Daksh Asset Management Limited : Visorr

archived programs
Year-to-Date
N / A
Aug Performance
5.26%
Min Investment
$ 60k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.59%
Sharpe (RFR=1%)
1.17
CAROR
12.47%
Assets
$ 275k
Worst DD
-7.18
S&P Correlation
0.06

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
3/2013
Visorr 5.26 - - - - 0.00 - 34.14
S&P 500 -6.26 - - - - 87.92 - 120.80
+/- S&P 500 11.52 - - - - -87.92 - -86.66

Strategy Description

Summary

Daksh's approach relies on proposing a trading hypothesis based on our understanding of the market and rigorously testing the hypothesis on data. A strategy must demonstrate high profitability after adjusting for risk and drawdowns before being accepted. We are willing to accept even... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 60k
Trading Level Incremental Increase $ 60k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency 1015 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough 12.61%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

VIX
100.00%
Composition Pie Chart

Summary

Daksh's approach relies on proposing a trading hypothesis based on our understanding of the market and rigorously testing the hypothesis on data. A strategy must demonstrate high profitability after adjusting for risk and drawdowns before being accepted. We are willing to accept even large drawdowns if the returns rebound quickly, the risk of margin shortfall is controlled for and the adjusted returns are still attractive.

Investment Strategy

The strategy relies on statistical and behavioural modelling of the VIX futures market to generate returns. This is a directional strategy and can be net long or short volatility. The strategy's output is rigorously adhered to while trading. News and opinions are intentionally ignored. Rather, the strategy waits for the news to filter through to the price and then tries to profit from the subsequent price movement.

Risk Management

The program takes outright positions on the futures or on a calendar spread depending on the environment. Margin to equity ranges between 6%-15%. Existing positions are closed out and trading halted when the strategy deems that the market volatility is too extreme and breaches the modelling assumptions.

   

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:
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Risk
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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:
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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
-7.18 1 3 12/1/2014 1/1/2015
-6.81 3 4 1/1/2014 4/1/2014
-3.39 1 1 6/1/2015 7/1/2015
-2.15 2 2 8/1/2014 10/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
20.46 11 3/1/2013 1/1/2014
14.52 5 2/1/2015 6/1/2015
10.37 4 5/1/2014 8/1/2014
5.26 1 8/1/2015 8/1/2015
2.35 2 11/1/2014 12/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.18 1 1/1/2015 1/1/2015
-6.81 3 2/1/2014 4/1/2014
-3.39 1 7/1/2015 7/1/2015
-2.15 2 9/1/2014 10/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable76.6775.0084.0094.74100.00
Average Period Return1.022.875.408.5413.13
Average Gain2.194.606.849.2613.13
Average Loss-2.81-2.31-2.15-4.38
Best Period5.8910.1414.3518.0323.90
Worst Period-7.18-6.81-4.20-4.385.00
Standard Deviation2.774.145.104.885.97
Gain Standard Deviation1.652.954.143.855.97
Loss Standard Deviation2.182.521.70
Sharpe Ratio (1%)0.340.630.961.551.95
Average Gain / Average Loss0.781.993.182.11
Profit / Loss Ratio2.565.9716.7138.04
Downside Deviation (10%)1.842.132.022.190.92
Downside Deviation (5%)1.701.731.211.23
Downside Deviation (0%)1.671.641.041.00
Sortino Ratio (10%)0.330.771.451.626.04
Sortino Ratio (5%)0.551.514.056.11
Sortino Ratio (0%)0.611.755.188.50

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.