Di Tomasso Group Inc. : Equilibrium Program

archived programs
Year-to-Date
N / A
Apr Performance
4.22%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
27.89%
Sharpe (RFR=1%)
0.72
CAROR
18.82%
Assets
$ 20.2M
Worst DD
-45.49
S&P Correlation
0.19

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
1/2002
Equilibrium Program 4.22 2.01 - -14.56 -17.19 -31.15 176.88 896.37
S&P 500 0.85 4.54 - 10.70 49.19 75.71 80.25 84.50
+/- S&P 500 3.37 -2.52 - -25.26 -66.38 -106.86 96.63 811.88

Strategy Description

Summary

The Equilibrium Program invests in publicly listed commodity futures contracts and options contracts that are restricted to physical commodities such as grains, meats, metals, energy products and “softs”. The Program is characterized by a long term, buy and hold, low turn-over, reversion-to-the-mean... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$12.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
800 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
N/A
Worst Peak-to-Trough
25.27%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
100.00%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Grains
20.00%
Softs
20.00%
Energy
15.00%
Livestock
15.00%
Industrial Metals
15.00%
Precious Metals
15.00%
Composition Pie Chart

Summary

The Equilibrium Program invests in publicly listed commodity futures contracts and options contracts that are restricted to physical commodities such as grains, meats, metals, energy products and “softs”. The Program is characterized by a long term, buy and hold, low turn-over, reversion-to-the-mean style that sets it apart.

Investment Strategy

Our Equilibrium Program is characterized by three key features: (1) Fundamental research – We scour the world for supply and demand information pertinent to our commodity candidates. Investments are made when the supply/demand balance favours taking a particular position, either long or short. (2) Using selected data covering the past 50 year period, we calculate the current intrinsic value of each major tradable commodity identifying those commodities which are the most under-valued or over-valued. It is presumed that the price of each commodity will eventually revert to its historic mean. (3) The implementation of a sound trading strategy which enables our central models to translate the mispricing of these commodities into profits by: (i) utilising proprietary option valuation models to determine which option strike price and which option expiry month best satisfies its stringent risk-reward requirements; (ii) disciplined execution which minimizes option premium decay and slippage; and, of paramount importance... (iii) the imposition of a rigorous risk control and management program which ensures that downside risk is reasonably modest at all times – our ongoing re-balancing process is designed to keep an account’s Value at Risk and degree of leverage relatively constant even in volatile markets.

Risk Management

Risk is commonly defined as the likelihood of permanent loss of invested capital, not as a measure of volatility. Modern Portfolio Theory has popularized the notion that risk can be measured in terms of price fluctuations - by that standard, a commodity that suffers a price decline to a historically low level would be considered "highly risky". We view such logic as inherently flawed. Rather, whenever a commodity trades close to its extreme historical price, we see that as an investment opportunity rather than a risk. The risk, in our view, is that a commodity position, once taken, might remain "offside" for an extended period. Our style incorporates a risk management program designed to reduce the risk of loss of invested capital. Measures taken as part of this program include, but are not limited to: (1) the allocation and maintenance of sufficient cash reserves to meet any anticipated margin calls, even below a level that, by historical measures, would be called a “worst case scenario”; (2) diversification of the Program’s positions among several commodities with representation from various commodity groups; (3) purchase, where appropriate, option contracts to replace existing futures or forward contract positions or in lieu of the purchase of futures or forward contracts; (4) a policy of not engaging in pyramiding its commodities positions (i.e. the use of unrealised profits on existing positions to provide margin for the acquisition of additional positions in the same or a related commodity); and (5) our rebalancing process is designed to limit the over-all risk exposure of an account. “Over-all risk exposure” means the sum of: (i) the total potential loss incurred in the event that the underlying value of account’s forward and futures contract positions fall to their inflation-adjusted historic lows; (ii) the total loss of value of all option contract positions held, and (iii) all those losses occurring simultaneously.

   

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
-45.49 50 - 1/1/2011 3/1/2015
-25.27 12 3 2/1/2008 2/1/2009
-23.16 2 6 1/1/2003 3/1/2003
-21.18 4 2 3/1/2004 7/1/2004
-20.01 2 3 1/1/0001 2/1/2002
-10.64 2 2 2/1/2007 4/1/2007
-10.46 1 1 9/1/2004 10/1/2004
-8.75 1 1 12/1/2004 1/1/2005
-7.81 2 2 5/1/2002 7/1/2002
-7.74 2 1 10/1/2002 12/1/2002
-7.02 1 3 7/1/2005 8/1/2005
-6.64 1 1 5/1/2009 6/1/2009
-5.33 1 1 7/1/2009 8/1/2009
-4.98 1 1 3/1/2005 4/1/2005
-4.56 1 3 6/1/2006 7/1/2006
-2.99 1 1 2/1/2006 3/1/2006
-2.34 1 2 9/1/2007 10/1/2007
-1.46 1 1 7/1/2010 8/1/2010
-1.43 1 1 4/1/2010 5/1/2010
-0.87 1 1 12/1/2009 1/1/2010
-0.72 2 1 10/1/2010 12/1/2010
-0.56 1 1 11/1/2006 12/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
146.75 9 7/1/2003 3/1/2004
38.35 3 3/1/2009 5/1/2009
35.24 5 5/1/2007 9/1/2007
34.57 2 8/1/2004 9/1/2004
32.13 6 9/1/2005 2/1/2006
29.35 4 11/1/2007 2/1/2008
29.28 2 2/1/2005 3/1/2005
28.46 2 11/1/2004 12/1/2004
28.35 3 8/1/2002 10/1/2002
25.60 4 9/1/2009 12/1/2009
23.60 1 9/1/2011 9/1/2011
21.82 1 1/1/2003 1/1/2003
21.53 1 5/1/2002 5/1/2002
21.14 4 8/1/2006 11/1/2006
18.08 1 3/1/2002 3/1/2002
16.91 3 5/1/2005 7/1/2005
14.65 3 2/1/2014 4/1/2014
13.98 1 7/1/2009 7/1/2009
12.64 2 4/1/2003 5/1/2003
12.00 2 5/1/2012 6/1/2012
10.96 3 2/1/2013 4/1/2013
10.83 2 6/1/2010 7/1/2010
10.42 3 4/1/2006 6/1/2006
9.44 2 9/1/2010 10/1/2010
9.01 2 1/1/2007 2/1/2007
8.05 1 5/1/2004 5/1/2004
6.01 2 6/1/2008 7/1/2008
5.33 3 2/1/2010 4/1/2010
4.74 1 4/1/2008 4/1/2008
4.22 1 4/1/2015 4/1/2015
3.90 1 10/1/2014 10/1/2014
3.70 1 2/1/2015 2/1/2015
3.63 1 1/1/2011 1/1/2011
2.57 1 12/1/2011 12/1/2011
2.13 1 9/1/2013 9/1/2013
1.57 1 8/1/2014 8/1/2014
1.20 1 5/1/2011 5/1/2011
0.07 1 11/1/2008 11/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-23.16 2 2/1/2003 3/1/2003
-20.01 2 1/1/2002 2/1/2002
-19.47 4 1/1/2012 4/1/2012
-18.03 7 7/1/2012 1/1/2013
-16.69 1 3/1/2008 3/1/2008
-16.04 2 10/1/2011 11/1/2011
-15.04 2 6/1/2004 7/1/2004
-14.14 1 4/1/2004 4/1/2004
-13.31 3 12/1/2008 2/1/2009
-13.24 3 11/1/2014 1/1/2015
-13.22 3 2/1/2011 4/1/2011
-12.29 4 5/1/2013 8/1/2013
-11.99 1 4/1/2002 4/1/2002
-10.64 2 3/1/2007 4/1/2007
-10.46 1 10/1/2004 10/1/2004
-8.88 3 6/1/2011 8/1/2011
-8.75 1 1/1/2005 1/1/2005
-8.29 1 6/1/2003 6/1/2003
-7.81 2 6/1/2002 7/1/2002
-7.74 2 11/1/2002 12/1/2002
-7.37 4 10/1/2013 1/1/2014
-7.02 1 8/1/2005 8/1/2005
-6.93 3 5/1/2014 7/1/2014
-6.64 1 6/1/2009 6/1/2009
-5.61 1 3/1/2015 3/1/2015
-5.33 1 8/1/2009 8/1/2009
-4.98 1 4/1/2005 4/1/2005
-4.73 3 8/1/2008 10/1/2008
-4.56 1 7/1/2006 7/1/2006
-2.99 1 3/1/2006 3/1/2006
-2.34 1 10/1/2007 10/1/2007
-2.25 1 5/1/2008 5/1/2008
-1.71 1 9/1/2014 9/1/2014
-1.46 1 8/1/2010 8/1/2010
-1.43 1 5/1/2010 5/1/2010
-0.87 1 1/1/2010 1/1/2010
-0.72 2 11/1/2010 12/1/2010
-0.56 1 12/1/2006 12/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods160.00158.00155.00149.00143.00137.00125.00113.00101.00
Percent Profitable54.3861.3967.7471.8171.3370.8075.2080.5390.10
Average Period Return1.765.4511.6125.6243.6165.21116.32181.68264.35
Average Gain7.2013.0021.1940.5867.2299.75163.05231.83295.50
Average Loss-4.72-6.56-8.51-12.48-15.13-18.54-25.40-25.78-19.11
Best Period29.0244.8284.31154.89201.04279.10419.14585.29794.74
Worst Period-17.63-18.62-29.91-29.62-35.31-37.02-42.01-44.32-32.68
Standard Deviation8.0512.7920.7533.7552.7773.42122.60181.40252.29
Gain Standard Deviation6.2010.1918.3027.7443.7858.91105.44166.90246.58
Loss Standard Deviation4.344.795.787.159.409.788.1211.1511.31
Sharpe Ratio (1%)0.210.410.540.730.800.860.920.981.03
Average Gain / Average Loss1.521.982.493.254.445.386.428.9915.46
Profit / Loss Ratio1.823.155.238.2911.0513.0519.4637.19140.70
Downside Deviation (10%)4.525.677.0410.0313.1916.4220.9221.5015.95
Downside Deviation (5%)4.365.166.068.0810.2012.2714.7114.028.33
Downside Deviation (0%)4.325.035.827.619.5111.3013.2612.356.90
Sortino Ratio (10%)0.300.741.302.062.733.354.817.4514.84
Sortino Ratio (5%)0.381.011.833.054.135.157.7012.6731.11
Sortino Ratio (0%)0.411.081.993.374.595.778.7714.7138.33

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 9 3.90 10/2014
IASG CTA Index Month 10 10.57 2/2014
Diversified Trader Index Month 10 10.57 2/2014
Discretionary Trader Index Month 3 10.57 2/2014
Discretionary Trader Index Month 3 9.22 4/2013
Discretionary Trader Index Month 3 9.31 5/2012
IASG CTA Index Month 4 23.60 9/2011
Diversified Trader Index Month 3 23.60 9/2011
Discretionary Trader Index Month 2 23.60 9/2011
IASG CTA Index 5 Year Rolling 7 246.39 2005 - 2010
Discretionary Trader Index Month 7 5.42 7/2010
IASG CTA Index 5 Year Rolling 2 331.69 2004 - 2009
Discretionary Trader Index Month 10 6.62 11/2009
Discretionary Trader Index Month 3 8.52 10/2009
Diversified Trader Index Month 5 8.52 10/2009
IASG CTA Index Month 6 8.52 10/2009
Discretionary Trader Index Month 6 8.07 9/2009
Diversified Trader Index Month 9 8.07 9/2009
IASG CTA Index Month 2 13.98 7/2009
Discretionary Trader Index Month 1 13.98 7/2009
Diversified Trader Index Month 1 13.98 7/2009
Discretionary Trader Index Month 4 17.36 5/2009
Diversified Trader Index Month 9 17.36 5/2009
IASG CTA Index Month 10 17.36 5/2009
Diversified Trader Index Month 4 11.19 4/2009
IASG CTA Index Month 5 11.19 4/2009
Discretionary Trader Index Month 2 11.19 4/2009
Discretionary Trader Index Month 6 6.02 3/2009
Diversified Trader Index Month 6 6.02 3/2009
IASG CTA Index Month 8 6.02 3/2009
IASG CTA Index 5 Year Rolling 1 383.53 2003 - 2008
Diversified Trader Index Month 6 4.74 4/2008
Discretionary Trader Index Month 5 4.74 4/2008
Discretionary Trader Index Month 8 5.15 1/2008
Discretionary Trader Index Month 8 9.92 12/2007
Diversified Trader Index Month 7 9.92 12/2007
IASG CTA Index 5 Year Rolling 1 734.87 2002 - 2007
IASG CTA Index 3 Year Rolling 1 186.80 2004 - 2007
Discretionary Trader Index Month 10 2.28 11/2007
Discretionary Trader Index Month 6 11.69 9/2007
Discretionary Trader Index Month 8 1.60 7/2007
IASG CTA Index Month 7 9.46 6/2007
Diversified Trader Index Month 5 9.46 6/2007
Discretionary Trader Index Month 2 9.46 6/2007
Discretionary Trader Index Month 3 7.67 5/2007
Diversified Trader Index Month 9 7.67 5/2007
Diversified Trader Index Month 10 4.52 2/2007
Discretionary Trader Index Month 7 4.52 2/2007
Discretionary Trader Index Month 6 4.30 1/2007
IASG CTA Index 5 Year Rolling 2 536.52 2001 - 2006
IASG CTA Index 3 Year Rolling 1 239.97 2003 - 2006
Discretionary Trader Index Month 4 11.29 10/2006
Diversified Trader Index Month 4 11.29 10/2006
IASG CTA Index Month 7 11.29 10/2006
Discretionary Trader Index Month 4 1.76 9/2006
Discretionary Trader Index Month 7 2.16 8/2006
Discretionary Trader Index Month 4 3.41 5/2006
Discretionary Trader Index Month 6 5.71 4/2006
Discretionary Trader Index Month 8 1.94 2/2006
Diversified Trader Index Month 10 1.94 2/2006
Discretionary Trader Index Month 10 3.76 1/2006
Discretionary Trader Index Month 2 15.95 12/2005
Diversified Trader Index Month 2 15.95 12/2005
IASG CTA Index Month 2 15.95 12/2005
IASG CTA Index Year Rolling 2 52.20 2004 - 2005
IASG CTA Index 3 Year Rolling 2 343.07 2002 - 2005
Discretionary Trader Index Month 6 1.92 11/2005
Discretionary Trader Index Month 2 2.12 10/2005
Discretionary Trader Index Month 7 3.51 9/2005
Diversified Trader Index Month 7 4.06 7/2005
IASG CTA Index Month 8 4.06 7/2005
Discretionary Trader Index Month 5 4.06 7/2005
Discretionary Trader Index Month 10 2.87 6/2005
Discretionary Trader Index Month 1 9.21 5/2005
Discretionary Trader Index Month 1 29.02 2/2005
IASG CTA Index Month 1 29.02 2/2005
Diversified Trader Index Month 1 29.02 2/2005
IASG CTA Index Month 2 13.43 12/2004
IASG CTA Index Year Rolling 2 71.47 2003 - 2004
IASG CTA Index 3 Year Rolling 3 221.04 2001 - 2004
Diversified Trader Index Month 1 13.43 12/2004
Discretionary Trader Index Month 1 13.43 12/2004
Discretionary Trader Index Month 2 13.25 11/2004
Diversified Trader Index Month 8 13.25 11/2004
IASG CTA Index Month 9 13.25 11/2004
Discretionary Trader Index Month 2 12.21 9/2004
Diversified Trader Index Month 3 12.21 9/2004
IASG CTA Index Month 4 12.21 9/2004
IASG CTA Index Month 1 19.93 8/2004
Diversified Trader Index Month 1 19.93 8/2004
Discretionary Trader Index Month 1 19.93 8/2004
Discretionary Trader Index Month 1 8.05 5/2004
Diversified Trader Index Month 4 8.05 5/2004
IASG CTA Index Month 5 8.05 5/2004
Diversified Trader Index Month 4 9.55 3/2004
Discretionary Trader Index Month 4 9.55 3/2004
IASG CTA Index Month 7 9.55 3/2004
Discretionary Trader Index Month 3 11.53 2/2004
IASG CTA Index Month 1 15.03 1/2004
Discretionary Trader Index Month 1 15.03 1/2004

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