DeltaHedge : DH Nix Program

archived programsClosed to new investments
Year-to-Date
N / A
Feb Performance
-1.07%
Min Investment
€ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
45.01%
Sharpe (RFR=1%)
0.62
CAROR
22.12%
Assets
€ 100k
Worst DD
-44.88
S&P Correlation
0.02

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
3/2014
DH Nix Program -1.07 - - - - -3.97 - 82.12
S&P 500 3.72 - - - - 73.07 - 72.87
+/- S&P 500 -4.79 - - - - -77.04 - 9.25

Strategy Description

Summary

DH Nix Program – single market multi-strategy program trading only 5$ Dow Jones Futures. One strategy is a price breakout based on proprietary price projection model, one on volatility breakout and one on “long term” cyclical wave and volatility analysis. Parallel to the automatic... Read More

Account & Fees

Type Managed Account
Minimum Investment € 200k
Trading Level Incremental Increase € 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 150 RT/YR/$M
Avg. Margin-to-Equity 35%
Targeted Worst DD 35.00%
Worst Peak-to-Trough -13.40%
Sector Focus Stock Index 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

Composition

Summary

DH Nix Program – single market multi-strategy program trading only 5$ Dow Jones Futures. One strategy is a price breakout based on proprietary price projection model, one on volatility breakout and one on “long term” cyclical wave and volatility analysis. Parallel to the automatic trading strategies on Dow Jones, an expert hybrid long-term mathematical model on Euro / USD is applied to mitigate the distortion coming from European markets.

   

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
-44.88 17 - 5/1/2015 10/1/2016
-13.40 4 3 1/1/0001 6/1/2014
-9.94 1 1 3/1/2015 4/1/2015
-7.82 1 1 10/1/2014 11/1/2014
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
115.18 4 7/1/2014 10/1/2014
80.61 4 12/1/2014 3/1/2015
13.06 1 5/1/2015 5/1/2015
11.86 2 2/1/2016 3/1/2016
9.11 2 11/1/2016 12/1/2016
3.67 1 12/1/2015 12/1/2015
0.97 2 4/1/2014 5/1/2014
0.37 1 7/1/2016 7/1/2016
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-41.03 6 6/1/2015 11/1/2015
-10.86 1 3/1/2014 3/1/2014
-10.39 3 8/1/2016 10/1/2016
-9.94 1 4/1/2015 4/1/2015
-8.92 3 4/1/2016 6/1/2016
-7.82 1 11/1/2014 11/1/2014
-4.14 2 1/1/2017 2/1/2017
-3.78 1 6/1/2014 6/1/2014
-1.62 1 1/1/2016 1/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods36.0034.0031.0025.0019.0013.00
Percent Profitable47.2252.9451.6140.0052.6369.23
Average Period Return2.409.9127.1050.8633.3260.23
Average Gain11.3828.2268.36155.6091.6195.83
Average Loss-5.64-10.68-16.91-18.97-31.44-19.87
Best Period51.46102.76187.00255.55143.39138.44
Worst Period-18.80-35.82-41.03-38.62-41.88-32.48
Standard Deviation12.9930.7964.80106.6771.7665.61
Gain Standard Deviation13.3731.1266.7198.7447.2341.91
Loss Standard Deviation4.9911.5414.4813.3110.5613.37
Sharpe Ratio (1%)0.180.310.410.470.440.89
Average Gain / Average Loss2.022.644.048.202.914.82
Profit / Loss Ratio1.812.974.315.473.2410.85
Downside Deviation (10%)5.6411.2016.6321.0827.7417.91
Downside Deviation (5%)5.4510.7215.5318.4023.6913.73
Downside Deviation (0%)5.4110.6015.2717.7522.7012.76
Sortino Ratio (10%)0.350.781.482.180.932.79
Sortino Ratio (5%)0.420.901.712.711.344.24
Sortino Ratio (0%)0.440.941.782.861.474.72

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.