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Doherty Advisors, LLC

Relative Value - Moderate

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
20170.21%-0.05%0.24%0.12%        0.52%
20161.29%0.76%-0.21%0.08%0.43%-0.04%-0.12%0.30%0.49%0.30%0.02%0.10%3.44%
20151.31%0.66%0.59%0.11%0.09%-0.14%0.42%-1.45%2.40%-0.22%-0.08%0.81%4.55%
20140.31%0.52%0.72%0.16%0.11%-0.07%0.07%0.15%0.58%0.17%0.28%-0.13%2.91%
20130.02%0.16%-0.18%-0.32%-1.07%1.23%-0.19%0.44%-0.52%0.14%0.00%0.30%0.00%
20120.28%0.18%0.11%0.67%1.48%0.48%0.23%0.59%-0.64%0.84%0.67%0.24%5.23%
20110.09%0.46%0.17%-0.17%0.36%0.72%-0.32%-3.04%2.00%1.66%2.58%0.80%5.32%
20101.17%0.45%0.13%0.08%2.69%1.07%0.64%1.63%-0.48%0.41%0.37%0.23%8.69%
20091.05%3.80%0.59%1.88%0.51%1.36%0.01%0.67%0.22%-0.59%1.33%0.53%11.90%
2008-5.93%6.05%1.97%1.76%1.02%1.94%1.67%1.53%-6.83%-19.48%4.36%3.93%-10.47%
20071.44%-1.45%1.32%0.14%1.71%0.71%-2.74%3.48%2.67%1.49%2.70%2.44%14.62%
20060.60%0.57%0.54%0.67%-0.21%0.91%0.81%1.62%0.87%1.14%0.99%1.11%10.04%
20053.68%1.30%2.23%0.62%0.85%0.82%0.25%1.02%0.86%0.86%0.51%0.86%14.72%
20043.52%2.84%0.44%7.36%4.16%4.46%2.04%1.39%3.30%1.08%4.48%0.87%42.20%
2003     2.44%0.73%2.27%1.96%3.71%4.16%0.56%16.87%

Performance statistics — Feb 2007 to Apr 2017

Cumulative total return 224.69%
Annualized compound return 8.83%
Annualized standard deviation 7.75%
Monthly correlation to S&P 500 TRI 0.23
Annualized sharpe ratio (0%) 0.98
Monthly maximum loss (Oct 2008) -19.48%
Maximum drawdown (Sep 2008 - Oct 2008) -24.98%

Annual performance (%) — Jun 2003 to Apr 2017

Year or YTD Doherty Advisors, LLC S&P 500 TRIBTOP50 Index
20170.527.16-2.34
20163.4411.96-4.44
20154.551.38-0.92
20142.9113.6912.33
20130.0032.390.74
20125.2316.00-1.83
20115.322.11-4.25
20108.6915.066.38
200911.9026.46-4.77
2008-10.47-37.0013.58
200714.625.497.57
200610.0415.795.61
200514.724.912.76
200442.2010.880.86
200316.87--

Performance comparison: Growth of $10,000 invested since inception — Jun 2003 to Apr 2017

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — May 2007 to Apr 2017

Distribution of monthly returns — Jun 2003 to Apr 2017

Underwater curve — Jun 2003 to Apr 2017

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Company background

Doherty Advisors, LLC was formed on May 18, 2003 by Robert Doherty

Investment goal

The objective is to produce steady returns while preserving capital.

Markets traded

Options and futures on S&P500 Index and US 10-year Treasury notes and VIX futures.

Strategy

The Relative Value Volatility Program is a discretionary relative value volatility arbitrage trading approach. The strategy trades the shape of the volatility skew in the front two S&P500 and US Treasury listed options; two of the most liquid markets in the world. It is agnostic to direction of both the underlying markets and volatility itself.

Key personnel

Robert W. Doherty, Founder, Managing Partner & CIO  — Prior to forming Doherty & Associates in May of 2003, Mr. Doherty served from 1998 to 2003 as Executive Director of Proprietary Trading for CIBC Oppenheimer. While there, Mr. Doherty was responsible for proprietary trading and utilized various market neutral and relative value trading strategies within the equity and debt markets. Before joining CIBC in 1998, Mr. Doherty served for three years as a 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, Mr. Doherty served from 1992 to 1995 as Senior Vice Presisdent of Proprietary Trading in the government bond department of Kidder, Peabody & Co. There he traded option volatility skews and yield curve arbitrage. From 1988 to 1992 at Printon Kane Group, Mr. Doherty advanced from the training program to a yield curve arbitrage/option volatility trader. Trading included butterfly/barbell strategies, basis trading and eventually option volatility strategies. Mr. Doherty earned a Bachelor of Science Degree in Finance from Boston College in 1988.

 

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656