DeltaHedge : DH Stella Program

archived programsClosed to new investments
Year-to-Date
N / A
Jun Performance
-0.61%
Min Investment
$ 400k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.89%
Sharpe (RFR=1%)
0.09
CAROR
1.36%
Assets
$ 424k
Worst DD
-16.24
S&P Correlation
-0.16

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
10/2014
DH Stella Program -0.61 - - - - -7.73 - 3.78
S&P 500 0.33 - - - - 77.64 - 60.39
+/- S&P 500 -0.94 - - - - -85.36 - -56.60

Strategy Description

Summary

DH STELLA Program is based upon a proprietary trading method of DeltaHedge and adopts a multi-strategy approach to invest in just one futures market: FTSE MIB Italian Equity Index Futures at IDM exchange. Our team maintains ongoing R&D and testing on the index and selects the most... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 400k
Trading Level Incremental Increase $ 25k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
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 3000 RT/YR/$M
Avg. Margin-to-Equity 4%
Targeted Worst DD -8.00%
Worst Peak-to-Trough -7.27%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 60.00%
Intraday 40.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
5.00%
Pattern Recognition
10.00%
Technical
15.00%
Trend-following
70.00%
Strategy Pie Chart

Composition

Stock Indices
95.00%
Currency FX
5.00%
Composition Pie Chart

Summary

DH STELLA Program is based upon a proprietary trading method of DeltaHedge and adopts a multi-strategy approach to invest in just one futures market: FTSE MIB Italian Equity Index Futures at IDM exchange. Our team maintains ongoing R&D and testing on the index and selects the most diversified, performing and uncorrelated strategies for the Program. To provide an efficient niche program DeltaHedge has opened this Program only up to 12 investors subscribing the minimum size account or multiples, for a maximum asset under management of the program of 5.000.000 $. Once this level is reached, we will close the Program with regards to new investors

Investment Strategy

The program focuses on intraday market analysis with thirty minutes and hourly based signals, harmonised with a proprietary composite money management: about one third of total trades are closed in the day (strictly intraday trading), one third is closed before the third day and the last third has an average holding time in the market higher than the week.

Risk Management

The specific market traded has been selected utilising both liquidity constraints and strategies’ correlation analysis in an effort to reduce portfolio risk and add diversification.

   

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
-16.24 16 - 2/1/2016 6/1/2017
-7.00 3 4 7/1/2015 10/1/2015
-3.88 1 1 5/1/2015 6/1/2015
-2.47 1 1 11/1/2014 12/1/2014
-1.68 1 1 3/1/2015 4/1/2015
-0.06 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
9.80 2 1/1/2016 2/1/2016
9.20 1 7/1/2015 7/1/2015
9.17 1 1/1/2015 1/1/2015
5.98 2 10/1/2016 11/1/2016
5.72 2 10/1/2014 11/1/2014
3.95 1 9/1/2015 9/1/2015
2.25 1 5/1/2015 5/1/2015
1.88 1 3/1/2015 3/1/2015
0.42 1 11/1/2015 11/1/2015
0.16 1 1/1/2017 1/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.60 7 3/1/2016 9/1/2016
-6.39 1 8/1/2015 8/1/2015
-4.43 1 10/1/2015 10/1/2015
-4.28 1 12/1/2016 12/1/2016
-3.88 1 6/1/2015 6/1/2015
-2.47 1 12/1/2014 12/1/2014
-2.33 5 2/1/2017 6/1/2017
-1.68 1 4/1/2015 4/1/2015
-0.08 1 12/1/2015 12/1/2015
-0.06 1 2/1/2015 2/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods33.0031.0028.0022.0016.00
Percent Profitable39.3945.1642.8636.3625.00
Average Period Return0.180.340.10-1.57-2.32
Average Gain3.715.105.708.0111.13
Average Loss-2.12-3.57-4.09-7.05-6.81
Best Period9.2011.2314.6217.6917.88
Worst Period-6.39-9.73-13.58-14.43-12.14
Standard Deviation3.725.386.538.548.74
Gain Standard Deviation3.043.714.795.195.83
Loss Standard Deviation1.842.654.013.802.68
Sharpe Ratio (1%)0.030.02-0.06-0.30-0.44
Average Gain / Average Loss1.751.431.391.141.63
Profit / Loss Ratio1.141.181.040.650.54
Downside Deviation (10%)2.414.045.8010.0812.68
Downside Deviation (5%)2.213.414.557.067.53
Downside Deviation (0%)2.163.264.276.346.30
Sortino Ratio (10%)-0.09-0.22-0.41-0.65-0.78
Sortino Ratio (5%)0.040.03-0.09-0.36-0.51
Sortino Ratio (0%)0.080.110.02-0.25-0.37

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.