Trading Strategy: ST / Systematic / Option Writer / E Mini
Principal(s): Chong Dai
Trading Description: Weekly E-Mini Program is a systematic VIX-hedged option program guided by a proprietary trading model developed to trade the E-mini weekly volatility and designed to anticipate when the market is in or about to enter a turbulent time. WEP uses a proprietary options strategy, which includes options selling and options writing, to capitalize on the systematic entry signals produced by the program. The VIX futures hedging is designed to anticipate when the market is in or about to enter a turbulent time. WEP has been refined to achieve the desired returns while limiting account drawdowns. Products traded in WEP are E- mini S&P 500 futures and options and VIX futures. The program does not short VIX futures.
WEP focuses on short duration derivatives - the option expires within 2-8 days, because the time decay is the greatest in those final days. It does this primarily by identifying the option strikes with best risk/reward ratio.
WEP uses historical value analysis to assess the attractiveness of any trading opportunities. BGA focuses on top down and macro themes. We employ volatilities matrix and short term market indicators to determine trade entry, exit and weights. Our strategy uses a combination of fundamental (30%) and technical inputs (70%).
Charles Dai, CEO/CIO
Mr. Dai is the Chief Executive Officer of Buckingham Global Advisors, LLC., and the Portfolio Manager for the WEP and ASP strategies. Mr. Dai spent the early years of his career in a computer and software engineering capacity including employment at EMC Corporation and Ford Motor Company. In May 2008, Mr. Dai started his professional finance career with Deutsche Bank as a trader in the Asia equity proprietary trading desk. Mr. Dai left Deutsche Bank during the financial crisis, returning to Chicago to complete graduate school. Mr. Dai obtained MBA degree in Finance from the University of Chicago, Booth School of Business in June of 2009. Upon graduation, Mr. Dai was hired as a Senior Quantitative Analyst for Modern Asset Group, a Commodity Pool Operator in Chicago. In this role, Mr. Dai spearheaded the development of a firm-wide strategy in selecting partner trading advisors, as well as designing a risk management policy. In December 2011, Mr. Dai moved to California due to family relocation. Between January 2012 and April 2016, Mr. Dai worked for Western Asset Management Company, one of the biggest bond funds on the West Coast as a Project Manager/Business Analyst in derivative trading. Since 2014, Mr. Dai had been actively prepared to offer investment services and eventually launched Weekly E Mini Program (“WEP”) to outside investors in March 2015. Mr. Dai currently oversees all of Buckingham's investment strategies and trade execution.
Option Writer Option Spread Other Option Strategy Volatility Quantitative Mean Reversion
100% Short Term
50% Spread Trading 50% Option Trading
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING. THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.
Margin to Equity: (7)
Worst Drawdown: (3)
Fees paid Monthly
Current Losing Streak: (2)
Avg Commission: (8)
Sharpe Ratio 1% RF ROR: (5)
Round Turns per Mil: (9)
Calmar Ratio 36 Months: (6)
NFA Member: Yes
Third Party Accountant: Buckingham Global Advisors, LLC
NFA ID: 0487899
Other Memberships: None Listed
Peer Correlations (Autumn Gold Indexes are Non-Investable)
AG CTA Index: 0.496  AG Systematic CTA Index: 0.381
(P) - Proprietary Trading Results
(C) - Client Trading Results
1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a CTA trades based on account unit rather than on account equity.
The Annual Compound
Rate of Return represents the compounded rate of return
for each year or portion thereof presented. It is computed by
applying successively respective monthly rate of return for each
month beginning with the first month of that period.
Annual Rate of Return is calculated adding each month's return.
2. The Current Losing Streak represents the extent of the Adviso'rs current drawdown.
3. From Start Date of Program - The Worst
Peak-to-Valley Drawdown is defined as the greatest cumulative
percentage decline in net asset value due to losses sustained
by the trading program during any period in which the initial
net asset value is not equaled or exceeded by a subsequent asset
4. Omega Function takes all of the performance data into consideration. The flatter the distribution the more risky the investment. "The distribution mean is where the omega function equals 1. "Omega provides practitioners with an extremely useful tool since it accounts for the non-normal distributions of returns which are commonplace in finance, particularly for alternative investments. ...omega incorporates all the moments of the distribution and is therefore appropriate for investment analysis when returns are not normally distributed. Second, even for normally distributed returns, omega provides additional information since it takes into account the investor's preferences for loss and gain. Finally, omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually. It can therefore reduce the estimation error risk." [Abrams, Ray, Ranjan Bhaduri, PHD, CFA, CAIA, and Elizabeth Flores, CAIA. "Litner Revisted: A Quantitative Analysis of Managed Futures for Plan Sponsors, Endowments and Foundations. CME Group (May 2012): 12-14. Print]
5. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.
6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.
7. Margin to Equity represents the average margin as a percent of a fully funded account.
8. The Average Commission represents the average commission
rate of the composite track record. A higher or lower commission
rate would increase or decrease the performance accordingly.
9. Round Turns per Million represent the average number of round turns that would be generated in a $1,000,000 account.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
RISK OF TRADING COMMODITY FUTURES AND OPTIONS IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY
FUTURES AND OPTIONS CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS
HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS.
YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE
YOU SHOULD SEEK PROFESSIONAL ADVICE. PAST PERFORMANCE DOES NOT GUARANTEE
FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL
COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES,
MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF
THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED
BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE
TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES,
CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE
RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S
"REQUEST DISCLOSURE DOCUMENT" BUTTON. THE FULL RISK OF COMMODITY
FUTURES AND OPTIONS TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE
STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY
READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE
AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION
AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON
THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE
ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS
ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR
CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM
SOLELY ON THE PAST PERFORMANCE PRESENTED.
ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST
ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE
TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE
MERITS AND RISKS INVOLVED.