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Doherty Advisors LLC 

Grey Swan Equity Hedge

Manager: Robert Doherty

Address: 400 Madison Avenue, Suite 6A, New York, NY, 10017, U.S.A.

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Apr 1, 2010
AUM:$20,000,000
QEP:Yes
Incentive Fee:15%
Annual Mgt Fee:1.65%
Min Investment:$10,000,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:-10.88%106.57%
Annual ROR:-1.98%13.45%
YTD:0.00%7.90%
1 Year:0.00%15.09%
Alpha:-0.06
Beta:-0.13
Statistics Program S&P 500
Average Monthly Gain:0.42%3.14%
Average Monthly Loss:-0.39%-2.91%
Winning Months:1943
Losing Months:5026
Current DD:13.153.01
Max DD:13.5617.03
Sharpe Ratio (RF 1%):-1.61
Annualized Std Dev:1.85

Methodology

Discretionary:100%
Systematic:0%

Strategy

StrategySingle Strategy
DirectionalShort
Holding PeriodLong & Short Term
---------------------------
Option Purchase:50%
Option Spreads:50%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20150.29-0.57-0.12-0.24-0.210.09-0.541.310.35-0.94-0.260.02-0.83
20140.28-0.45-0.10-0.19-0.29-0.230.14-0.380.10-0.42-0.28-0.06-1.87
2013-0.37-0.17-0.29-0.17-0.08-0.02-0.440.02-0.02-0.52-0.12-0.38-2.53
2012-0.62-0.33-0.38-0.080.58-0.50-0.20-0.21-0.280.02-0.12-0.04-2.14
2011-0.26-0.31-0.34-0.57-0.150.100.230.650.57-1.32-0.27-0.31-1.98
20100.231.281.09-2.230.55-1.31-0.61-0.12-0.89-2.04

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The strategy implements different series of long put and put spreads within the S&P 500 Index across various expiration time cycles. The strategy only trades S&P 500 options listed on the Chicago Mercantile Exchange. These options are the most LIQUID in the world, are fully TRANSPARENT and marked-to-market daily by the exchange. We trade no OTC options. The LONG-ONLY put strategy always has positive gamma exposure and a very DEFINED level of possible downside to the portfolio. The portfolio will only seek to spend .10-.17bp per month in premium paid (1.2-2% annually, this would depend on the overall level of volatility). Thus, the maximum loss to the portfolio annually would be 1.2%-2%. This downside profitability/protection comes at a very cheap price, especially when compared to short-only equity managers that are used by portfolios to mitigate risk.

Company Info

KBD Capital Partners, L.P. (the "Partnership") was organized and began trading in June 2003. The Partnership is a Delaware limited partnership, and its sole general partner is Doherty Advisors, LLC, a Delaware limited liability company ("General Partner"). Robert W. Doherty is the founder of the General Partner and the Management Company. He is responsible for the management of the Partnership's portfolio and for the day-to-day operation of the Partnership.
Mr. Doherty has 19 years of experience as a trader for major financial institutions and over his career has developed market expertise in fixed-income and equity instruments and trading strategies that include yield curve arbitrage, fixed-income futures and options, Eurodollar futures and options, and equity index futures and options. He is registered as a CPO and CTA, and is subject to regulation by the CFTC, and is a member of the NFA.

Manager Info

Prior to forming Doherty Advisors in May of 2003, Robert served from 1998 to 2002 as Executive Director of Debt Capital Markets for CIBC World Markets. At CIBC, Robert was responsible for proprietary trading and utilized various market neutral and relative value trading strategies.

Before joining CIBC in 1998, Robert served three years as Managing Director with Fuji Securities, a division of Fuji Bank, where he was responsible for proprietary trading in the government bond department. Prior to that, Robert was employed at Kidder, Peabody & Co., where he served from 1993 to 1995 as Senior Vice President in charge of the intermediate sector of the yield curve. From 1988 to 1993 at Printon, Kane Group Robert advanced from the training program to a yield curve arbitrage/relative value trader. Trading included butterfly/barbell strategies, basis trading and eventually option volatility strategies.