DeltaHedge : DH Nix Alpha Program

Year-to-Date
5.50%
Oct Performance
3.92%
Min Investment
$ 1,000k
Mgmt. Fee
0.50%
Perf. Fee
15.00%
Annualized Vol
8.67%
Sharpe (RFR=1%)
0.40
CAROR
4.13%
Assets
$ 541k
Worst DD
-8.26
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
1/2016
DH Nix Alpha Program 3.92 4.75 5.50 6.12 24.99 - - 21.61
S&P 500 -2.77 -0.04 1.21 7.65 26.97 - - 66.82
+/- S&P 500 6.69 4.79 4.29 -1.53 -1.97 - - -45.21

Strategy Description

Summary

This program was developed as an institutional version of DH Nix Program using a customized Money Management algorithm. Based on a proprietary trading method of DeltaHedge, DH Nix Alpha Program seeks to generate attractive absolute returns through investments in just one market: E-mini... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 0.50%
Performance Fee 15.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 11700 RT/YR/$M
Avg. Margin-to-Equity 3%
Targeted Worst DD
Worst Peak-to-Trough -13.64%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 30.00%
Intraday 70.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Pattern Recognition
60.00%
Trend-following
40.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

This program was developed as an institutional version of DH Nix Program using a customized Money Management algorithm. Based on a proprietary trading method of DeltaHedge, DH Nix Alpha Program seeks to generate attractive absolute returns through investments in just one market: E-mini 5$ Dow Jones Industrial Average Futures at CME. The founding idea of the program is to decline he diversification concept in Automatic Trading Systems portfolios, trading only on a single Futures with a multi-strategy approach.

   

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
-8.26 2 - 6/1/2020 8/1/2020
-7.61 4 3 1/1/2019 5/1/2019
-6.88 13 2 12/1/2016 1/1/2018
-3.70 2 1 3/1/2020 5/1/2020
-2.82 2 3 8/1/2019 10/1/2019
-2.63 5 1 5/1/2018 10/1/2018
-2.32 6 2 3/1/2016 9/1/2016
-0.19 1 1 1/1/0001 1/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
13.37 4 2/1/2018 5/1/2018
9.20 3 11/1/2018 1/1/2019
7.78 1 8/1/2019 8/1/2019
7.48 1 6/1/2020 6/1/2020
7.47 5 11/1/2019 3/1/2020
4.75 2 9/1/2020 10/1/2020
4.42 3 10/1/2016 12/1/2016
2.03 1 6/1/2019 6/1/2019
1.98 2 8/1/2018 9/1/2018
1.63 2 2/1/2016 3/1/2016
0.20 1 11/1/2017 11/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.26 2 7/1/2020 8/1/2020
-7.61 4 2/1/2019 5/1/2019
-6.15 10 1/1/2017 10/1/2017
-3.70 2 4/1/2020 5/1/2020
-2.82 2 9/1/2019 10/1/2019
-2.59 2 6/1/2018 7/1/2018
-2.32 6 4/1/2016 9/1/2016
-1.99 1 10/1/2018 10/1/2018
-0.98 2 12/1/2017 1/1/2018
-0.78 1 7/1/2019 7/1/2019
-0.19 1 1/1/2016 1/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods58.0056.0053.0047.0041.0035.0023.00
Percent Profitable43.1046.4366.0480.8582.9391.43100.00
Average Period Return0.370.962.064.576.6010.2515.23
Average Gain2.374.314.706.358.4411.4715.23
Average Loss-1.15-1.95-3.06-2.94-2.35-2.79
Best Period7.7810.2412.2720.5517.2521.7926.15
Worst Period-7.80-7.53-6.47-6.67-3.61-3.477.17
Standard Deviation2.503.964.745.966.076.214.68
Gain Standard Deviation2.142.963.515.074.884.914.68
Loss Standard Deviation1.491.841.372.631.281.15
Sharpe Ratio (1%)0.110.180.330.600.841.332.61
Average Gain / Average Loss2.072.211.542.163.594.11
Profit / Loss Ratio1.561.912.999.1217.4543.80
Downside Deviation (10%)1.622.693.414.124.934.373.35
Downside Deviation (5%)1.452.092.222.041.701.43
Downside Deviation (0%)1.411.951.951.681.090.86
Sortino Ratio (10%)-0.02-0.10-0.12-0.10-0.200.00-0.16
Sortino Ratio (5%)0.200.340.711.752.995.75
Sortino Ratio (0%)0.260.491.062.726.0711.88

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.