DCM Systematic : Diversified Alpha

Year-to-Date
18.11%
Sep Performance
4.10%
Min Investment
$ 7,000k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
12.43%
Sharpe (RFR=1%)
0.61
CAROR
8.18%
Assets
$ 138.0M
Worst DD
-9.12
S&P Correlation
-0.27

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
2/2016
Diversified Alpha 4.10 3.84 18.11 20.46 42.08 - - 44.35
S&P 500 -3.92 8.47 4.09 12.98 32.33 - - 72.28
+/- S&P 500 8.02 -4.63 14.02 7.49 9.75 - - -27.93

Strategy Description

Investment Strategy

Diversified 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 $ 0k
CTA Max Funding Factor
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 Strategy

Diversified 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.

   

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
-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
-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
-1.37 2 2 12/1/2017 2/1/2018
-0.88 1 3 3/1/2020 4/1/2020
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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
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
1.81 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
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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
-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
-1.44 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable57.1461.1176.4780.0092.31100.00100.00
Average Period Return0.722.084.277.9512.5718.0027.72
Average Gain2.945.586.4410.5613.8318.0027.72
Average Loss-2.25-3.42-2.77-2.49-2.46
Best Period14.3714.3919.8726.7728.6030.1647.80
Worst Period-6.32-9.12-7.76-5.32-4.255.5817.32
Standard Deviation3.595.806.697.738.386.789.86
Gain Standard Deviation2.974.456.076.247.436.789.86
Loss Standard Deviation1.682.362.332.201.55
Sharpe Ratio (1%)0.180.320.560.901.322.362.50
Average Gain / Average Loss1.311.632.334.245.61
Profit / Loss Ratio1.752.567.5716.9767.36
Downside Deviation (10%)2.053.242.903.693.440.98
Downside Deviation (5%)1.872.701.921.821.18
Downside Deviation (0%)1.822.571.721.450.77
Sortino Ratio (10%)0.150.260.620.801.457.90
Sortino Ratio (5%)0.340.681.973.829.38
Sortino Ratio (0%)0.390.812.485.4816.37

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.