District Capital Management Inc : Diversified Program

archived programs
Year-to-Date
N / A
Dec Performance
-7.12%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
38.54%
Sharpe (RFR=1%)
0.30
CAROR
5.52%
Assets
$ 578k
Worst DD
-81.43
S&P Correlation
-0.15

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
1/1995
Diversified Program -7.12 -20.51 - -41.31 -77.32 -62.77 -2.95 177.55
S&P 500 2.36 9.92 - 29.60 46.95 104.60 66.20 292.85
+/- S&P 500 -9.48 -30.43 - -70.92 -124.27 -167.37 -69.16 -115.30

Strategy Description

Summary

The system uses a disciplined, multidimensional technical strategy to a diversified group of markets. The strategy is based on multiple, independent and parallel, trend-following systems with a discretionary overlay. Each trading system is designed and validated to extract different... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
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
1000 RT/YR/$M
Avg. Margin-to-Equity
22%
Targeted Worst DD
N/A
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
26.00%
Energy
17.00%
Other
17.00%
Grains
14.00%
Softs
11.00%
Interest Rates
7.00%
Livestock
4.00%
Stock Indices
4.00%
Composition Pie Chart

Summary

The system uses a disciplined, multidimensional technical strategy to a diversified group of markets. The strategy is based on multiple, independent and parallel, trend-following systems with a discretionary overlay. Each trading system is designed and validated to extract different market behaviors on different time horizons (frequencies) for a particular market. Fundamental and economic analyses of varying degrees are utilized. Within the parameters of multiple frequencies, the trading methodology combines systematic, disciplined trading criteria, which are unique to each market, with well-defined, responsible risk management procedures.

Investment Strategy

The Diversified Program invests in a broad mix of U.S. financial and traditional commodity markets. The spectrum includes interest rates, foreign currencies, energy products, precious metals, base metals, soft commodities, grains, meats, and stock index futures. At any one time, the Diversified Program may hold positions in 15 or more markets; it may also have as few as one or two positions during periods of economic stability when markets are basically nontrending. The Diversified Program applies long-term and medium-term trend-following strategies that analyze cash and futures markets, technically and fundamentally, as part of the decision-making process for different market sectors. Quick exit and reversal strategies are interwoven in the prevailing long-term bull or bear 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
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
-81.43 27 - 9/1/2011 12/1/2013
-46.37 6 2 2/1/2008 8/1/2008
-37.84 5 7 1/1/2003 6/1/2003
-33.70 15 3 5/1/2006 8/1/2007
-32.14 15 10 3/1/2004 6/1/2005
-30.38 18 11 3/1/2000 9/1/2001
-29.82 18 6 7/1/1997 1/1/1999
-27.29 8 3 11/1/2009 7/1/2010
-23.87 8 14 3/1/1995 11/1/1995
-23.81 2 3 4/1/2011 6/1/2011
-14.05 2 5 2/1/2009 4/1/2009
-9.08 2 4 8/1/1999 10/1/1999
-8.67 1 1 5/1/1997 6/1/1997
-6.16 1 1 11/1/2008 12/1/2008
-5.33 1 2 9/1/2002 10/1/2002
-5.30 1 1 10/1/2010 11/1/2010
-4.22 1 1 2/1/1997 3/1/1997
-4.08 1 1 9/1/2009 10/1/2009
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
146.86 6 9/1/2007 2/1/2008
115.49 3 9/1/2008 11/1/2008
86.76 7 9/1/2003 3/1/2004
59.33 5 5/1/2002 9/1/2002
57.93 5 12/1/2010 4/1/2011
55.47 7 2/1/1999 8/1/1999
53.99 6 9/1/1996 2/1/1997
44.79 3 8/1/2010 10/1/2010
39.16 3 3/1/2013 5/1/2013
38.45 4 9/1/2005 12/1/2005
37.56 3 3/1/2006 5/1/2006
32.59 3 9/1/2004 11/1/2004
32.23 3 11/1/2002 1/1/2003
31.99 3 7/1/2011 9/1/2011
28.92 2 12/1/1995 1/1/1996
24.72 1 5/1/2012 5/1/2012
24.19 1 4/1/1996 4/1/1996
23.26 3 1/1/1995 3/1/1995
21.93 2 5/1/2008 6/1/2008
21.10 3 7/1/2009 9/1/2009
18.46 1 7/1/1997 7/1/1997
17.51 4 10/1/2001 1/1/2002
14.47 2 4/1/1997 5/1/1997
13.52 1 11/1/2009 11/1/2009
12.27 1 1/1/2013 1/1/2013
11.89 1 7/1/2012 7/1/2012
11.19 2 1/1/2009 2/1/2009
9.57 1 2/1/2007 2/1/2007
9.01 2 11/1/1997 12/1/1997
8.96 2 2/1/2000 3/1/2000
8.73 1 9/1/2000 9/1/2000
8.68 1 4/1/2003 4/1/2003
7.72 1 10/1/2013 10/1/2013
7.26 1 7/1/1995 7/1/1995
6.94 2 11/1/1999 12/1/1999
6.17 1 11/1/2006 11/1/2006
5.94 1 4/1/2001 4/1/2001
4.38 2 2/1/1998 3/1/1998
4.11 2 11/1/1998 12/1/1998
3.87 1 4/1/2010 4/1/2010
3.66 1 5/1/2009 5/1/2009
3.65 1 4/1/2007 4/1/2007
3.52 1 7/1/2000 7/1/2000
3.43 1 8/1/1998 8/1/1998
3.01 1 7/1/2005 7/1/2005
2.80 1 7/1/2001 7/1/2001
2.59 1 7/1/2003 7/1/2003
2.34 1 7/1/2007 7/1/2007
1.81 2 7/1/2006 8/1/2006
1.59 1 11/1/2000 11/1/2000
1.39 1 6/1/2004 6/1/2004
1.16 1 6/1/2010 6/1/2010
0.80 1 9/1/1997 9/1/1997
0.54 1 6/1/1996 6/1/1996
0.45 1 1/1/2010 1/1/2010
0.04 1 9/1/1995 9/1/1995
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-62.92 7 10/1/2011 4/1/2012
-43.34 2 7/1/2008 8/1/2008
-32.33 1 2/1/2013 2/1/2013
-31.10 7 12/1/2004 6/1/2005
-30.17 4 6/1/2013 9/1/2013
-30.03 2 5/1/2003 6/1/2003
-29.21 5 8/1/2012 12/1/2012
-26.21 2 11/1/2013 12/1/2013
-23.81 2 5/1/2011 6/1/2011
-22.37 2 3/1/2008 4/1/2008
-22.24 2 2/1/1996 3/1/1996
-21.63 4 4/1/1998 7/1/1998
-20.64 3 4/1/1995 6/1/1995
-19.31 3 4/1/2000 6/1/2000
-18.76 2 7/1/2004 8/1/2004
-18.25 2 2/1/2003 3/1/2003
-16.77 2 5/1/2007 6/1/2007
-16.44 2 8/1/2001 9/1/2001
-15.80 2 9/1/2006 10/1/2006
-14.22 1 5/1/1996 5/1/1996
-14.05 2 3/1/2009 4/1/2009
-13.62 1 6/1/2012 6/1/2012
-11.76 1 7/1/2010 7/1/2010
-10.82 2 2/1/2010 3/1/2010
-9.82 2 4/1/2004 5/1/2004
-9.54 4 12/1/2000 3/1/2001
-9.52 2 1/1/2006 2/1/2006
-9.08 2 9/1/1999 10/1/1999
-8.67 1 6/1/1997 6/1/1997
-8.25 1 1/1/1999 1/1/1999
-8.21 1 12/1/2009 12/1/2009
-8.21 1 3/1/2007 3/1/2007
-8.16 1 8/1/1997 8/1/1997
-7.69 3 2/1/2002 4/1/2002
-7.29 1 6/1/2006 6/1/2006
-7.26 2 9/1/1998 10/1/1998
-6.32 2 10/1/1995 11/1/1995
-6.16 1 12/1/2008 12/1/2008
-5.97 2 12/1/2006 1/1/2007
-5.89 1 8/1/2007 8/1/2007
-5.33 1 10/1/2002 10/1/2002
-5.30 1 11/1/2010 11/1/2010
-5.10 1 10/1/1997 10/1/1997
-5.02 2 7/1/1996 8/1/1996
-4.63 1 5/1/2010 5/1/2010
-4.57 1 8/1/1995 8/1/1995
-4.30 1 10/1/2000 10/1/2000
-4.22 1 3/1/1997 3/1/1997
-4.08 1 10/1/2009 10/1/2009
-3.34 2 5/1/2001 6/1/2001
-3.05 1 6/1/2009 6/1/2009
-2.43 1 8/1/2005 8/1/2005
-2.22 1 1/1/1998 1/1/1998
-0.94 1 1/1/2000 1/1/2000
-0.91 1 8/1/2000 8/1/2000
-0.47 1 8/1/2003 8/1/2003
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods228.00226.00223.00217.00211.00205.00193.00181.00169.00
Percent Profitable52.6350.4452.0259.4568.2578.5483.9487.2993.49
Average Period Return1.043.266.8513.8321.5830.0351.0976.6498.67
Average Gain8.7318.3427.5037.3043.1746.5366.4492.53107.74
Average Loss-7.50-12.08-15.52-20.58-24.82-30.36-29.15-32.53-31.54
Best Period54.09115.49146.86125.06197.70187.94255.81371.10343.65
Worst Period-32.33-41.51-57.87-62.71-74.32-76.64-77.32-68.35-62.77
Standard Deviation11.1320.1129.3537.2543.6347.4261.1481.7376.04
Gain Standard Deviation8.7016.2824.9928.1333.5037.5053.7374.7969.91
Loss Standard Deviation6.228.8712.4616.3520.5726.2022.3421.2921.52
Sharpe Ratio (1%)0.090.150.220.340.460.590.790.891.23
Average Gain / Average Loss1.161.521.771.811.741.532.282.843.42
Profit / Loss Ratio1.291.551.922.663.745.6111.9119.5449.07
Downside Deviation (10%)6.9111.2415.1419.3221.6322.3820.3421.1916.70
Downside Deviation (5%)6.7310.6814.0317.2018.7719.2115.6215.0210.72
Downside Deviation (0%)6.6910.5313.7616.7018.1118.4914.6313.779.60
Sortino Ratio (10%)0.090.180.290.460.650.881.742.604.25
Sortino Ratio (5%)0.140.280.450.751.071.463.084.838.73
Sortino Ratio (0%)0.160.310.500.831.191.623.495.5710.28

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.