Da Vinci Invest Ltd. : Da Vinci Arbitrage Funds Class I

archived programs
Year-to-Date
N / A
Aug Performance
0.77%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
7.81%
Sharpe (RFR=1%)
1.50
CAROR
13.16%
Assets
$ 40.2M
Worst DD
-5.37
S&P Correlation
0.10

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
1/2007
Da Vinci Arbitrage Funds Class I 0.77 - - - - - - 39.05
S&P 500 3.36 - - - - - - 140.86
+/- S&P 500 -2.59 - - - - - - -101.81

Strategy Description

Summary

-Hendrik Klein, 1973, the CEO / CFO and developer of the trading model, has spent his professional career as a proprietary derivatives trader in several markets for international banks. He worked as a fixed income, index option and equity Market Maker for the biggest German government... Read More

Account & Fees

Type Offshore Funds
Minimum Investment $ 250k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-Hendrik Klein, 1973, the CEO / CFO and developer of the trading model, has spent his professional career as a proprietary derivatives trader in several markets for international banks. He worked as a fixed income, index option and equity Market Maker for the biggest German government owned bank where he managed the bank's option and equity portfolio. He has a Diploma of Applied Sciences in Business Administration from the University Mittweida, Germany. Silvio Dietz, 1972, COO, prior to this role he traded derivatives and stocks in the financial markets for a proprietary trading company. He started his professional career at a discount brokerage company in Frankfurt, responsible for risk management and customer relationship management. He has a Diploma of Applied Sciences in Business Administration from the University Mittweida, Germany. Florian Albrecht, 1973, CIO, after his education as a banker, he worked as Eurex trader for MTH Group and Greenhouse Capital Management. Mr. Florian Albrecht has been trading since 1994 and is one of the most successful Eurex traders since 1996. Regulatory Registrations: Regulated by VQF membership in Zug (supervised by Swiss Federal Banking Commission) - membership nr. 12385 Strategy Da Vinci Invest's multi-strategy platform includes volatility trading in the form of sophisticated long / short gamma strategy, statistical arbitrage and relative value arbitrage. Our broad trading philosophy is an inefficiencies / statistical arbitrage approach. Currently we focus on worldwide options futures markets. Positions are delta neutral on daily market close and we concentrate on Gamma, Vega and Theta. By buying relatively low volatility and selling high volatility, we try to generate continuous profits in nearly every market situation. Short-term volatility overreactions in the options markets are used to build opposite positions. Each day we open or adjust new positions, unless the system recommends staying out of the market. The decision for opening and closing time of each strategy depends on statistical research done by analysts Our trading robots trade mainly spreads. These spreads tend to have a smaller risk than outright positions.. Trading instruments used (as % of AUM): We perform 3-4 option strategies per month. Each strategy usually consists of hedging transactions in six main options, (options of EUR/USD, OGBL, ODAX, ES, OESX and T-NOTE (testing)), but the main strategy with 80 % is OGBL FGBL, 10% Index Options, 10% FX Options, which uses between 3-15% margin of total AUM / NAV. Trading robots discretional directional trading strategies use also 3-15% margin of total AUM / NAV. In peak times 30% margin of total AUM / NAV is used. Description of the 'edge' compared to other hedge funds of same peer group: Stability, consistency and low market risk. Affiliation with excellent software engineers located in Zurich. Independent account control by trading robots and human supervisory. Volatility analysis of the bond markets and dispersion between stock markets, trading robots, risk management and statistical research

   

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
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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
-5.37 2 8 11/1/2007 1/1/2008
-1.22 1 3 2/1/2007 3/1/2007
-0.99 1 - 6/1/2009 7/1/2009
-0.01 1 1 9/1/2008 10/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
25.43 8 4/1/2007 11/1/2007
5.90 8 11/1/2008 6/1/2009
5.58 4 6/1/2008 9/1/2008
5.51 2 1/1/2007 2/1/2007
1.97 2 2/1/2008 3/1/2008
0.77 1 8/1/2009 8/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.37 2 12/1/2007 1/1/2008
-1.22 1 3/1/2007 3/1/2007
-1.18 2 4/1/2008 5/1/2008
-0.99 1 7/1/2009 7/1/2009
-0.01 1 10/1/2008 10/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods32.0030.0027.0021.0015.00
Percent Profitable78.1380.0088.89100.00100.00
Average Period Return1.063.206.9412.5218.26
Average Gain1.714.528.2212.5218.26
Average Loss-1.26-2.06-3.27
Best Period8.9718.7124.7529.1427.02
Worst Period-4.21-4.98-4.640.715.99
Standard Deviation2.255.437.687.318.25
Gain Standard Deviation2.025.227.167.318.25
Loss Standard Deviation1.371.951.20
Sharpe Ratio (1%)0.430.540.841.582.03
Average Gain / Average Loss1.362.192.52
Profit / Loss Ratio4.848.7620.13
Downside Deviation (10%)0.981.691.991.110.41
Downside Deviation (5%)0.861.311.300.06
Downside Deviation (0%)0.841.221.14
Sortino Ratio (10%)0.661.172.256.7825.84
Sortino Ratio (5%)1.132.264.97180.92
Sortino Ratio (0%)1.272.636.11

Top Performer Badges

Index Award Type Rank Performance Period

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