Diversified Capital Management : Alpha Return

archived programs
Year-to-Date
N / A
Jan Performance
-1.56%
Min Investment
$ 225k
Mgmt. Fee
0.50%
Perf. Fee
10.00%
Annualized Vol
1.87%
Sharpe (RFR=1%)
-0.59
CAROR
-0.13%
Assets
$ 224k
Worst DD
-1.71
S&P Correlation
0.38

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
1/2014
Alpha Return -1.56 - - - - -0.82 - -0.26
S&P 500 -5.07 - - - - 50.84 - 94.36
+/- S&P 500 3.51 - - - - -51.66 - -94.63

Strategy Description

Summary

The Alpha Return program invests in various US Treasuries in a convertible arbitrage-like style. Meaning it holds the debt instruments and collects the interest payments, while using the futures market to take advantage of price inefficiencies and generate alpha. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 225k
Trading Level Incremental Increase $ 200k
CTA Max Funding Factor
Management Fee 0.50%
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 100 RT/YR/$M
Avg. Margin-to-Equity 1%
Targeted Worst DD -1.50%
Worst Peak-to-Trough 1.50%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 20.00%
4-12 Months 20.00%
1-3 Months 50.00%
1-30 Days 9.00%
Intraday 1.00%

Decision-Making

Discretionary 75.00%
Systematic 25.00%

Strategy

Arbitrage
25.00%
Option-purchasing
17.00%
Option-spreads
8.00%
Spreading/hedging
25.00%
Other
25.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

The Alpha Return program invests in various US Treasuries in a convertible arbitrage-like style. Meaning it holds the debt instruments and collects the interest payments, while using the futures market to take advantage of price inefficiencies and generate alpha.

Investment Strategy

The Alpha Return program purchases cash US Treasuries, which we use as collateral against corresponding short future and short call positions. Because we own the underlying cash Treasury, we have the opportunity to generate income by exploiting price inefficiencies in the futures market with substantially lower risk than if we were simply taking naked shorts. Not only that, but by holding the underlying cash position, we continue to collect interest, known as the coupon every six months. Additionally, by using short futures for price discovery, our periods of biggest gain will occur during down swings in the bond market when traditional bond investments tend to lose.

Risk Management

The Alpha Return has a two pronged-approach to risk management. The first approach is to only liquidate our cash treasuries in a rising price environment or to hold them to maturity. If held to maturity, the only risk on the investment is the default of the US Treasury. The second method of risk management is by managing risk with size. The program never holds more short futures than we hold cash treasuries therefore we ensure we do not have upside risk. However, we may trade in and out of our positions and add various options methodologies in an effort to generate capital appreciation and alpha.

   

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
-1.71 4 - 9/1/2014 1/1/2015
-0.31 1 2 4/1/2014 5/1/2014
-0.29 1 1 7/1/2014 8/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
1.17 4 1/1/2014 4/1/2014
1.03 1 2/1/2015 2/1/2015
0.75 3 10/1/2015 12/1/2015
0.66 5 4/1/2015 8/1/2015
0.40 2 6/1/2014 7/1/2014
0.36 1 9/1/2014 9/1/2014
0.30 1 12/1/2014 12/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.56 1 1/1/2016 1/1/2016
-1.25 1 1/1/2015 1/1/2015
-0.77 2 10/1/2014 11/1/2014
-0.38 1 9/1/2015 9/1/2015
-0.34 1 3/1/2015 3/1/2015
-0.31 1 5/1/2014 5/1/2014
-0.29 1 8/1/2014 8/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods25.0023.0020.0014.008.00
Percent Profitable68.0056.5255.0035.7162.50
Average Period Return-0.010.070.03-0.120.00
Average Gain0.270.470.550.450.49
Average Loss-0.61-0.46-0.59-0.44-0.81
Best Period1.031.101.270.860.81
Worst Period-1.56-1.28-1.65-0.81-1.51
Standard Deviation0.540.600.740.530.76
Gain Standard Deviation0.240.350.390.310.22
Loss Standard Deviation0.500.420.540.300.62
Sharpe Ratio (1%)-0.17-0.31-0.63-2.13-1.96
Average Gain / Average Loss0.451.020.921.020.61
Profit / Loss Ratio0.951.331.130.571.01
Downside Deviation (10%)0.661.302.545.157.62
Downside Deviation (5%)0.470.540.821.231.66
Downside Deviation (0%)0.440.400.520.420.58
Sortino Ratio (10%)-0.63-0.89-0.96-1.00-1.00
Sortino Ratio (5%)-0.19-0.34-0.57-0.91-0.90
Sortino Ratio (0%)-0.020.160.07-0.290.01

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.