Diamond Capital Management : Stock Index Options

archived programs
Year-to-Date
N / A
Jul Performance
0.09%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.32%
Sharpe (RFR=1%)
0.64
CAROR
8.84%
Assets
$ 224k
Worst DD
-24.40
S&P Correlation
0.28

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
6/2006
Stock Index Options 0.09 2.92 - 7.99 35.86 69.05 - 68.65
S&P 500 1.26 -1.33 - 6.72 39.66 -5.23 - 8.57
+/- S&P 500 -1.17 4.25 - 1.27 -3.80 74.29 - 60.07

Strategy Description

Summary

The Stock Index Options Program utilizes a strategy that relies heavily on selling or “writing” options on stock index futures with the expectation that either they will expire without the need to buy them back, or will be bought back at a cheaper price to realize a profit. However,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$7.00
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
1100 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
N/A
Worst Peak-to-Trough
24.40%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
18.00%
1-30 Days
80.00%
Intraday
2.00%

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Strategy

Option-writing
95.00%
Spreading/hedging
5.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Stock Index Options Program utilizes a strategy that relies heavily on selling or “writing” options on stock index futures with the expectation that either they will expire without the need to buy them back, or will be bought back at a cheaper price to realize a profit. However, in order to control risk, based on a proprietary risk control system, Diamond Capital (DCM) will roll out either vertically or diagonally (to a further month and further out-of-the-money options) to buy space or space and time. DCM may also roll the options written closer to the underlying futures price if it perceives the risk/reward is in its favor to do so. Occasionally, options may be purchased either to hedge other positions or speculate on substantial movement in the underlying stock index.

Investment Strategy

The Stock Index Options Program utilizes a strategy that relies heavily on selling or “writing” options on stock index futures with the expectation that either they will expire without the need to buy them back, or will be bought back at a cheaper price to realize a profit. However, in order to control risk, based on a proprietary risk control system, Diamond Capital (DCM) will roll out either vertically or diagonally (to a further month and further out-of-the-money options) to buy space or space and time. DCM may also roll the options written closer to the underlying futures price if it perceives the risk/reward is in its favor to do so. Occasionally, options may be purchased either to hedge other positions or speculate on substantial movement in the underlying stock index. The implementation of this trade program depends on statistical analysis, chart reading and pattern recognition to determine which options to write on each monthly cycle. Technical analysis involves the study of charted prices, volumes, momentum, strengths, and moving averages to determine the future course of prices. Technical indicators also include the prices of various options, both in absolute terms in relation to their historic price level, and in relative terms comparing the prices of puts to the prices of similar calls. It is the intention of the Diamond Capital (DCM) to write mainly “out-of-the-money” puts and calls. “Out-of-the-money” puts have strike prices below the current price of the index, and “out-of-the-money” calls have strike prices above the current index price. Thus, if the index remains within the pre-determined trading range, based on current volatility, time to expiration, and various other market conditions, and the option remains “out-of-the-money” until expiration, the puts and calls will be profitable. The trading strategies utilized within this program have pre-defined profit goals and risk exposure. One important factor about the program is that it had a major overhaul as of the end of 2008, resulting in a more systematic program with more rigorous risk controls. 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, DCM employs money management skills acquired over years of experience.

Risk Management

The trading strategies utilized within the Stock Index Options program have pre-defined profit goals and risk exposure. One important factor about the program is that it had a major overhaul as of the end of 2008. The changes from the overhaul resulted in a more systematic program with more rigorous risk controls in place. 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. Please note that given the volatile nature of the markets and possible changes in economic or government policies, amongst other factors, that can not be controlled or foreseen by the Advisor, no assurances can be offered that the Advisor's trading actions and stop loss measures will successfully contain losses and result in profitable trades for a Client, or that a Client will not incur substantial losses.

   

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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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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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
-24.40 2 28 8/1/2008 10/1/2008
-12.91 3 4 1/1/2007 4/1/2007
-5.00 2 5 6/1/2011 8/1/2011
-1.71 1 1 12/1/2007 1/1/2008
-0.81 1 1 6/1/2006 7/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
29.87 5 8/1/2007 12/1/2007
23.74 18 11/1/2008 4/1/2010
18.33 12 7/1/2010 6/1/2011
16.17 7 2/1/2008 8/1/2008
8.94 7 1/1/2012 7/1/2012
7.89 6 8/1/2006 1/1/2007
4.09 2 5/1/2007 6/1/2007
4.04 1 6/1/2006 6/1/2006
3.84 3 9/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.40 2 9/1/2008 10/1/2008
-12.91 3 2/1/2007 4/1/2007
-5.00 2 7/1/2011 8/1/2011
-4.18 2 5/1/2010 6/1/2010
-1.71 1 1/1/2008 1/1/2008
-1.15 1 7/1/2007 7/1/2007
-0.81 1 7/1/2006 7/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods74.0072.0069.0063.0057.0051.0039.0027.00
Percent Profitable82.4384.7278.2676.1982.4690.20100.00100.00
Average Period Return0.792.334.589.1113.8717.0225.2432.90
Average Gain1.794.638.8814.8517.9519.3025.2432.90
Average Loss-4.22-10.40-10.91-9.27-5.31-4.03
Best Period11.9017.8028.3844.9835.5642.0542.7456.77
Worst Period-24.26-23.84-20.80-14.95-7.77-7.130.7816.28
Standard Deviation3.857.0310.5814.1111.0412.4211.2812.81
Gain Standard Deviation1.813.276.2810.657.1210.7811.2812.81
Loss Standard Deviation6.898.728.145.022.022.64
Sharpe Ratio (1%)0.180.300.390.571.121.211.972.25
Average Gain / Average Loss0.420.450.811.603.384.79
Profit / Loss Ratio2.162.472.935.1215.8944.04
Downside Deviation (10%)3.245.597.247.365.585.333.321.76
Downside Deviation (5%)3.175.286.465.542.962.030.36
Downside Deviation (0%)3.155.206.275.112.361.46
Sortino Ratio (10%)0.120.200.290.561.121.272.866.44
Sortino Ratio (5%)0.220.390.631.464.177.3961.54
Sortino Ratio (0%)0.250.450.731.785.8611.63

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.