Diamond Capital Management : Enhanced S&P Program Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 3.27% Dec Performance 2.76% Min Investment $ 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 10.17% Sharpe (RFR=1%) 0.96 CAROR 10.71% Assets $ 7.6M Worst DD -13.03 S&P Correlation 0.73 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since10/2009 Enhanced S&P Program 2.76 6.54 3.27 3.27 8.02 26.35 162.95 214.09 S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 195.57 258.74 +/- S&P 500 -0.95 -5.14 -12.99 -12.99 -32.45 -55.55 -32.63 -44.66 Strategy Description SummaryThe Enhanced S&P Program (ESP) consists of primarily two basic trading components. These include a trend-following system enhanced with a premium capture system.Trend-Following System This system utilizes a computerized technical trend-following strategy with various levels of money... Read More Account & Fees Type Managed Account Minimum Investment $ 100k Trading Level Incremental Increase $ 50k CTA Max Funding Factor 2.00 Management Fee 2.00% Performance Fee 20.00% Average Commission $10.50 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 540 RT/YR/$M Avg. Margin-to-Equity 15% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Stock Index Traders Holding Periods Over 12 Months 0% 4-12 Months 5.00% 1-3 Months 25.00% 1-30 Days 70.00% Intraday 0% Decision-Making Discretionary 10.00% Systematic 90.00% Strategy Counter-trend 10.00% Option-writing 30.00% Trend-following 60.00% Composition Stock Indices 100.00% SummaryThe Enhanced S&P Program (ESP) consists of primarily two basic trading components. These include a trend-following system enhanced with a premium capture system.Trend-Following System This system utilizes a computerized technical trend-following strategy with various levels of money management techniques. The principal objective is to profit from sustained futures price trends. Trend following is a method of trading which seeks to establish and maintain market positions based on major price movements. The system first determines whether the S&P market is in a bull or bear trend, then trades only with the trend until it gets stopped out. A stop would occur when the S&P moves out of the current trend but has not yet entered into the opposite trend. Within the Trend Following System, proprietary short-term counter-trend signals may be used to get out of the current position or even trade against the trend on a short-term basis. Premium Capture System Within this program, DCM will also write covered and/or uncovered options to capture premiums to increase the potential profits. (Option positions may also increase the risk of market exposure from time to time.) Each month puts and calls will be written – the goal being to capture the premiums either by letting the written options expire or by purchasing them back at lower price.The Volatility Index (also known as the VIX) will be used to determine the number of options to sell and what strike prices to be utilized. Strict risk controls will be in place to limit the downside risks and achieve a desirable risk/reward ratio.Investment StrategyUse of Trend-Following Analysis The trend following portion of the program may utilize sort-term, medium-term or long-term positions. The program may trade both the long and short sides of the market. In its evaluation of the markets, DCM employs a trend-following strategy. One method of successful speculative commodity trading depends upon establishing a position and then maintaining the position while the market moves in a favorable direction. The trader then seeks to exit the particular market and may establish reverse positions when the initial trend either does not materialize or reverses. Trading will not typically be successful if the particular market is moving in an erratic and non-trending manner. Because of the nature of the commodities markets, there will be frequent false-trends. A pure trend-following trading system, method, strategy or model will never direct market entry or exit at the most favorable prices. Rather, this type of trading method seeks to close out losing positions and to hold portions of profitable positions for as long as the trader determines that the particular market trend continues to exist and liquidates when the trend reverses. As a result, the number of losing transactions can be expected to exceed the number of profitable transactions. However, if the approach is successful, these losses should be relatively smaller and should be more than offset by a few larger gains.Use of Stock Index Options The option trading for this program is based primarily on writing out-of-the-money call and put options with the expectation that the options will either be bought back at a lower price or expire. In order to efficiently control risk, based on a proprietary risk control system developed by Mr. Hu, the trader will roll out of positions either vertically (to a further month) or diagonally (further out-of-the-money), as determined by current market conditions. From time to time, options may also be rolled closer to the underlying futures price if the perceived risk/reward is favorable. Technical analysis, chart reading and pattern recognition are used to determine which options to write for each monthly cycle. Occasionally, options may be purchased to either hedge positions or speculate on substantial movement in the underlying stock index.Risk ManagementRisk measurement is trade-based and takes into account volatility, current market conditions, and as well as other proprietary risk parameters. This implies a (internal) risk-evaluation by the applied systems, which may lead to adjustments of positions. The initial risk evaluation determines the position size at the time of entry. All positions have pre-defined profit goals and risk exposure. Stop loss measures are utilized as well as the use of derivative hedging techniques to quantify market exposure. Market conditions are monitored for liquidity, range of movement and implied volatility measured against historical volatility. In doing so, the Advisor employs money management skills acquired over years of experience. 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 -13.03 19 - 9/1/2018 4/1/2020 -10.82 2 6 4/1/2010 6/1/2010 -10.49 2 6 12/1/2015 2/1/2016 -8.52 3 5 5/1/2011 8/1/2011 -5.33 1 4 7/1/2015 8/1/2015 -5.28 1 5 1/1/2018 2/1/2018 -3.71 1 1 12/1/2013 1/1/2014 -2.90 2 1 11/1/2014 1/1/2015 -1.65 1 1 9/1/2014 10/1/2014 -1.43 1 1 7/1/2013 8/1/2013 -1.43 1 1 6/1/2014 7/1/2014 -0.87 1 3 9/1/2016 10/1/2016 -0.76 1 1 5/1/2013 6/1/2013 -0.71 1 1 2/1/2015 3/1/2015 -0.64 1 1 5/1/2015 6/1/2015 -0.60 1 1 4/1/2012 5/1/2012 -0.14 1 1 11/1/2012 12/1/2012 -0.08 1 1 4/1/2017 5/1/2017 -0.03 1 1 1/1/2010 2/1/2010 Show More Consecutive Gains Run-up Length (Mos.) Start End 20.82 9 9/1/2010 5/1/2011 15.43 8 6/1/2017 1/1/2018 13.69 5 2/1/2014 6/1/2014 12.88 7 3/1/2016 9/1/2016 12.78 4 1/1/2019 4/1/2019 12.62 4 1/1/2012 4/1/2012 11.67 7 3/1/2018 9/1/2018 11.14 4 9/1/2013 12/1/2013 11.05 6 6/1/2012 11/1/2012 10.81 5 1/1/2013 5/1/2013 8.69 2 9/1/2011 10/1/2011 8.47 2 6/1/2019 7/1/2019 8.13 2 7/1/2020 8/1/2020 7.81 2 3/1/2010 4/1/2010 6.79 4 10/1/2009 1/1/2010 6.59 4 9/1/2015 12/1/2015 6.54 3 10/1/2020 12/1/2020 6.09 1 2/1/2015 2/1/2015 5.83 6 11/1/2016 4/1/2017 5.77 1 7/1/2010 7/1/2010 5.74 2 8/1/2014 9/1/2014 4.93 1 7/1/2013 7/1/2013 4.53 3 11/1/2019 1/1/2020 2.28 2 4/1/2015 5/1/2015 2.17 1 11/1/2014 11/1/2014 1.76 1 7/1/2015 7/1/2015 1.24 1 5/1/2020 5/1/2020 0.44 1 11/1/2018 11/1/2018 0.21 1 9/1/2019 9/1/2019 Show More Consecutive Losses Run-up Length (Mos.) Start End -10.82 2 5/1/2010 6/1/2010 -10.49 2 1/1/2016 2/1/2016 -8.81 3 2/1/2020 4/1/2020 -8.52 3 6/1/2011 8/1/2011 -8.06 1 12/1/2018 12/1/2018 -6.99 1 8/1/2019 8/1/2019 -6.77 1 5/1/2019 5/1/2019 -5.41 1 10/1/2018 10/1/2018 -5.33 1 8/1/2015 8/1/2015 -5.28 1 2/1/2018 2/1/2018 -3.71 1 1/1/2014 1/1/2014 -3.51 1 9/1/2020 9/1/2020 -2.90 2 12/1/2014 1/1/2015 -1.74 1 10/1/2019 10/1/2019 -1.65 1 10/1/2014 10/1/2014 -1.43 1 7/1/2014 7/1/2014 -1.43 1 8/1/2013 8/1/2013 -0.87 1 10/1/2016 10/1/2016 -0.76 1 6/1/2013 6/1/2013 -0.71 1 3/1/2015 3/1/2015 -0.71 2 11/1/2011 12/1/2011 -0.64 1 6/1/2015 6/1/2015 -0.60 1 5/1/2012 5/1/2012 -0.17 1 6/1/2020 6/1/2020 -0.14 1 12/1/2012 12/1/2012 -0.08 1 5/1/2017 5/1/2017 -0.04 1 8/1/2010 8/1/2010 -0.03 1 2/1/2010 2/1/2010 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods135.00133.00130.00124.00118.00112.00100.0088.0076.00 Percent Profitable73.3375.9475.3883.8789.8392.86100.00100.00100.00 Average Period Return0.892.625.2310.7317.0724.0240.0256.4671.98 Average Gain2.214.778.1813.7319.5126.2440.0256.4671.98 Average Loss-2.73-4.15-3.82-4.84-4.43-4.85 Best Period7.4011.5317.0627.4640.2056.9392.43116.64135.84 Worst Period-10.44-12.65-9.62-11.72-12.43-8.296.1016.9615.09 Standard Deviation2.944.726.419.4613.1616.6822.8728.9134.37 Gain Standard Deviation1.592.464.177.0011.5115.1622.8728.9134.37 Loss Standard Deviation2.733.582.143.163.992.23 Sharpe Ratio (1%)0.280.500.741.031.181.321.621.811.95 Average Gain / Average Loss0.811.152.142.844.405.41 Profit / Loss Ratio2.233.626.5614.7538.9170.38 Downside Deviation (10%)2.143.163.304.244.524.542.630.812.90 Downside Deviation (5%)2.012.772.392.652.261.93 Downside Deviation (0%)1.982.672.172.301.861.41 Sortino Ratio (10%)0.230.440.831.352.103.039.2143.0215.30 Sortino Ratio (5%)0.400.861.983.676.9011.41 Sortino Ratio (0%)0.450.982.414.669.1517.03 Top Performer Badges Index Award Type Rank Performance Period Trend Following Strategy Index Month 8 1.97 4/2015 Stock Index Trader Index Month 8 1.97 4/2015 Stock Index Trader Index Month 7 6.09 2/2015 Trend Following Strategy Index Month 4 6.09 2/2015 IASG CTA Index 3 Year 8 78.49 2011 - 2014 Stock Index Trader Index Month 4 5.29 8/2014 Stock Index Trader Index Month 9 1.86 6/2014 Stock Index Trader Index Month 7 2.57 5/2014 Stock Index Trader Index Month 3 4.90 2/2014 IASG CTA Index Sharpe 10 1.78 2013 Stock Index Trader Index Month 6 2.99 10/2013 Trend Following Strategy Index Month 3 4.43 9/2013 Stock Index Trader Index Month 4 4.43 9/2013 Stock Index Trader Index Month 2 4.93 7/2013 Stock Index Trader Index Month 7 1.47 5/2013 Stock Index Trader Index Month 10 2.37 4/2013 Stock Index Trader Index Month 9 1.94 3/2013 Stock Index Trader Index Month 5 4.03 1/2013 Trend Following Strategy Index Month 6 1.79 10/2012 Stock Index Trader Index Month 10 1.92 9/2012 Trend Following Strategy Index Month 3 3.90 6/2012 Stock Index Trader Index Month 4 3.89 3/2012 Trend Following Strategy Index Month 8 3.89 3/2012 Stock Index Trader Index Month 6 4.43 2/2012 Stock Index Trader Index Month 8 5.71 10/2011 Trend Following Strategy Index Month 4 5.71 10/2011 Stock Index Trader Index Month 4 2.41 4/2011 Trend Following Strategy Index Month 8 2.76 3/2011 Stock Index Trader Index Month 9 2.79 2/2011 Stock Index Trader Index Month 6 3.80 12/2010 Stock Index Trader Index Month 9 3.37 10/2010 Stock Index Trader Index Month 10 1.44 9/2010 Systematic Trader Index Month 10 5.77 7/2010 Trend Following Strategy Index Month 5 5.77 7/2010 Stock Index Trader Index Month 3 5.77 7/2010 Stock Index Trader Index Month 3 7.40 3/2010 IASG CTA Index Sharpe 1 23.63 2009 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