DeltaHedge : DH Styx

Year-to-Date
1.37%
Aug Performance
0.57%
Min Investment
$ 1,000k
Mgmt. Fee
0.50%
Perf. Fee
20.00%
Annualized Vol
5.53%
Sharpe (RFR=1%)
-1.08
CAROR
-5.03%
Assets
$ 1.8M
Worst DD
-11.80
S&P Correlation
0.18

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
9/2017
DH Styx 0.57 1.02 1.37 -5.20 - - - -9.81
S&P 500 -1.81 6.34 16.73 0.85 - - - 15.15
+/- S&P 500 2.38 -5.31 -15.36 -6.05 - - - -24.97

Strategy Description

Summary

DH Styx Program deploys a proprietary trading method of DeltaHegde and its objective is to deliver absolute return investing in a basket of FX futures exchanged on the Chicago Mercantile Exchange (AUD/USD, CAD/USD, EUR/USD, GBP/USD, MXP/USD, NZD/USD, SWF/USD, JPY/USD ) and on the ICE... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
20000 RT/YR/$M
Avg. Margin-to-Equity
3%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
-2.58%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
50.00%
Intraday
50.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

DH Styx Program deploys a proprietary trading method of DeltaHegde and its objective is to deliver absolute return investing in a basket of FX futures exchanged on the Chicago Mercantile Exchange (AUD/USD, CAD/USD, EUR/USD, GBP/USD, MXP/USD, NZD/USD, SWF/USD, JPY/USD ) and on the ICE US (Dollar Index). The program deploys a five minutes contrarian strategy that seeks to ripe profit in a market where prices will swing up and down, but without an actual price movement in a clear direction. In order to exploit longer term market dynamics, DH Styx may rely on trend following strategies working on 30-60-120 minutes time frames. The program is fully automated, from the order generation to the order execution. This feature removes all the operation risks linked with human intervention.

   

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
-11.80 8 - 5/1/2018 1/1/2019
-2.72 5 4 1/1/0001 1/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
3.16 2 4/1/2018 5/1/2018
2.74 1 2/1/2018 2/1/2018
1.41 7 2/1/2019 8/1/2019
0.26 1 10/1/2018 10/1/2018
0.23 1 12/1/2017 12/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.26 3 11/1/2018 1/1/2019
-6.15 4 6/1/2018 9/1/2018
-2.68 3 9/1/2017 11/1/2017
-2.20 1 3/1/2018 3/1/2018
-0.27 1 1/1/2018 1/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods24.0022.0019.0013.007.00
Percent Profitable50.0045.4526.320.000.00
Average Period Return-0.42-1.39-2.95-7.43-9.47
Average Gain0.650.731.27
Average Loss-1.48-3.15-4.46-7.43-9.47
Best Period2.782.703.61-4.43-7.81
Worst Period-4.31-6.26-8.89-11.46-11.02
Standard Deviation1.602.513.512.511.30
Gain Standard Deviation1.000.781.39
Loss Standard Deviation1.362.012.672.511.30
Sharpe Ratio (1%)-0.31-0.65-0.98-3.36-8.44
Average Gain / Average Loss0.440.230.29
Profit / Loss Ratio0.440.190.10
Downside Deviation (10%)1.633.576.4012.6617.10
Downside Deviation (5%)1.442.884.808.7711.03
Downside Deviation (0%)1.402.724.427.819.54
Sortino Ratio (10%)-0.51-0.73-0.85-0.98-1.00
Sortino Ratio (5%)-0.35-0.57-0.72-0.96-0.99
Sortino Ratio (0%)-0.30-0.51-0.67-0.95-0.99

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.