Loading...


Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: Oct-2024
Please wait for your Report to Fully Load Print to PDF

Report Start Date Report End Date

Buckingham Global Advisors, LLC / Small E MINI (SEP)
Accepting New Investors: Yes ST / Systematic / Option Writer / E Mini


Performance Since January 2019

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
20191.63% 1.72% 1.85% 1.20% -1.32% 1.87% 1.03% 1.29% 1.23% 0.94% 1.20% 1.51%
2020 1.31% -10.11% -3.55% 0.71% 0.32% 1.35% 1.66% 1.37% 1.26% -1.80% 1.32% 1.91%
2021 -0.84% 0.22% 2.52% 1.29% 0.46% 2.11% 1.75% 1.05% 1.21% 1.64% -2.90% 2.44%
2022 -2.15% -6.99% 3.34% -0.88% 3.92% -1.00% 2.54% 2.40% 0.05% 2.95% 1.58% 0.55%
2023 1.30% 1.40% -0.88% 1.54% 1.56% 1.74% 2.20% 1.86% 1.41% 2.21% 1.60% 1.83%
2024 1.63% 2.09% 2.48% -0.18% 2.91% 2.54% 2.25% -4.40% -1.64% 2.66%  

 201920202021202220232024 YTD
ROR15.06%-4.84%11.36%5.94%19.25%10.56%
Max DD-1.32%-13.30%-2.90%-8.99%-0.88%-5.97%

The Notes Below Are An Integral Part of this Report | Track Record Compiled By: Buckingham Global Advisors, LLC

Program Description:
1. Buckingham's Weekly E-mini Program (SEP) is a commodity option strategy employing an absolute return investment approach. The Strategy primarily writes (sells) a series of out of money (OTM) call and put options on S&P 500 E-mini futures.
2. SEP focuses on short duration derivatives - the option expires within 30 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 according to our proprietary Quant model.
3. SEP adopts the risk management mechanism both in position and portfolio level (same as WEP, hedging based on daily P/L).
4. SEP aims for Sharpe Ratio +2.5 long term (5+ years) considering tail risk due to the economic cycles.

Investment Information
Program Start Date Nov-2018
Minimum Investment 60,000
Management Fee 2.00%
Incentive Fee 20.00%
Margin 25-60%
Round Turns per Million 8,000
Currency US Dollar
NFA No: #0487899
Trading Strategy       Market Segment      

Loading chart...

Program Statistics
Peak-to-Valley Drawdown (1) (Jan 2020 - Mar 2020) -13.30%
Worst Monthly Return (Feb 2020) -10.11%
Current Losing Streak -3.47%
Average Monthly Return 0.79%
Annualized Statistics
Annualized Compounded ROR (2) 9.56%
Standard Deviation 7.82%
Sharpe Ratio (4) 1.08
36 Month Calmar Ratio (3) 1.22
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN.
Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com


Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: Oct-2024
Please wait for your Report to Fully Load Print to PDF



Time Window Analysis
Length Best Average Worst
1 mo 3.9% 0.8% -10.1%
3 mo 7.9% 2.3% -12.7%
6 mo 12.7% 4.9% -10.1%
12 mo 25.1% 9.5% -6.9%
18 mo 34.8% 14.4% -0.7%
24 mo 47.5% 19.5% 2.4%
36 mo 49.6% 28.4% 6.7%
Historical Drawdown and Recoveries***
Start Depth Length Recovery End
Feb-20 -13.30% 2 mo 16 mo Jul-21
Nov-21 -9.47% 4 mo 6 mo Aug-22
Aug-24 -5.97% 2 mo 1 mo n/a
May-19 -1.32% 1 mo 1 mo Jun-19
Mar-23 -0.88% 1 mo 1 mo Apr-23
Apr-24 -0.18% 1 mo 1 mo May-24

Comparisons                                        ProgramSP 500 TR
Annualized Compound ROR 9.56%17.06%
Cumulative Return 70.31%150.68%
Cumulative VAMI (5) 17032507
Largest Monthly Gain 3.92%12.82%
Largest Monthly Loss -10.11%-12.35%
Correlation —0.484
Last 12 Months 14.39%38.01%
Last 36 Months 38.93%29.81%

Loading chart...

Loading chart...
Loading chart...
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN.
Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com


Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: Oct-2024
Please wait for your Report to Fully Load Print to PDF



+ NOTES:

** The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.

Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

Statistical Notes

1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2019-01-31 to 2024-10-31

2. The Annualized Compounded ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.

3. Calmar Ratio Uses last 36 months of Data

ROR = Rate of Return

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com