Dendrich Ltd : QEP

archived programs
Year-to-Date
N / A
Oct Performance
-4.02%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
40.55%
Sharpe (RFR=1%)
0.91
CAROR
30.26%
Assets
$ 2.6M
Worst DD
-81.79
S&P Correlation
0.21

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
12/2005
QEP -4.02 2.84 - 20.35 88.69 88.26 265.21 2,234.44
S&P 500 1.34 3.35 - 19.90 26.32 80.52 64.51 104.19
+/- S&P 500 -5.36 -0.52 - 0.45 62.37 7.73 200.70 2,130.26

Strategy Description

Summary

Established in 2005 in Ohio, Dendrich Ltd is an investment management firm focused on the global markets. Currently, we have one fund for US investors and another similar fund for non-US investors. The firm and affiliated companies have a successful track record managing stock, futures... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 10k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
25.00%
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
500 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
-10.00%
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
20.00%
Systematic
80.00%

Strategy

Spreading/hedging
80.00%
Other
20.00%
Strategy Pie Chart

Composition

Stock Indices
70.00%
Energy
30.00%
Composition Pie Chart

Summary

Established in 2005 in Ohio, Dendrich Ltd is an investment management firm focused on the global markets. Currently, we have one fund for US investors and another similar fund for non-US investors. The firm and affiliated companies have a successful track record managing stock, futures and derivatives portfolios through various market and economic cycles.

Investment Strategy

The objective is to provide long-term, consistent and positive returns. The company focuses on reducing market correlation through long and short trading activities.& Investment Strategies& The portfolio manager will incorporate the following strategies: 1. making investments in securities, bonds, commodities and derivatives which the manager believes are undervalued, especially those with improving fundamentals; 2. short selling of securities, bonds, commodities and derivatives, which the manager believes are overvalued, especially those with deteriorating fundamentals, or other factors which merit a determination of overvaluation by the manager; 3. managing the relative weightings of long and short positions to reduce overall portfolio exposure to market volatility.

Risk Management

1. Invest in unrelated markets to reduce the risk

2. Long and short positions provide a natural hedge against market volatility

• The risk control parameters are monitored at real time. Positions will be automatically adjusted or liquidated if market condition deteriorated.

3. Stop loss order is attached to every open position. We try to limit monthly drawdown to 15%.

   

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
-81.79 2 66 8/1/2008 10/1/2008
-20.51 1 3 1/1/2017 2/1/2017
-18.87 7 4 5/1/2014 12/1/2014
-15.50 2 1 1/1/0001 1/1/2006
-10.71 3 7 7/1/2015 10/1/2015
-10.47 2 1 6/1/2007 8/1/2007
-9.74 1 1 4/1/2006 5/1/2006
-6.68 2 3 5/1/2016 7/1/2016
-6.30 1 1 12/1/2007 1/1/2008
-4.02 1 - 9/1/2017 10/1/2017
-1.60 1 1 10/1/2006 11/1/2006
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
122.37 5 6/1/2006 10/1/2006
116.12 7 12/1/2006 6/1/2007
108.22 13 11/1/2011 11/1/2012
106.32 4 9/1/2007 12/1/2007
82.63 9 8/1/2009 4/1/2010
79.11 7 2/1/2008 8/1/2008
49.87 3 4/1/2009 6/1/2009
44.78 7 1/1/2015 7/1/2015
44.19 7 3/1/2017 9/1/2017
39.49 4 11/1/2008 2/1/2009
29.80 3 2/1/2006 4/1/2006
27.05 5 9/1/2010 1/1/2011
24.80 6 8/1/2016 1/1/2017
23.39 3 9/1/2013 11/1/2013
16.24 2 6/1/2010 7/1/2010
14.45 4 2/1/2014 5/1/2014
13.44 1 9/1/2011 9/1/2011
10.21 2 3/1/2011 4/1/2011
7.60 1 5/1/2013 5/1/2013
7.42 4 11/1/2015 2/1/2016
6.63 2 4/1/2016 5/1/2016
4.34 2 2/1/2013 3/1/2013
3.75 1 6/1/2011 6/1/2011
1.18 1 9/1/2015 9/1/2015
0.44 1 11/1/2014 11/1/2014
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-81.79 2 9/1/2008 10/1/2008
-29.11 1 10/1/2011 10/1/2011
-21.17 1 5/1/2010 5/1/2010
-20.63 1 3/1/2009 3/1/2009
-20.51 1 2/1/2017 2/1/2017
-18.85 5 6/1/2014 10/1/2014
-15.69 3 6/1/2013 8/1/2013
-15.50 2 12/1/2005 1/1/2006
-11.03 1 4/1/2013 4/1/2013
-10.89 1 2/1/2011 2/1/2011
-10.47 2 7/1/2007 8/1/2007
-9.88 1 8/1/2015 8/1/2015
-9.74 1 5/1/2006 5/1/2006
-7.76 1 7/1/2009 7/1/2009
-6.68 2 6/1/2016 7/1/2016
-6.30 1 1/1/2008 1/1/2008
-5.04 2 7/1/2011 8/1/2011
-4.02 1 10/1/2017 10/1/2017
-3.82 2 12/1/2012 1/1/2013
-2.30 2 12/1/2013 1/1/2014
-2.08 1 10/1/2015 10/1/2015
-1.78 1 8/1/2010 8/1/2010
-1.60 1 11/1/2006 11/1/2006
-0.52 1 3/1/2016 3/1/2016
-0.46 1 12/1/2014 12/1/2014
-0.30 1 5/1/2011 5/1/2011
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods143.00141.00138.00132.00126.00120.00108.0096.0084.00
Percent Profitable72.7373.0577.5481.0682.5481.6791.6791.6797.62
Average Period Return3.1510.2421.9849.9478.56109.1983.93148.98205.91
Average Gain7.6218.8834.2869.38102.82139.0393.93164.18211.43
Average Loss-8.78-13.20-20.48-33.29-36.11-23.74-26.00-18.24-20.34
Best Period34.6087.51138.42318.84673.631109.70323.80681.29899.55
Worst Period-74.34-80.46-76.86-72.24-58.20-54.19-43.86-26.34-23.86
Standard Deviation11.7122.2738.0582.95145.72237.1270.13147.87190.73
Gain Standard Deviation7.1216.2531.3079.24149.30253.0064.40145.15189.68
Loss Standard Deviation13.1719.4027.3530.3519.4516.9612.255.144.97
Sharpe Ratio (1%)0.260.450.560.590.530.451.150.981.05
Average Gain / Average Loss0.871.431.672.082.855.863.619.0010.39
Profit / Loss Ratio2.323.885.788.9213.4626.0939.7499.03426.17
Downside Deviation (10%)8.3212.4416.7621.1019.9316.2312.5612.158.51
Downside Deviation (5%)8.2212.1416.1719.7517.6113.119.026.603.97
Downside Deviation (0%)8.1912.0716.0319.4317.0512.408.215.443.19
Sortino Ratio (10%)0.330.721.162.133.566.105.4310.4920.95
Sortino Ratio (5%)0.370.821.332.484.388.178.9721.9750.64
Sortino Ratio (0%)0.380.851.372.574.618.8110.2227.3664.65

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 6 5.90 6/2015
Systematic Trader Index Month 7 5.90 6/2015
IASG CTA Index Month 7 5.25 5/2015
Systematic Trader Index Month 4 5.25 5/2015
Diversified Trader Index Month 4 5.25 5/2015
Diversified Trader Index Month 8 4.55 4/2015
Systematic Trader Index Month 10 4.55 4/2015
Systematic Trader Index Month 9 7.41 3/2015
Diversified Trader Index Month 9 7.41 3/2015
Diversified Trader Index Month 10 4.91 2/2015
IASG CTA Index 5 Year Rolling 6 292.45 2008 - 2013
Systematic Trader Index Month 6 8.65 10/2013
Diversified Trader Index Month 9 8.65 10/2013
IASG CTA Index Month 9 8.65 10/2013
Systematic Trader Index Month 5 9.00 9/2013
IASG CTA Index Month 8 9.00 9/2013
Diversified Trader Index Month 4 9.00 9/2013
IASG CTA Index Month 9 7.60 5/2013
Systematic Trader Index Month 5 7.60 5/2013
Diversified Trader Index Month 9 7.60 5/2013
IASG CTA Index 3 Year Rolling 8 123.08 2009 - 2012
IASG CTA Index Year Rolling 3 75.98 2011 - 2012
Diversified Trader Index Month 4 10.02 11/2012
Systematic Trader Index Month 4 10.02 11/2012
IASG CTA Index Month 5 10.02 11/2012
Diversified Trader Index Month 4 10.94 10/2012
IASG CTA Index Month 3 10.94 10/2012
Systematic Trader Index Month 3 10.94 10/2012
Diversified Trader Index Month 9 4.56 9/2012
Diversified Trader Index Month 8 4.96 8/2012
Systematic Trader Index Month 8 4.96 8/2012
Diversified Trader Index Month 7 6.67 4/2012
Systematic Trader Index Month 9 6.67 4/2012
IASG CTA Index Month 9 9.04 3/2012
Systematic Trader Index Month 7 9.04 3/2012
Diversified Trader Index Month 6 9.04 3/2012
IASG CTA Index 5 Year Rolling 7 220.54 2006 - 2011
IASG CTA Index Month 3 11.87 12/2011
Systematic Trader Index Month 2 11.87 12/2011
Diversified Trader Index Month 2 11.87 12/2011
Diversified Trader Index Month 5 13.44 9/2011
IASG CTA Index Month 6 13.44 9/2011
Systematic Trader Index Month 4 13.44 9/2011
Systematic Trader Index Month 7 3.75 6/2011
Diversified Trader Index Month 10 3.75 6/2011
Diversified Trader Index Month 9 5.88 3/2011
Systematic Trader Index Month 8 5.88 3/2011
IASG CTA Index 5 Year Rolling 2 765.48 2005 - 2010
Diversified Trader Index Month 10 2.59 11/2010
Systematic Trader Index Month 2 11.50 7/2010
Diversified Trader Index Month 3 11.50 7/2010
IASG CTA Index Month 4 11.50 7/2010
IASG CTA Index Month 5 9.45 1/2010
Diversified Trader Index Month 3 9.45 1/2010
Systematic Trader Index Month 3 9.45 1/2010
IASG CTA Index Month 3 13.81 12/2009
Systematic Trader Index Month 3 13.81 12/2009
Diversified Trader Index Month 3 13.81 12/2009
IASG CTA Index Year Rolling 6 77.13 2008 - 2009
IASG CTA Index 3 Year Rolling 9 152.85 2006 - 2009
IASG CTA Index Month 4 11.14 10/2009
Diversified Trader Index Month 3 11.14 10/2009
Systematic Trader Index Month 2 11.14 10/2009
Systematic Trader Index Month 9 7.76 8/2009
Diversified Trader Index Month 10 7.76 8/2009
Systematic Trader Index Month 1 16.52 6/2009
Diversified Trader Index Month 3 16.52 6/2009
IASG CTA Index Month 5 16.52 6/2009
IASG CTA Index Month 1 17.94 4/2009
Systematic Trader Index Month 1 17.94 4/2009
Diversified Trader Index Month 1 17.94 4/2009
Diversified Trader Index Month 10 5.16 1/2009
IASG CTA Index 3 Year Rolling 2 257.71 2005 - 2008
Diversified Trader Index Month 2 13.97 12/2008
Systematic Trader Index Month 2 13.97 12/2008
IASG CTA Index Month 4 13.97 12/2008
IASG CTA Index Month 5 9.69 7/2008
Systematic Trader Index Month 3 9.69 7/2008
Diversified Trader Index Month 3 9.69 7/2008
Diversified Trader Index Month 2 8.38 4/2008
Systematic Trader Index Month 4 8.38 4/2008
IASG CTA Index Month 6 8.38 4/2008
IASG CTA Index Year Rolling 2 262.51 2006 - 2007
Diversified Trader Index Month 1 29.60 12/2007
IASG CTA Index Month 2 29.60 12/2007
Systematic Trader Index Month 1 29.60 12/2007
Systematic Trader Index Month 10 13.30 10/2007
Diversified Trader Index Month 9 13.30 10/2007
IASG CTA Index Month 10 13.30 10/2007
Systematic Trader Index Month 1 34.60 9/2007
IASG CTA Index Month 1 34.60 9/2007
Diversified Trader Index Month 1 34.60 9/2007
IASG CTA Index Month 1 16.94 6/2007
Systematic Trader Index Month 1 16.94 6/2007
Diversified Trader Index Month 1 16.94 6/2007
Diversified Trader Index Month 4 15.43 4/2007
Systematic Trader Index Month 4 15.43 4/2007
IASG CTA Index Month 5 15.43 4/2007
IASG CTA Index Month 5 4.82 3/2007
Systematic Trader Index Month 4 4.82 3/2007

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.