Diversified Capital Management : Alpha Index

archived programs
Year-to-Date
N / A
Jan Performance
3.00%
Min Investment
$ 50k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
13.53%
Sharpe (RFR=1%)
1.03
CAROR
14.96%
Assets
$ 50k
Worst DD
-8.65
S&P Correlation
0.47

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
8/2013
Alpha Index 3.00 8.59 - 12.37 57.94 - - 62.90
S&P 500 1.79 7.18 - 17.45 27.84 - - 39.55
+/- S&P 500 1.21 1.41 - -5.08 30.10 - - 23.35

Strategy Description

Summary

The Alpha Index program was designed to mimic many of the benefits of being long benchmark indices while mitigating many of the risks associated with them. With the major benchmark US indices near all-time highs, we believe mitigating the risk of a downturn has never been more important.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
1.50
Management Fee
1.00%
Performance Fee
10.00%
Average Commission
$10.00
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
1000 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
25.00%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
4-12 Months
10.00%
1-3 Months
65.00%
1-30 Days
20.00%
Intraday
5.00%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The Alpha Index program was designed to mimic many of the benefits of being long benchmark indices while mitigating many of the risks associated with them. With the major benchmark US indices near all-time highs, we believe mitigating the risk of a downturn has never been more important.

Investment Strategy

The program specializes in Long Only, but not ONLY and ALWAYS long. DCM’s managers use their market expertise to evaluate over and under bought market conditions and adjust the portfolio exposure accordingly. Additionally the program will hedge the long positions in a number of ways. Including; selling out of the money calls, purchasing puts, put spreads and selling call spreads to enhance income generation and provide a partial hedge to downside risk.

Risk Management

Although the Alpha Index program only goes long the major benchmark indices, it’s not ALWAYS long and it’s not always ONLY long. In fact, the program has two distinct methods of managing it’s long index exposure. The first is by adjusting it’s long holdings. Alpha Index has three potential weightings of the indices it purchases:Flat, Long, Over Weight The second method is hedging positions with options or calendar spreads. One method we implement is holding Short Call positions. However, if conditions merit, we will also hold long puts, put spreads and even hold a short futures calendar/cross-index spread to hedge our risk.

   

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
-8.65 1 1 12/1/2013 1/1/2014
-7.40 2 11 2/1/2015 4/1/2015
-3.90 1 1 9/1/2016 10/1/2016
-3.70 1 2 8/1/2014 9/1/2014
-2.14 1 2 1/1/0001 8/1/2013
-1.09 1 1 11/1/2016 12/1/2016
-1.09 2 1 5/1/2014 7/1/2014
-0.37 1 1 3/1/2016 4/1/2016
-0.25 1 1 6/1/2016 7/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
26.26 4 2/1/2014 5/1/2014
15.38 4 9/1/2013 12/1/2013
14.13 5 10/1/2014 2/1/2015
6.59 1 11/1/2016 11/1/2016
4.51 2 5/1/2016 6/1/2016
3.91 2 11/1/2015 12/1/2015
3.43 1 8/1/2014 8/1/2014
3.39 4 5/1/2015 8/1/2015
3.00 1 1/1/2017 1/1/2017
2.03 2 8/1/2016 9/1/2016
1.62 2 2/1/2016 3/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.65 1 1/1/2014 1/1/2014
-7.40 2 3/1/2015 4/1/2015
-3.90 1 10/1/2016 10/1/2016
-3.70 1 9/1/2014 9/1/2014
-2.14 1 8/1/2013 8/1/2013
-1.09 1 12/1/2016 12/1/2016
-1.09 2 6/1/2014 7/1/2014
-0.48 1 1/1/2016 1/1/2016
-0.37 1 4/1/2016 4/1/2016
-0.25 1 7/1/2016 7/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods42.0040.0037.0031.0025.0019.00
Percent Profitable66.6785.0089.1996.77100.00100.00
Average Period Return1.243.807.0213.1318.1624.11
Average Gain2.905.108.1913.5718.1624.11
Average Loss-2.43-3.57-2.63-0.19
Best Period14.8424.3424.8937.7949.6343.26
Worst Period-8.65-5.67-4.26-0.195.5711.77
Standard Deviation3.915.516.7110.4011.7310.59
Gain Standard Deviation3.324.886.1210.2811.7310.59
Loss Standard Deviation2.821.731.09
Sharpe Ratio (1%)0.300.650.971.171.422.09
Average Gain / Average Loss1.201.433.1270.66
Profit / Loss Ratio2.798.1025.712119.73
Downside Deviation (10%)2.091.961.711.360.54
Downside Deviation (5%)1.971.601.070.22
Downside Deviation (0%)1.941.510.920.03
Sortino Ratio (10%)0.401.312.675.9619.69
Sortino Ratio (5%)0.592.226.0755.92
Sortino Ratio (0%)0.642.517.65380.54

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 2 6.59 11/2016
Discretionary Trader Index Month 7 6.59 11/2016
Systematic Trader Index Month 8 6.59 11/2016
Stock Index Trader Index Month 10 1.03 8/2016
Stock Index Trader Index Month 10 1.95 5/2016
Stock Index Trader Index Month 4 2.37 12/2015
Discretionary Trader Index Month 6 2.37 12/2015
Stock Index Trader Index Month 10 1.50 11/2015
Stock Index Trader Index Month 9 0.62 8/2015

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