Di Tomasso Group Inc. : Equilibrium Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since1/2002 Equilibrium Program 4.22 - - - - - -41.13 896.37 S&P 500 0.85 - - - - - 80.25 228.90 +/- S&P 500 3.37 - - - - - -121.38 667.47 Strategy Description SummaryThe 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 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% Composition Grains 20.00% Softs 20.00% Industrial Metals 15.00% Precious Metals 15.00% Energy 15.00% Livestock 15.00% SummaryThe 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 StrategyOur 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 ManagementRisk 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 Show More 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 Show More 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 Show More 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 7 246.39 2005 - 2010 Discretionary Trader Index Month 7 5.42 7/2010 IASG CTA Index 5 Year 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 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 1 734.87 2002 - 2007 IASG CTA Index 3 Year 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 2 536.52 2001 - 2006 IASG CTA Index 3 Year 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 Annual 2 52.20 2005 IASG CTA Index 3 Year 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 Annual 2 71.47 2004 IASG CTA Index 3 Year 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. x {{title}} x {{title}} Add Cancel