Diamond Peak Capital LLC : Northstar (2x) program

archived programs
Year-to-Date
N / A
Dec Performance
5.10%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.72%
Sharpe (RFR=1%)
0.57
CAROR
7.70%
Assets
$ 4.6M
Worst DD
-26.28
S&P Correlation
0.09

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 YTD 1yr 3yr 5yr 10yr Since
10/2008
Northstar (2x) program 5.10 0.14 - -5.33 23.76 7.60 - 58.96
S&P 500 -0.42 4.39 - 11.39 63.72 84.61 - 112.50
+/- S&P 500 5.52 -4.25 - -16.72 -39.96 -77.00 - -53.54

Strategy Description

Summary

Northstar is an equity index-focused, long/short systematic trading program. It targets mean reversion swing trades, while utilizing trend following filters which aim to only take those trades in the direction of the long-term trend. Trade duration is typically 3 days on average.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$4.50
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
9%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
26.28%
Sector Focus
Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary
2.00%
Systematic
98.00%

Strategy

Counter-trend
80.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Northstar is an equity index-focused, long/short systematic trading program. It targets mean reversion swing trades, while utilizing trend following filters which aim to only take those trades in the direction of the long-term trend. Trade duration is typically 3 days on average. The program applies strict money management rules, disciplined entry and exit criteria, and stops on all positions. Northstar is uncorrelated with equity/CTA/hedge fund indexes, and is generally uncorrelated to other CTAs. Clients must be QEPs as Diamond Peak Capital operates under the Section 4.7 exemption. The above return information is generated from accounts DPC LLC deems representative of the program's overall performance. October 2008-August 2009 performance is the Northstar aggressive program, net of fees, trading Rydex mutual funds, and was calculated by Fleming Financial Services, P.C. Results September 2009 - present are a performance composite of client futures accounts. The futures returns were generated using Hedgefacts Analytics software and are calculated per NFA guidelines.

Investment Strategy

Northstar is a quantitative, statistically-driven investment approach that combines our many years of experience trading both equity and futures markets. It employs short-term trading, with 1-7 day holding periods, and targets high win/loss ratios, while taking profits quickly. The program spends significant time out of the market altogether, ie 70% of days flat/in a cash position. DPC believes a disciplined & systematic approach to trading can be more profitable over the long-term than discretionary trading. The strategy was developed through rigorous research and back-testing of market data back to 2001. The portfolio manager's preferred trading style is swing trading, which attempts to avoid deep and lasting draw-downs, as well as the onus of continuous, intra-day trading. We believe in creating strategies that can be adhered to and executed in both good times and bad.

Risk Management

Risk management is considered at every level of strategy creation and portfolio construction. Northstar's risk mgt algorithms were updated October of 2011 as follows: the aggressive trading systems were removed, intra-day trading systems were removed, and money management stops were tightened. Please see the Northstar Presentation for further details. Risks are mitigated in the following ways: • Frequent cash position reduces overall market exposure by 70% on average • Stops on all positions • Focus on high probability trades with 65% to 85% win ratios • Take profits quickly, short-term holding period • Scale into positions • Three uncorrelated trading systems, each market has different buy/sell criteria • Take positions only in the direction of the trend

   

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
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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
-26.28 3 25 6/1/2011 9/1/2011
-11.03 9 5 12/1/2009 9/1/2010
-10.36 4 - 6/1/2014 10/1/2014
-4.80 2 4 12/1/2013 2/1/2014
-4.37 1 1 10/1/2008 11/1/2008
-0.58 1 1 4/1/2009 5/1/2009
-0.53 1 1 9/1/2009 10/1/2009
-0.44 1 1 2/1/2009 3/1/2009
-0.36 1 1 7/1/2009 8/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
21.51 3 12/1/2008 2/1/2009
18.04 7 12/1/2010 6/1/2011
16.45 7 2/1/2012 8/1/2012
8.34 1 10/1/2008 10/1/2008
7.84 3 10/1/2013 12/1/2013
7.78 1 4/1/2009 4/1/2009
7.23 4 3/1/2013 6/1/2013
6.59 2 11/1/2009 12/1/2009
5.97 1 10/1/2011 10/1/2011
5.42 2 11/1/2014 12/1/2014
5.24 4 3/1/2014 6/1/2014
3.51 2 6/1/2009 7/1/2009
3.49 1 12/1/2011 12/1/2011
2.92 1 10/1/2010 10/1/2010
1.95 1 10/1/2012 10/1/2012
1.88 2 7/1/2010 8/1/2010
1.73 2 2/1/2010 3/1/2010
1.32 1 9/1/2014 9/1/2014
1.12 1 8/1/2013 8/1/2013
0.59 1 9/1/2009 9/1/2009
0.20 1 12/1/2012 12/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-26.28 3 7/1/2011 9/1/2011
-8.44 3 4/1/2010 6/1/2010
-6.87 2 7/1/2014 8/1/2014
-5.00 1 10/1/2014 10/1/2014
-4.80 2 1/1/2014 2/1/2014
-4.37 1 11/1/2008 11/1/2008
-4.12 1 9/1/2010 9/1/2010
-3.63 1 11/1/2012 11/1/2012
-2.22 1 1/1/2010 1/1/2010
-1.88 1 9/1/2012 9/1/2012
-0.58 1 5/1/2009 5/1/2009
-0.53 1 10/1/2009 10/1/2009
-0.44 1 3/1/2009 3/1/2009
-0.36 1 8/1/2009 8/1/2009
-0.34 1 11/1/2010 11/1/2010
-0.23 1 9/1/2013 9/1/2013
-0.20 1 1/1/2012 1/1/2012
-0.16 1 11/1/2011 11/1/2011
-0.13 2 1/1/2013 2/1/2013
-0.06 1 7/1/2013 7/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods75.0073.0070.0064.0058.0052.0040.0028.00
Percent Profitable64.0065.7565.7167.1975.8669.2387.50100.00
Average Period Return0.691.883.535.907.619.3910.5817.93
Average Gain2.615.669.4912.4212.2816.8412.2917.93
Average Loss-2.73-5.38-7.90-7.46-7.06-7.36-1.38
Best Period10.0521.5129.6341.8446.9432.7235.3146.47
Worst Period-10.66-26.28-24.05-14.54-20.17-15.80-2.3910.10
Standard Deviation3.677.1510.7512.3112.4014.068.639.36
Gain Standard Deviation2.354.186.749.3510.119.597.839.36
Loss Standard Deviation3.085.987.113.885.575.010.89
Sharpe Ratio (1%)0.160.230.280.400.490.530.881.48
Average Gain / Average Loss0.961.051.201.661.742.298.90
Profit / Loss Ratio1.702.022.303.415.475.1562.32
Downside Deviation (10%)2.625.177.337.548.1610.399.177.26
Downside Deviation (5%)2.484.756.395.314.985.851.60
Downside Deviation (0%)2.444.656.174.804.364.890.56
Sortino Ratio (10%)0.110.130.140.120.00-0.08-0.56-0.50
Sortino Ratio (5%)0.240.340.470.921.231.264.74
Sortino Ratio (0%)0.280.400.571.231.751.9218.81

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 5 3.31 11/2013
Stock Index Trader Index Month 6 3.65 4/2013
Stock Index Trader Index Month 10 2.87 8/2012
Stock Index Trader Index Month 9 2.28 5/2012
Stock Index Trader Index Month 6 4.24 4/2012
Stock Index Trader Index Month 6 5.97 10/2011
Systematic Trader Index Month 10 5.97 10/2011
Stock Index Trader Index Month 2 4.63 2/2011
Stock Index Trader Index Month 7 3.07 1/2011
Stock Index Trader Index Month 4 4.00 12/2010
Stock Index Trader Index Month 10 1.21 3/2010
Stock Index Trader Index Month 4 6.03 11/2009
Stock Index Trader Index Month 6 1.66 7/2009
Stock Index Trader Index Month 10 1.82 6/2009
Stock Index Trader Index Month 4 7.78 4/2009
Systematic Trader Index Month 7 7.78 4/2009
Systematic Trader Index Month 5 10.05 1/2009
Stock Index Trader Index Month 1 10.05 1/2009
IASG CTA Index Month 7 10.05 1/2009
Stock Index Trader Index Month 1 8.02 12/2008
Stock Index Trader Index Month 6 0.00 10/2008

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