Delta Capital Llc : Delta Hybrid - Client Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since2/2010 Delta Hybrid - Client -0.17 - - - - - - -13.64 S&P 500 3.69 - - - - - - 232.81 +/- S&P 500 -3.86 - - - - - - -246.45 Strategy Description SummaryThe 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% 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% SummaryThe 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. 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 -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. x {{title}} x {{title}} Add Cancel