7254.0043.1831.5818.7515.00
Average Period Return0.340.640.83-0.33-2.47-7.60-8.77
Average Gain4.477.138.1611.8815.137.022.10
Average Loss-3.87-7.87-7.77-9.61-10.59-10.98-10.68
Best Period13.2423.6823.6834.4534.0318.474.89
Worst Period-12.74-17.68-22.68-25.73-24.07-24.21-16.87
Standard Deviation5.178.9210.1113.1315.1310.606.51
Gain Standard Deviation3.435.235.728.3511.606.312.50
Loss Standard Deviation3.655.136.776.987.908.264.85
Sharpe Ratio (1%)0.050.040.03-0.10-0.26-0.91-1.81
Average Gain / Average Loss1.160.911.051.241.430.640.20
Profit / Loss Ratio1.201.191.230.940.660.150.03
Downside Deviation (10%)3.686.708.2812.1716.4220.6325.34
Downside Deviation (5%)3.526.157.199.5111.8813.8013.39
Downside Deviation (0%)3.486.016.938.8910.8512.3010.76
Sortino Ratio (10%)-0.02-0.09-0.20-0.44-0.61-0.87-0.97
Sortino Ratio (5%)0.070.060.05-0.14-0.33-0.70-0.88
Sortino Ratio (0%)0.100.110.12-0.04-0.23-0.62-0.81

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.