Diversified Capital Management : Alpha Return Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 2020 1yr 3yr 5yr 10yr Since1/2014 Alpha Return -1.56 - - - - -1.56 - -0.26 S&P 500 -5.07 - - - - 50.84 - 108.57 +/- S&P 500 3.51 - - - - -52.40 - -108.83 Strategy Description SummaryThe 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% Composition Interest Rates 100.00% SummaryThe 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 StrategyThe 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 ManagementThe 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel