Diamond Capital Management : Diamond Enhanced Solutions (DES)

Year-to-Date
9.26%
May Performance
0.30%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.46%
Sharpe (RFR=1%)
-2.81
CAROR
-
Assets
$ 1.9M
Worst DD
-9.53
S&P Correlation
0.82

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2020
Diamond Enhanced Solutions (DES) 0.30 -0.43 -9.26 - - - - -9.26
S&P 500 4.53 3.05 -5.77 - - - - -3.88
+/- S&P 500 -4.23 -3.48 -3.49 - - - - -5.38

Strategy Description

Summary

The Diamond Enhanced Solutions (DES) Program offers a combination of the Enhanced S&P Program (ESP) and short-term trading in three typically non-correlated systems to provide diversification of markets traded and applied time-frames.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 150k
Trading Level Incremental Increase $ 8k
CTA Max Funding Factor 2.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $7.50
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 3016 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -8.00%
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 15.00%
1-30 Days 70.00%
Intraday 15.00%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Composition

Stock Indices
75.00%
Energy
15.00%
Precious Metals
10.00%
Composition Pie Chart

Summary

The Diamond Enhanced Solutions (DES) Program offers a combination of the Enhanced S&P Program (ESP) and short-term trading in three typically non-correlated systems to provide diversification of markets traded and applied time-frames.

Investment Strategy

The Diamond Enhanced Solutions (DES) Program offers a combination of the Enhanced S&P Program (ESP) and short-term trading in three typically non-correlated systems to provide diversification of markets traded and applied time-frames.

The Enhanced S&P program portion of the Diamond Enhanced Solutions (DES) program trades the U.S. domestic large-cap stock sector via S&P 500 futures and its options. It's a systematic, proprietary rules-based investing program seeking sustainable, long-term growth for investors by combining proven and independent strategies described below.

The Trend Following System uses a method of trading which seeks to establish and maintain market positions based on major price movements. Our system first determines whether the S&P market is in a bull or bear trend, then trades with the trend until a stop condition is reached. While the core of our trend following system is long-term in nature, proprietary short-term counter-trend system signals may be used to exit a position, create a neutral position, or trade against the trend on a short-term basis.

The Premium Capture System consists of writing deep out of the money covered and/or uncovered options to capture premiums, providing a more balanced and predictable source of returns. (Option positions may also increase the risk of market exposure.) Every period, options that meet proprietary risk parameters are written with the goal being to capture the premium by letting them expire, or occasionally by purchasing them back at a profit. Strict risk controls are used to limit the downside risks and achieve a desirable risk/reward ratio.

The Short-Term Trading Systems within the Diamond Enhanced Solutions Program (DES) actively trade the crude, gold, and S&P futures markets and selectively trades these markets over a short-term time horizon. The gold and S&P futures will utilize the micro, or in some cases depending on account size, the mini sized contracts. In the case of crude oil, positions are only held intra-day with no overnight exposure. Signals are generated off a macro directional indicator, then filtered for executed trades. The gold trading is more short-term trend following in nature, while the actively traded crude futures trading tends to trade both as short-term trend following and counter trend to the macro directional indicator.

The short-term S&P futures related to the short-term trading system typically utilizes micro ES contracts for limited exposure and is designed to trade overbought and oversold opportunities in the S&P index. Positions are initiated after an indication of a “bottoming” process in the case of an oversold market, and “topping” process for an overbought market. Positions tend to last on average 2 weeks until market prices become more neutral, or is stopped out in the case of continued selling in an oversold market, or continued buying in an overbought market.

The short-term trading in these systems has historically been negatively correlated to Diamond’s ESP strategy based on hypothetical back-tested trading beginning in October 2009 when the ESP began trading client accounts.

   

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

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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
-9.53 3 - 1/1/2020 4/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
0.30 1 5/1/2020 5/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.53 4 1/1/2020 4/1/2020
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Time Windows Analysis

 1 Month
Number of Periods5.00
Percent Profitable20.00
Average Period Return-1.90
Average Gain0.30
Average Loss-3.27
Best Period0.30
Worst Period-4.79
Standard Deviation2.44
Gain Standard Deviation
Loss Standard Deviation2.21
Sharpe Ratio (1%)-0.81
Average Gain / Average Loss0.09
Profit / Loss Ratio0.03
Downside Deviation (10%)3.18
Downside Deviation (5%)2.95
Downside Deviation (0%)2.89
Sortino Ratio (10%)-0.73
Sortino Ratio (5%)-0.67
Sortino Ratio (0%)-0.66

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.