Diamond Capital Management : Options Program

archived programsClosed to new investments
Year-to-Date
N / A
Feb Performance
-0.02%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
8.92%
Sharpe (RFR=1%)
0.67
CAROR
6.77%
Assets
$ 2.5M
Worst DD
-21.08
S&P Correlation
0.30

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
3/2001
Options Program -0.02 - - - - - - 80.27
S&P 500 2.85 - - - - - - 178.90
+/- S&P 500 -2.87 - - - - - - -98.63

Strategy Description

Summary

-Diamond Capital Management Option Trading Program uses an approach to trading that relies heavily on selling or "writing" options on stock index futures. Diamond may also, from time to time, purchase options and may employ the use of hedge strategies such as option spreads, straddles,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $20.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 40%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 50.00%
Systematic 50.00%

Strategy

Option-spreads
10.00%
Option-writing
90.00%
Strategy Pie Chart

Summary

-Diamond Capital Management Option Trading Program uses an approach to trading that relies heavily on selling or "writing" options on stock index futures. Diamond may also, from time to time, purchase options and may employ the use of hedge strategies such as option spreads, straddles, strangles or may purchase or sell futures to offset an open option position. The implementation of this trading program depends on both technical and fundamental considerations. The strategy typically utilizes an average of two to six week trade durations within given price levels while relying on charting techniques to identify trading ranges from one month to a year as well as seasonal and historical tendencies. Support and resistance levels for various time durations are also evaluated to assist in the entry and exit of positions. The profitability of a trading strategy consisting of selling ("writing") options on an index depends upon the subsequent price movement of the index. It is the intention of Diamond to write mainly "out-of-the-money" puts and calls while seeking to sell into volatility. Thus, if the index remains within approximately 10% of its current price and the option remains "out-of-the-money" until expiration, the puts and/or calls will be profitable. It is Diamond's goal to produce consistent positive returns. the trading strategies 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. Bear in mind that past performance is not necessarily indicative of future results. The risk of substantial loss exists in writing options.

Investment Strategy

Diamond Capital Management Option Trading Program uses an approach to trading that relies heavily on selling or "writing" options on stock index futures. Diamond may also, from time to time, purchase options and may employ the use of hedge strategies such as option spreads, straddles, strangles or may purchase or sell futures to offset an open option position. The implementation of this trading program depends on both technical and fundamental considerations. The strategy typically utilizes an average of two to six week trade durations within given price levels while relying on charting techniques to identify trading ranges from one month to a year as well as seasonal and historical tendencies. Support and resistance levels for various time durations are also evaluated to assist in the entry and exit of positions. The profitability of a trading strategy consisting of selling ("writing") options on an index depends upon the subsequent price movement of the index. It is the intention of Diamond to write mainly "out-of-the-money" puts and calls while seeking to sell into volatility. Thus, if the index remains within approximately 10% of its current price and the option remains "out-of-the-money" until expiration, the puts and/or calls will be profitable. This trading strategy is not dependent on market moves and is therefore suited to all types of market conditions. For example, instead of seeking to profit through the purchase of individual shares of stock, which are in the benchmark S&P 500 Index, Diamond sells options on the Index itself. When writing options on the S&P 500 Index, the market can move up, down, or sideways within a specific range and still produce profits at, or as it nears, option expiration. Conversely, when buying stocks, the stock must move higher and/or pay good dividends to make the trade profitable. It is Diamond's goal to produce consistent positive returns. Rigorous risk management is used to minimize monthly drawdowns. As such, the trading strategies 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. Bear in mind that past performance is not necessarily indicative of future results. The risk of substantial loss exists in writing options.

Risk Management

Risk measurement is trade-based and takes into account volatility, time to expiration, and current market conditions. 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. Price behavior may lead to a reduction of the initial position. Significantly adverse price behavior may lead to an exit for the entire (remainder of the) position at which time we would implement our repair strategy. 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.

   

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:
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Risk
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Average Loss:
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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:
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
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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
-21.08 14 - 8/1/2007 10/1/2008
-4.77 3 2 1/1/2007 4/1/2007
-4.65 1 1 6/1/2007 7/1/2007
-3.17 1 2 12/1/2002 1/1/2003
-2.90 1 1 1/1/0001 3/1/2001
-2.51 1 1 5/1/2003 6/1/2003
-2.20 1 2 8/1/2001 9/1/2001
-1.89 1 1 11/1/2003 12/1/2003
-0.73 1 1 4/1/2006 5/1/2006
-0.21 1 1 9/1/2006 10/1/2006
-0.20 1 1 3/1/2005 4/1/2005
-0.17 1 1 10/1/2005 11/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
35.44 15 10/1/2001 12/1/2002
19.77 15 1/1/2004 3/1/2005
12.24 5 4/1/2001 8/1/2001
7.06 6 5/1/2005 10/1/2005
7.02 5 7/1/2003 11/1/2003
6.90 1 8/1/2007 8/1/2007
6.48 7 3/1/2008 9/1/2008
5.78 2 5/1/2007 6/1/2007
5.29 4 2/1/2003 5/1/2003
4.39 5 12/1/2005 4/1/2006
4.08 4 6/1/2006 9/1/2006
3.50 3 11/1/2006 1/1/2007
3.12 3 10/1/2007 12/1/2007
2.80 2 11/1/2009 12/1/2009
2.28 4 11/1/2008 2/1/2009
1.56 1 3/1/2007 3/1/2007
0.29 1 5/1/2009 5/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.87 1 10/1/2008 10/1/2008
-13.46 2 1/1/2008 2/1/2008
-4.65 1 7/1/2007 7/1/2007
-3.89 1 4/1/2007 4/1/2007
-3.58 1 9/1/2007 9/1/2007
-3.17 1 1/1/2003 1/1/2003
-2.90 1 3/1/2001 3/1/2001
-2.51 1 6/1/2003 6/1/2003
-2.44 1 2/1/2007 2/1/2007
-2.20 1 9/1/2001 9/1/2001
-1.89 1 12/1/2003 12/1/2003
-1.51 5 6/1/2009 10/1/2009
-0.73 1 5/1/2006 5/1/2006
-0.21 1 10/1/2006 10/1/2006
-0.20 1 4/1/2005 4/1/2005
-0.17 1 11/1/2005 11/1/2005
-0.04 2 3/1/2009 4/1/2009
-0.04 2 1/1/2010 2/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods108.00106.00103.0097.0091.0085.0073.0061.0049.00
Percent Profitable76.8583.0280.5878.3571.4369.4176.7178.69100.00
Average Period Return0.581.803.527.1710.7114.7724.6935.6145.76
Average Gain1.453.165.9911.8719.2926.0435.9346.6245.76
Average Loss-2.30-4.86-6.77-9.87-10.73-10.81-12.34-5.01
Best Period6.9011.2016.5928.1238.6949.5163.0585.82105.58
Worst Period-13.87-13.12-13.95-19.55-19.28-19.53-15.90-9.000.73
Standard Deviation2.584.276.2611.0215.4818.9725.0330.0134.26
Gain Standard Deviation1.152.193.316.788.128.8516.3023.8234.26
Loss Standard Deviation3.715.624.994.654.926.892.462.88
Sharpe Ratio (1%)0.190.360.480.560.590.670.871.051.19
Average Gain / Average Loss0.630.650.891.201.802.412.919.31
Profit / Loss Ratio2.093.183.674.354.495.479.5934.37
Downside Deviation (10%)2.183.384.627.3110.1312.2313.9413.4611.94
Downside Deviation (5%)2.093.083.855.487.038.027.514.461.00
Downside Deviation (0%)2.073.013.675.066.297.056.072.64
Sortino Ratio (10%)0.080.170.230.300.310.370.641.051.52
Sortino Ratio (5%)0.240.500.781.121.311.592.887.0740.58
Sortino Ratio (0%)0.280.600.961.421.702.094.0713.48

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.