Delta Capital Llc : Delta Hybrid - Client

archived programs
Year-to-Date
N / A
Oct Performance
-0.17%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.27%
Sharpe (RFR=1%)
-1.48
CAROR
-
Assets
$ 64k
Worst DD
-18.71
S&P Correlation
0.69

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
2/2010
Delta Hybrid - Client -0.17 - - - - - -0.43 -13.64
S&P 500 3.69 - - - - - -17.22 213.64
+/- S&P 500 -3.86 - - - - - 16.79 -227.28

Strategy Description

Summary

The Delta Hybrid program attempts to capitalize on inefficient market movements through similar assets. The automated program trades Forex and futures contracts simultaneously to capitalize on targeted inefficiencies. The objective is to profit as the market corrects and reattains... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $15.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 6750 RT/YR/$M
Avg. Margin-to-Equity 40%
Targeted Worst DD
Worst Peak-to-Trough 0%
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

Fundamental
25.00%
Technical
25.00%
Other
50.00%
Strategy Pie Chart

Composition

Currency Futures
30.00%
Stock Indices
30.00%
Currency FX
15.00%
Industrial Metals
15.00%
Energy
5.00%
Other
3.00%
Interest Rates
2.00%
Composition Pie Chart

Summary

The Delta Hybrid program attempts to capitalize on inefficient market movements through similar assets. The automated program trades Forex and futures contracts simultaneously to capitalize on targeted inefficiencies. The objective is to profit as the market corrects and reattains efficiency.

The program may be long or short either futures or Forex positions but each position will always have a counter-position in a correlating asset. Due to the efficient nature of the markets Delta Hybrid will often not have a market position as the algorithms wait to identify proper inefficiencies. Entry sizes and margin used will vary depending on the measure of divergence of efficiency in the market at the time of entry. Dynamic entry sizes allow for larger positions to be placed when the traded assets are calculated to be more inefficient and thus the larger divergences come with greater profit potential. As futures and Forex accounts are handled differently with the FCMs, participants in the Delta Hybrid may be required to open both a futures and a Forex account. The funds within these accounts will be managed by Delta Capital and transferred as needed from futures accounts to Forex accounts, and vice versa, if neccessary to maintain sufficient margin requirements for the program to operate. Management and performance fees will be charged on the collective net sum of both accounts on a monthly basis.

   

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
-18.71 7 - 3/1/2010 10/1/2010
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
6.24 2 2/1/2010 3/1/2010
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-18.71 7 4/1/2010 10/1/2010
Show More

Time Windows Analysis

 1 Month3 Month
Number of Periods9.007.00
Percent Profitable22.2214.29
Average Period Return-1.55-7.12
Average Gain3.083.07
Average Loss-2.87-8.82
Best Period4.193.07
Worst Period-8.03-16.53
Standard Deviation3.837.25
Gain Standard Deviation1.57
Loss Standard Deviation3.166.24
Sharpe Ratio (1%)-0.43-1.02
Average Gain / Average Loss1.070.35
Profit / Loss Ratio0.310.06
Downside Deviation (10%)3.8710.69
Downside Deviation (5%)3.679.91
Downside Deviation (0%)3.619.72
Sortino Ratio (10%)-0.50-0.78
Sortino Ratio (5%)-0.45-0.74
Sortino Ratio (0%)-0.43-0.73

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.