Deep Field Capital AG : SINGULARITY Program

archived programsClosed to new investments
Year-to-Date
N / A
Jul Performance
0.88%
Min Investment
$ 3,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
13.11%
Sharpe (RFR=1%)
0.50
CAROR
6.93%
Assets
$ 0k
Worst DD
-45.81
S&P Correlation
-0.13

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
7/2010
SINGULARITY Program 0.88 - - - -7.44 -31.74 71.58 83.72
S&P 500 1.31 - - - 35.72 52.80 198.70 214.46
+/- S&P 500 -0.43 - - - -43.16 -84.54 -127.11 -130.75

Strategy Description

Summary

SINGULARITY is a fully automated managed futures program designed to deliver a regular stream of multi-directional alpha that has a low correlation to traditional and other alternative investment strategies. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 3,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 3.00
Management Fee 1.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 20000 RT/YR/$M
Avg. Margin-to-Equity 8%
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

Momentum
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Stock Indices
28.00%
Currency Futures
22.00%
Energy
17.00%
Interest Rates
17.00%
Precious Metals
11.00%
Industrial Metals
5.00%
Composition Pie Chart

Summary

SINGULARITY is a fully automated managed futures program designed to deliver a regular stream of multi-directional alpha that has a low correlation to traditional and other alternative investment strategies.

Investment Strategy

SINGULARITY is a fully automated managed futures program designed to deliver a regular stream of multi-directional alpha that has a low correlation to traditional and other alternative investment strategies. The program executes a purely systematic trading approach using quantitative analysis of real-time price data to identify price trends and patterns that offer a high statistical likelihood of delivering consistent investment profits over time. While the highly reactive system only trades trend-based signals in a diversified portfolio of liquid futures markets across all asset classes, it actually shows no correlation to the trend following space or any other trading styles. The idiosyncratic investment profile is driven by the combination of intra-market diversification (number of strategy elements/strategy variations in every traded market) and cross-market diversification (number of markets/instruments), offering great scalability and attractive risk-adjusted returns. As of today SINGULARITY trades hundreds of independent strategy elements in up to 30 markets across short- mid-, and long-term time frames, each independently generating buy and sell signals. Execution and risk management is entirely electronic and automated, utilizing in-house proprietary software. SINGULARITY is open for external investors since 09/2011.

Risk Management

Execution and risk management is entirely electronic and automated, utilizing in-house proprietary software.

   

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
-45.81 33 - 1/1/2016 10/1/2018
-12.86 10 8 6/1/2013 4/1/2014
-4.12 3 3 7/1/2012 10/1/2012
-2.89 1 2 10/1/2011 11/1/2011
-2.19 1 1 1/1/0001 7/1/2010
-2.02 1 1 1/1/2015 2/1/2015
-0.74 1 1 2/1/2013 3/1/2013
-0.17 1 1 8/1/2010 9/1/2010
-0.14 1 1 3/1/2012 4/1/2012
-0.11 1 1 5/1/2015 6/1/2015
-0.08 1 1 5/1/2011 6/1/2011
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
41.10 8 10/1/2010 5/1/2011
20.70 7 7/1/2015 1/1/2016
17.87 4 7/1/2011 10/1/2011
14.94 4 10/1/2014 1/1/2015
13.52 3 3/1/2015 5/1/2015
9.47 1 8/1/2010 8/1/2010
9.27 4 12/1/2011 3/1/2012
8.49 5 3/1/2019 7/1/2019
7.45 3 11/1/2018 1/1/2019
7.41 3 5/1/2012 7/1/2012
7.11 3 4/1/2013 6/1/2013
6.50 4 11/1/2012 2/1/2013
5.18 3 1/1/2018 3/1/2018
5.17 2 5/1/2014 6/1/2014
4.19 1 5/1/2017 5/1/2017
3.13 1 8/1/2013 8/1/2013
3.00 2 11/1/2013 12/1/2013
2.68 3 7/1/2017 9/1/2017
2.58 1 2/1/2014 2/1/2014
1.69 1 3/1/2017 3/1/2017
1.32 2 11/1/2016 12/1/2016
1.08 1 8/1/2014 8/1/2014
1.08 1 7/1/2016 7/1/2016
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-22.94 3 8/1/2016 10/1/2016
-22.07 7 4/1/2018 10/1/2018
-14.65 5 2/1/2016 6/1/2016
-9.67 2 3/1/2014 4/1/2014
-5.95 2 9/1/2013 10/1/2013
-4.12 2 1/1/2017 2/1/2017
-4.12 3 8/1/2012 10/1/2012
-3.31 1 7/1/2014 7/1/2014
-3.21 1 7/1/2013 7/1/2013
-3.15 1 6/1/2017 6/1/2017
-3.03 1 2/1/2019 2/1/2019
-2.89 1 11/1/2011 11/1/2011
-2.74 1 1/1/2014 1/1/2014
-2.19 1 7/1/2010 7/1/2010
-2.02 1 2/1/2015 2/1/2015
-1.68 1 4/1/2017 4/1/2017
-1.19 3 10/1/2017 12/1/2017
-1.04 1 9/1/2014 9/1/2014
-0.74 1 3/1/2013 3/1/2013
-0.17 1 9/1/2010 9/1/2010
-0.14 1 4/1/2012 4/1/2012
-0.11 1 6/1/2015 6/1/2015
-0.08 1 6/1/2011 6/1/2011
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods109.00107.00104.0098.0092.0086.0074.0062.0050.00
Percent Profitable61.4767.2964.4260.2056.5258.1458.1153.2360.00
Average Period Return0.631.943.957.3910.0811.8514.8322.9833.54
Average Gain2.766.0111.5621.8729.6533.1739.7453.9763.07
Average Loss-2.76-6.42-9.83-14.52-15.35-17.76-19.72-12.28-10.76
Best Period10.3319.2735.2065.7784.66106.71119.49101.17170.47
Worst Period-16.13-22.94-28.74-35.36-34.63-32.37-43.49-30.55-22.62
Standard Deviation3.787.6113.5023.7029.5032.8738.9640.7062.16
Gain Standard Deviation2.464.568.8418.1523.8426.5730.7630.9465.09
Loss Standard Deviation2.975.498.6710.5810.659.1515.709.697.52
Sharpe Ratio (1%)0.140.220.260.270.290.300.300.460.46
Average Gain / Average Loss1.000.941.181.511.931.872.024.395.86
Profit / Loss Ratio1.591.922.132.282.512.592.805.008.80
Downside Deviation (10%)2.685.368.9513.9916.7519.1625.3124.7027.50
Downside Deviation (5%)2.544.918.0011.8013.1014.0617.8012.9511.13
Downside Deviation (0%)2.504.807.7711.2812.2712.8916.2110.638.23
Sortino Ratio (10%)0.080.130.170.170.150.08-0.040.060.21
Sortino Ratio (5%)0.220.340.430.540.650.700.661.462.56
Sortino Ratio (0%)0.250.400.510.650.820.920.922.164.07

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.