White Indian Trading Co. : SCS Program (Client)

Year-to-Date
2.79%
Sep Performance
0.41%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.35%
Sharpe (RFR=1%)
0.38
CAROR
4.71%
Assets
$ 252k
Worst DD
-19.44
S&P Correlation
0.07

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
2/2011
SCS Program (Client) 0.41 0.20 2.79 6.33 12.56 24.64 - 35.92
S&P 500 1.93 3.96 12.36 16.01 27.54 74.61 - 85.91
+/- S&P 500 -1.52 -3.76 -9.57 -9.68 -14.98 -49.96 - -50.00

Strategy Description

Summary

Unique SCS program that trades in 4 different market sectors and 7 different commodities to provide diversification... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 250k
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
5500 RT/YR/$M
Avg. Margin-to-Equity
40%
Targeted Worst DD
N/A
Worst Peak-to-Trough
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

Option-writing
66.00%
Trend-following
34.00%
Strategy Pie Chart

Composition

Currency Futures
42.00%
Interest Rates
29.00%
Stock Indices
16.00%
Energy
13.00%
Composition Pie Chart

Summary

Unique SCS program that trades in 4 different market sectors and 7 different commodities to provide diversification

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
-19.44 6 19 2/1/2015 8/1/2015
-16.45 3 7 5/1/2011 8/1/2011
-12.26 4 11 3/1/2013 7/1/2013
-6.45 4 2 6/1/2014 10/1/2014
-3.06 1 2 8/1/2012 9/1/2012
-1.32 1 1 6/1/2012 7/1/2012
-0.62 4 - 4/1/2017 8/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
15.92 4 11/1/2014 2/1/2015
15.40 7 4/1/2016 10/1/2016
13.68 5 2/1/2012 6/1/2012
12.16 5 2/1/2014 6/1/2014
9.75 1 9/1/2011 9/1/2011
9.69 6 10/1/2012 3/1/2013
8.59 4 2/1/2011 5/1/2011
7.96 5 9/1/2015 1/1/2016
7.29 3 8/1/2013 10/1/2013
3.41 3 2/1/2017 4/1/2017
1.72 1 8/1/2012 8/1/2012
1.51 1 4/1/2015 4/1/2015
1.35 1 12/1/2016 12/1/2016
1.02 1 8/1/2014 8/1/2014
0.83 1 12/1/2011 12/1/2011
0.75 1 12/1/2013 12/1/2013
0.41 1 9/1/2017 9/1/2017
0.13 1 6/1/2017 6/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.16 4 5/1/2015 8/1/2015
-16.45 3 6/1/2011 8/1/2011
-12.26 4 4/1/2013 7/1/2013
-5.72 2 9/1/2014 10/1/2014
-3.06 1 9/1/2012 9/1/2012
-2.99 1 11/1/2013 11/1/2013
-1.83 1 3/1/2015 3/1/2015
-1.78 1 7/1/2014 7/1/2014
-1.70 2 2/1/2016 3/1/2016
-1.32 1 7/1/2012 7/1/2012
-1.11 2 10/1/2011 11/1/2011
-0.71 1 1/1/2012 1/1/2012
-0.62 1 1/1/2014 1/1/2014
-0.59 1 11/1/2016 11/1/2016
-0.54 1 5/1/2017 5/1/2017
-0.39 1 1/1/2017 1/1/2017
-0.21 2 7/1/2017 8/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods80.0078.0075.0069.0063.0057.0045.0033.00
Percent Profitable63.7570.5172.0068.1269.8487.7284.44100.00
Average Period Return0.441.372.525.537.177.8512.6116.52
Average Gain2.114.366.6711.4111.719.0815.4316.52
Average Loss-2.60-5.80-8.15-7.02-3.37-0.94-2.66
Best Period9.7512.7615.5223.9930.1126.3234.1632.98
Worst Period-13.72-18.25-19.44-13.51-6.53-3.36-4.933.05
Standard Deviation3.286.168.0810.139.877.149.518.35
Gain Standard Deviation1.793.154.085.888.276.757.418.35
Loss Standard Deviation3.255.685.603.792.121.171.58
Sharpe Ratio (1%)0.110.180.250.450.570.821.011.49
Average Gain / Average Loss0.810.750.821.623.489.655.80
Profit / Loss Ratio1.481.802.103.478.0568.9031.48
Downside Deviation (10%)2.604.876.347.176.616.058.768.95
Downside Deviation (5%)2.474.465.414.992.911.192.360.18
Downside Deviation (0%)2.444.365.194.482.170.501.20
Sortino Ratio (10%)0.010.030.010.07-0.06-0.40-0.36-0.56
Sortino Ratio (5%)0.140.250.370.911.954.934.0671.03
Sortino Ratio (0%)0.180.310.491.233.3015.6410.53

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 10 3.03 9/2015
Option Strategy Index Month 4 -1.11 8/2015
Option Strategy Index Month 10 1.51 4/2015
Option Strategy Index Month 10 2.81 2/2015
Option Strategy Index Month 3 3.62 1/2015
Option Strategy Index Month 2 5.77 12/2014
Option Strategy Index Month 9 2.88 11/2014
Option Strategy Index Month 4 4.59 6/2014
Option Strategy Index Month 3 3.28 2/2014
Option Strategy Index Month 9 2.05 10/2013
Option Strategy Index Month 5 3.72 9/2013
Option Strategy Index Month 6 1.33 3/2013
Option Strategy Index Month 6 1.91 12/2012
Option Strategy Index Month 6 2.99 11/2012
Option Strategy Index Month 2 4.35 3/2012
Option Strategy Index Month 1 5.93 2/2012
Option Strategy Index Month 2 9.75 9/2011
Option Strategy Index Month 5 3.64 5/2011
Option Strategy Index Month 2 4.21 4/2011

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.