DCM Systematic : Diversified Alpha Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.59% Mar Performance 2.92% Min Investment $ 7,000k Mgmt. Fee 1.50% Perf. Fee 15.00% Annualized Vol 12.36% Sharpe (RFR=1%) 0.53 CAROR 7.06% Assets $ 154.0M Worst DD -9.12 S&P Correlation -0.19 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since2/2016 Diversified Alpha 2.92 -1.59 -1.59 1.76 29.31 42.53 - 42.24 S&P 500 4.24 9.21 9.21 58.70 55.31 97.12 - 110.12 +/- S&P 500 -1.32 -10.80 -10.80 -56.95 -26.00 -54.58 - -67.88 Strategy Description Investment StrategyDiversified Alpha uses a non-trend following strategy combining 19 quantitative models grouped into three categories: (i) behavioral, (ii) relative-value and (iii) macro. Behavioral models anticipate the flows of large market participants (e.g. CTAs) to take advantage of... Read More Account & Fees Type Managed Account Minimum Investment $ 7,000k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 1.00 Management Fee 1.50% Performance Fee 15.00% Average Commission Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 2500 RT/YR/$M Avg. Margin-to-Equity 15% Targeted Worst DD Worst Peak-to-Trough Sector Focus Diversified Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 0% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Composition Investment StrategyDiversified Alpha uses a non-trend following strategy combining 19 quantitative models grouped into three categories: (i) behavioral, (ii) relative-value and (iii) macro. Behavioral models anticipate the flows of large market participants (e.g. CTAs) to take advantage of their market impact. Relative-value models seize opportunities on spreads between economically-related instruments or across different maturities. Macro strategies use a broad range of statistical models derived from economic principles. These models allow us to generate returns from opportunities not available to typical CTAs. With a typical holding period of several weeks, the strategy aims to deliver superior risk-adjusted returns with a target annualized volatility between 11% and 15 %. The strategy started trading in February 2016. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -9.12 3 2 6/1/2018 9/1/2018 -7.76 6 5 4/1/2019 10/1/2019 -7.69 3 3 4/1/2017 7/1/2017 -6.90 3 4 9/1/2016 12/1/2016 -6.69 1 - 12/1/2020 1/1/2021 -5.07 1 1 10/1/2017 11/1/2017 -3.87 1 3 12/1/2018 1/1/2019 -3.32 2 5 2/1/2016 4/1/2016 -2.02 1 1 7/1/2020 8/1/2020 -1.77 1 2 9/1/2020 10/1/2020 -1.37 2 2 12/1/2017 2/1/2018 -0.88 1 3 3/1/2020 4/1/2020 Show More Consecutive Gains Run-up Length (Mos.) Start End 15.04 2 2/1/2020 3/1/2020 14.39 3 8/1/2017 10/1/2017 11.69 4 3/1/2018 6/1/2018 11.37 3 10/1/2018 12/1/2018 9.23 4 1/1/2017 4/1/2017 6.63 1 12/1/2017 12/1/2017 5.69 2 11/1/2019 12/1/2019 5.50 3 2/1/2019 4/1/2019 5.46 2 2/1/2021 3/1/2021 4.10 1 9/1/2020 9/1/2020 2.66 3 5/1/2016 7/1/2016 2.39 1 8/1/2019 8/1/2019 1.94 2 11/1/2020 12/1/2020 1.81 1 7/1/2020 7/1/2020 1.77 1 2/1/2016 2/1/2016 1.54 1 6/1/2019 6/1/2019 1.30 1 9/1/2016 9/1/2016 0.84 1 5/1/2020 5/1/2020 Show More Consecutive Losses Run-up Length (Mos.) Start End -9.12 3 7/1/2018 9/1/2018 -7.69 3 5/1/2017 7/1/2017 -6.90 3 10/1/2016 12/1/2016 -6.69 1 1/1/2021 1/1/2021 -5.96 2 9/1/2019 10/1/2019 -5.07 1 11/1/2017 11/1/2017 -4.28 1 5/1/2019 5/1/2019 -3.87 1 1/1/2019 1/1/2019 -3.32 2 3/1/2016 4/1/2016 -2.02 1 8/1/2020 8/1/2020 -1.77 1 10/1/2020 10/1/2020 -1.44 1 7/1/2019 7/1/2019 -1.37 2 1/1/2018 2/1/2018 -0.88 1 4/1/2020 4/1/2020 -0.58 1 1/1/2020 1/1/2020 -0.51 1 6/1/2020 6/1/2020 -0.31 1 8/1/2016 8/1/2016 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods62.003.006.0012.0018.0024.0036.0048.0060.00 Percent Profitable58.060.0016.6750.0088.8979.17100.0093.7586.67 Average Period Return0.63-4.22-2.430.5612.428.6315.4420.1817.14 Average Gain2.820.132.2814.3611.4615.4421.7620.22 Average Loss-2.40-4.22-2.94-1.16-3.11-2.14-3.57-2.90 Best Period14.37-1.590.133.4020.6219.4531.4143.1444.84 Worst Period-6.69-6.69-6.56-3.51-3.50-4.440.91-5.18-4.84 Standard Deviation3.572.552.512.078.378.619.8713.7015.34 Gain Standard Deviation2.830.946.577.319.8712.6214.12 Loss Standard Deviation1.842.552.431.210.551.782.311.75 Sharpe Ratio (1%)0.15-1.75-1.17-0.211.300.771.261.180.78 Average Gain / Average Loss1.180.051.984.615.366.106.97 Profit / Loss Ratio1.630.011.9836.8920.3891.5645.33 Downside Deviation (10%)2.165.835.414.864.297.246.399.9917.39 Downside Deviation (5%)1.994.933.721.711.542.090.352.073.34 Downside Deviation (0%)1.944.713.341.131.051.221.011.22 Sortino Ratio (10%)0.10-0.93-0.91-0.911.13-0.22-0.05-0.14-0.60 Sortino Ratio (5%)0.28-0.91-0.79-0.257.073.1635.037.803.60 Sortino Ratio (0%)0.32-0.90-0.730.5011.877.1020.0014.09 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. x {{title}} x {{title}} Add Cancel