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Doherty Advisors LLC 

Relative Value Plus (RVP)

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:Jun 1, 2011
AUM:$34,000,000
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$1,000,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:18.06%75.64%
Annual ROR:3.69%13.08%
YTD:0.00%5.53%
1 Year:0.00%14.40%
Alpha:0.43
Beta:-0.15
Statistics Program S&P 500
Average Monthly Gain:1.14%2.88%
Average Monthly Loss:-0.62%-2.78%
Winning Months:2935
Losing Months:2620
Current DD:0.783.01
Max DD:3.7312.45
Sharpe Ratio (RF 1%):0.58
Annualized Std Dev:4.61

Methodology

Discretionary:100%
Systematic:0%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodShort Term
---------------------------
Arbitrage:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20152.350.280.72-0.20-0.19-0.120.00-0.743.98-1.52-0.451.215.33
20140.800.191.05-0.05-0.24-0.490.28-0.311.08-0.390.05-0.321.65
2013-0.490.02-0.62-0.65-1.671.82-0.810.76-0.75-0.53-0.18-0.07-3.17
2012-0.310.01-0.320.952.940.260.060.69-0.931.270.880.335.93
20111.43-0.08-3.654.210.953.601.017.50

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The trading strategy is a combination of the flagship KBD Relative Value, Class C, which is a pure relative value / market neutral volatility arbitrage, and Grey Swan Equity Hedge Program.
Essentially, KBD trades the shape of the volatility skew in the front two S&P 500 and US Treasury listed options, two of the most liquid markets in the world.
Grey Swan is a long only S&P 500 put option hedging strategy, which removes the tail risk. The strategy is agnostic as to direction of both the underlying markets and volatility itself. One feature that separates it from other volatility strategies is that KBD Capital Partners is a small payer of premium each month, though it remains slightly net short options on a notional basis. Generally, the net delta and gamma exposures are between +10% to -10% over 90% of the time. There is no basis or calendar risk.

1)Asset allocation limit: No one asset class can be more than 70% of risk (we only trade two asset classes and the current ratio of 65% S&P 500 and 35% US Treasuries has not changed for over 5 years).
2)Net Delta Exposure: Limit is +/- 30%. However, our comfort zone is +/-10% and on a daily basis over 90% of the time the delta has been +/-3%. We keep directional (beta) exposure to an absolute minimum.
3)Gamma: +/-30%. Typically, our gamma exposure is close to flat.
4)Leverage: Max 3:1. This is calculated as the delta equivalent of assuming ALL of our short put options go to a delta of 1. Furthermore, margin is capped at 20%. Our average margin usage is 8% to 11%. Even in the market freefall of Oct 2008 our margin go up to only 17%.
5)Stop-loss limits: a 5% intra month loss leads to gamma reduction of 50%. A further 5% loss leads to another 50% cut in gamma.

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.