Diversified Capital Management : Alpha Index

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

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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%

Summary

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.

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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.

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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
-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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year
Number of Periods	42.00	40.00	37.00	31.00	25.00	19.00
Percent Profitable	66.67	85.00	89.19	96.77	100.00	100.00
Average Period Return	1.24	3.80	7.02	13.13	18.16	24.11
Average Gain	2.90	5.10	8.19	13.57	18.16	24.11
Average Loss	-2.43	-3.57	-2.63	-0.19
Best Period	14.84	24.34	24.89	37.79	49.63	43.26
Worst Period	-8.65	-5.67	-4.26	-0.19	5.57	11.77
Standard Deviation	3.91	5.51	6.71	10.40	11.73	10.59
Gain Standard Deviation	3.32	4.88	6.12	10.28	11.73	10.59
Loss Standard Deviation	2.82	1.73	1.09
Sharpe Ratio (1%)	0.30	0.65	0.97	1.17	1.42	2.09
Average Gain / Average Loss	1.20	1.43	3.12	70.66
Profit / Loss Ratio	2.79	8.10	25.71	2119.73
Downside Deviation (10%)	2.09	1.96	1.71	1.36	0.54
Downside Deviation (5%)	1.97	1.60	1.07	0.22
Downside Deviation (0%)	1.94	1.51	0.92	0.03
Sortino Ratio (10%)	0.40	1.31	2.67	5.96	19.69
Sortino Ratio (5%)	0.59	2.22	6.07	55.92
Sortino Ratio (0%)	0.64	2.51	7.65	380.54

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.

^#2

Top Performer

STOCK INDEX TRADER INDEX

NOVEMBER
2016

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Diversified Capital Management : Alpha Index

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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