White Indian Trading Co. : SCS Program (Proprietary)

Year-to-Date
4.44%
Jun Performance
0.26%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.06%
Sharpe (RFR=0.50%)
0.51
CAROR
6.03%
Assets
$ 200k
Worst DD
-22.47
S&P Correlation
0.15

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
8/2010
SCS Program (Proprietary) 0.26 0.83 4.44 19.12 4.29 21.27 - 49.97
S&P 500 0.33 2.41 8.08 15.29 23.44 77.64 - 130.56
+/- S&P 500 -0.07 -1.58 -3.64 3.83 -19.15 -56.36 - -80.59

Strategy Description

Summary

The system involves two phases. Phase one of the trade involves the selling of the high premium option straddle (Put and Call option at the same strike price). These tend to be the highest premium and most liquid options available for that particular commodity. With Phase two... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 200k
Trading Level Incremental Increase
$ 200k
CTA Max Funding Factor
1.50
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
6000 RT/YR/$M
Avg. Margin-to-Equity
40%
Targeted Worst DD
-14.00%
Worst Peak-to-Trough
1.00%
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

The system involves two phases. Phase one of the trade involves the selling of the high premium option straddle (Put and Call option at the same strike price). These tend to be the highest premium and most liquid options available for that particular commodity. With Phase two the program then places stop orders in the underlying futures contract to cover one side of the option trade should the market move decidely in one direction. The system is designed to become Delta Neutral once the underlying futures contract moves/trends in a direction. The system will lose month on Whips and Gaps. Here is a link to the article I wrote about the system in Futures Magazine - http://www.futuresmagdigital.com/futuresmag/201101#pg40

Investment Strategy

The system involves two phases. Phase one of the trade involves the selling of the high premium option straddle (Put and Call option at the same strike price). These tend to be the highest premium and most liquid options available for that particular commodity. With Phase two the program then places stop orders in the underlying futures contract to cover one side of the option trade should the market move decidely in one direction. The system is designed to become Delta Neutral once the underlying futures contract moves/trends in a direction. The system will lose on Whips and Gaps.

Risk Management

the program then places stop orders in the underlying futures contract to cover one side of the option trade should the market move decidely in one direction.

   

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=0.50%)
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=0.50%)
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
-22.47 6 19 2/1/2015 8/1/2015
-14.69 3 19 5/1/2011 8/1/2011
-13.47 4 11 3/1/2013 7/1/2013
-7.26 4 4 6/1/2014 10/1/2014
-0.59 1 - 4/1/2017 5/1/2017
-0.59 1 1 2/1/2011 3/1/2011
-0.49 1 1 9/1/2010 10/1/2010
-0.41 1 1 1/1/0001 8/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
18.17 4 11/1/2010 2/1/2011
18.13 7 4/1/2016 10/1/2016
17.38 7 12/1/2013 6/1/2014
12.95 6 10/1/2012 3/1/2013
8.28 5 9/1/2015 1/1/2016
8.21 2 4/1/2011 5/1/2011
8.01 3 8/1/2013 10/1/2013
7.50 2 1/1/2015 2/1/2015
6.75 1 9/1/2010 9/1/2010
6.04 3 2/1/2017 4/1/2017
5.72 1 9/1/2011 9/1/2011
3.39 3 3/1/2012 5/1/2012
3.36 1 11/1/2014 11/1/2014
2.66 1 5/1/2015 5/1/2015
2.22 1 8/1/2012 8/1/2012
1.67 1 12/1/2016 12/1/2016
1.30 1 8/1/2014 8/1/2014
0.26 1 6/1/2017 6/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.74 3 6/1/2015 8/1/2015
-14.69 3 6/1/2011 8/1/2011
-13.47 4 4/1/2013 7/1/2013
-6.74 2 9/1/2014 10/1/2014
-4.72 2 3/1/2015 4/1/2015
-3.62 1 9/1/2012 9/1/2012
-3.28 1 11/1/2013 11/1/2013
-2.07 1 12/1/2014 12/1/2014
-1.83 1 7/1/2014 7/1/2014
-1.76 2 6/1/2012 7/1/2012
-1.21 2 2/1/2016 3/1/2016
-1.18 1 1/1/2017 1/1/2017
-1.15 5 10/1/2011 2/1/2012
-0.66 1 11/1/2016 11/1/2016
-0.59 1 5/1/2017 5/1/2017
-0.59 1 3/1/2011 3/1/2011
-0.49 1 10/1/2010 10/1/2010
-0.41 1 8/1/2010 8/1/2010
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods83.0081.0078.0072.0066.0060.0048.0036.00
Percent Profitable60.2466.6769.2359.7257.5866.6777.0883.33
Average Period Return0.551.673.134.254.684.387.8310.70
Average Gain2.555.258.2012.8812.929.5212.0713.73
Average Loss-2.82-5.93-8.27-8.54-6.50-5.91-6.44-4.44
Best Period10.8416.2525.5327.8828.4925.0124.6443.59
Worst Period-13.65-20.74-22.47-21.33-16.12-12.45-11.20-11.56
Standard Deviation3.486.679.9312.3411.979.149.4512.99
Gain Standard Deviation1.923.406.376.678.136.315.7711.99
Loss Standard Deviation3.175.816.405.955.393.293.134.24
Sharpe Ratio (1%)0.150.230.290.300.330.370.670.67
Average Gain / Average Loss0.900.890.991.511.991.611.873.09
Profit / Loss Ratio1.561.912.232.242.703.226.3115.46
Downside Deviation (10%)2.655.096.919.389.9410.1212.1515.86
Downside Deviation (5%)2.504.625.866.845.854.404.073.12
Downside Deviation (0%)2.484.575.756.575.463.883.402.41
Sortino Ratio (10%)0.050.090.10-0.08-0.29-0.58-0.65-0.68
Sortino Ratio (5%)0.200.330.490.550.670.771.552.78
Sortino Ratio (0%)0.220.370.540.650.861.132.304.45

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.