Bighorn Capital Partners : Denali

archived programsClosed to new investments
Year-to-Date
0.62%
Feb Performance
-0.35%
Min Investment
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
11.12%
Sharpe (RFR=1%)
-0.53
CAROR
-5.41%
Assets
$ 303k
Worst DD
-24.07
S&P Correlation
0.07

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Feb Qtr YTD 1yr 3yr 5yr 10yr Since
8/2015
Denali -0.35 -1.10 -0.62 -21.54 -16.42 - - -18.06
S&P 500 2.97 0.88 11.08 2.60 42.65 - - 39.76
+/- S&P 500 -3.32 -1.98 -11.69 -24.15 -59.07 - - -57.83

Strategy Description

Summary

The Denali Program, traded by Mike Wanninger, utilizes a discretionary fundamental managed futures strategy that focuses on the grain markets. Proprietary methodology is used to identify potential trading opportunities in the following markets; corn, wheat, KC wheat, soybeans and soybean... Read More

Account & Fees

Type
Managed Account
Minimum Investment
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
0%
Performance Fee
0%
Average Commission
$12.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1000 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Agricultural Traders

Holding Periods

Over 12 Months
0%
4-12 Months
25.00%
1-3 Months
50.00%
1-30 Days
25.00%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Grains
100.00%
Composition Pie Chart

Summary

The Denali Program, traded by Mike Wanninger, utilizes a discretionary fundamental managed futures strategy that focuses on the grain markets. Proprietary methodology is used to identify potential trading opportunities in the following markets; corn, wheat, KC wheat, soybeans and soybean products, all the while keeping the margin to equity ratio to less than 10%. Mr. Wanninger takes a conservative approach in his trading. He utilizes futures, options and spreads. His trading bias is based upon the idea that markets move in a general direction based upon fundamentals (the underlying principles of supply, demand, and the cash market.) Technical analysis is used to help more precisely time entry and exit strategies.

Investment Strategy

Mr. Wanninger’s trading philosophy, by nature, tends to result in less volatility within the trading platform. Spread trades versus outright futures positions are utilized to capture futures directional trade bias thus reducing exposure to excessive drawdowns. Decisions whether to trade a particular commodity contract are also based upon various factors including liquidity, diversification, and crop potential, both historical and at a given time. The Denali Program utilizes fundamentals to help determine trades to one degree or another. In addition, historical and seasonal patterns are reviewed, which may indicate the direction the market may move in the future.

Risk Management

Risk management is a central aspect of our trading program. With an eye to limiting exposure Mr. Wanninger monitors and assesses risk based on trade expectation, the volatility of market traded and the nature of other current positions. All of these factors are taken in to account in deciding whether to take a position and determining the amount of equity to commit to the position. Protective stops may, on occasion, be used to control risks. We keep Margin to Equity to less than 10%, and the average is closer to 6%.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-24.07 10 - 4/1/2018 2/1/2019
-11.52 18 3 6/1/2016 12/1/2017
-4.06 4 2 10/1/2015 2/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
14.73 4 1/1/2018 4/1/2018
8.43 4 3/1/2016 6/1/2016
6.76 1 7/1/2018 7/1/2018
2.45 3 4/1/2017 6/1/2017
2.18 3 8/1/2015 10/1/2015
2.04 1 1/1/2016 1/1/2016
1.54 2 1/1/2017 2/1/2017
1.10 1 11/1/2016 11/1/2016
0.20 1 9/1/2016 9/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.51 7 8/1/2018 2/1/2019
-12.73 2 5/1/2018 6/1/2018
-10.39 6 7/1/2017 12/1/2017
-3.61 1 3/1/2017 3/1/2017
-3.37 2 11/1/2015 12/1/2015
-2.70 1 2/1/2016 2/1/2016
-1.94 2 7/1/2016 8/1/2016
-0.47 1 12/1/2016 12/1/2016
-0.41 1 10/1/2016 10/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable46.5141.4644.7437.5046.1530.00
Average Period Return-0.41-1.29-2.52-3.32-5.41-7.43
Average Gain1.933.674.074.332.523.36
Average Loss-2.44-4.81-7.85-7.92-12.20-12.05
Best Period7.1713.0711.988.426.306.98
Worst Period-10.79-15.97-21.71-21.54-21.44-22.91
Standard Deviation3.215.818.377.658.9910.06
Gain Standard Deviation2.013.853.901.752.293.04
Loss Standard Deviation2.624.157.125.896.578.22
Sharpe Ratio (1%)-0.15-0.27-0.36-0.57-0.77-0.94
Average Gain / Average Loss0.790.760.520.550.210.28
Profit / Loss Ratio0.690.540.420.330.180.12
Downside Deviation (10%)2.815.579.2911.2115.7020.21
Downside Deviation (5%)2.634.968.088.3811.0913.51
Downside Deviation (0%)2.594.817.807.7310.0912.07
Sortino Ratio (10%)-0.29-0.45-0.54-0.74-0.83-0.87
Sortino Ratio (5%)-0.19-0.31-0.37-0.52-0.62-0.70
Sortino Ratio (0%)-0.16-0.27-0.32-0.43-0.54-0.62

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 1 6.76 7/2018
Discretionary Trader Index Month 1 6.76 7/2018
Agricultural Trader Index Month 1 6.76 7/2018
Agricultural Trader Index Month 4 1.47 4/2018
Agricultural Trader Index Month 4 1.47 4/2018
Agricultural Trader Index Month 6 1.83 3/2018
Discretionary Trader Index Month 6 3.61 2/2018
Agricultural Trader Index Month 3 3.61 2/2018
Discretionary Trader Index Month 4 7.17 1/2018
Agricultural Trader Index Month 1 7.17 1/2018

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.