DCM Systematic : Diversified Alpha

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

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Growth of 1,000 - VAMI

Monthly Performance

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	Since 2/2016
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 Strategy

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 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.

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Index: Chart Type:

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:

Monthly Annual

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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:
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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	62.00	3.00	6.00	12.00	18.00	24.00	36.00	48.00	60.00
Percent Profitable	58.06	0.00	16.67	50.00	88.89	79.17	100.00	93.75	86.67
Average Period Return	0.63	-4.22	-2.43	0.56	12.42	8.63	15.44	20.18	17.14
Average Gain	2.82		0.13	2.28	14.36	11.46	15.44	21.76	20.22
Average Loss	-2.40	-4.22	-2.94	-1.16	-3.11	-2.14		-3.57	-2.90
Best Period	14.37	-1.59	0.13	3.40	20.62	19.45	31.41	43.14	44.84
Worst Period	-6.69	-6.69	-6.56	-3.51	-3.50	-4.44	0.91	-5.18	-4.84
Standard Deviation	3.57	2.55	2.51	2.07	8.37	8.61	9.87	13.70	15.34
Gain Standard Deviation	2.83			0.94	6.57	7.31	9.87	12.62	14.12
Loss Standard Deviation	1.84	2.55	2.43	1.21	0.55	1.78		2.31	1.75
Sharpe Ratio (1%)	0.15	-1.75	-1.17	-0.21	1.30	0.77	1.26	1.18	0.78
Average Gain / Average Loss	1.18		0.05	1.98	4.61	5.36		6.10	6.97
Profit / Loss Ratio	1.63		0.01	1.98	36.89	20.38		91.56	45.33
Downside Deviation (10%)	2.16	5.83	5.41	4.86	4.29	7.24	6.39	9.99	17.39
Downside Deviation (5%)	1.99	4.93	3.72	1.71	1.54	2.09	0.35	2.07	3.34
Downside Deviation (0%)	1.94	4.71	3.34	1.13	1.05	1.22		1.01	1.22
Sortino Ratio (10%)	0.10	-0.93	-0.91	-0.91	1.13	-0.22	-0.05	-0.14	-0.60
Sortino Ratio (5%)	0.28	-0.91	-0.79	-0.25	7.07	3.16	35.03	7.80	3.60
Sortino Ratio (0%)	0.32	-0.90	-0.73	0.50	11.87	7.10		20.00	14.09

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.

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More Programs by DCM Systematic

Program Name	CAROR
Diversified Alpha	7.06%

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DCM Systematic : Diversified Alpha

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Find the right managed futures programs for you with our comprehensive free CTA database.

DCM Systematic : Diversified Alpha

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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