Diversified Capital Management : Delta Omega Alpha Model

archived programsClosed to new investments
Year-to-Date
N / A
Nov Performance
-6.10%
Min Investment
$ 5k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.09%
Sharpe (RFR=1%)
-1.60
CAROR
-21.83%
Assets
$ 4k
Worst DD
-41.60
S&P Correlation
-0.33

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
10/2013
Delta Omega Alpha Model -6.10 - - - - -6.10 - -41.35
S&P 500 0.05 - - - - 76.19 - 84.27
+/- S&P 500 -6.15 - - - - -82.29 - -125.61

Strategy Description

Summary

The primary focus of the Delta Omega Options program is to generate capital appreciation while simultaneously maintaining low correlations to traditional asset classes. A second yet equal objective is to preserve capital by keeping aggregate risk levels much lower than what has traditionally... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5k
Trading Level Incremental Increase $ 5k
CTA Max Funding Factor 1.50
Management Fee 2.00%
Performance Fee 20.00%
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 1500 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -20.00%
Worst Peak-to-Trough
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 25.00%
1-30 Days 75.00%
Intraday 0%

Decision-Making

Discretionary 80.00%
Systematic 20.00%

Strategy

Option-spreads
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

The primary focus of the Delta Omega Options program is to generate capital appreciation while simultaneously maintaining low correlations to traditional asset classes. A second yet equal objective is to preserve capital by keeping aggregate risk levels much lower than what has traditionally been seen in Stock Indices as well as Managed Futures. This is achieved by buying and selling short-term option spreads, primarily in the Mini S&P 500.

Investment Strategy

The program will take on a blend of market neutral, bullish and bearish positions depending on prevailing market conditions. Using each bias we employ appropriate option spread strategies. Such directional biases are the product of proprietary analytical models developed by the team at Diversified Capital Management.

Risk Management

The Alpha model specializes in credit spreads. With the credit spreads there is always a maximum risk built in which caps the programs exposure. This combined with directional bias serves as the backbone of the Alpha programs risk management.

   

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
-41.60 25 - 10/1/2013 11/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
3.05 4 3/1/2014 6/1/2014
2.50 1 2/1/2015 2/1/2015
2.35 1 12/1/2014 12/1/2014
1.25 1 6/1/2015 6/1/2015
1.21 1 12/1/2013 12/1/2013
0.73 1 9/1/2014 9/1/2014
0.43 1 10/1/2013 10/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.96 5 7/1/2015 11/1/2015
-11.92 2 7/1/2014 8/1/2014
-11.79 2 10/1/2014 11/1/2014
-7.87 2 1/1/2014 2/1/2014
-1.25 1 11/1/2013 11/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods26.0024.0021.0015.009.00
Percent Profitable38.4633.3319.050.000.00
Average Period Return-1.93-4.99-8.52-17.79-24.18
Average Gain1.152.363.63
Average Loss-6.18-9.25-11.37-17.79-24.18
Best Period2.504.914.91-8.21-16.69
Worst Period-15.19-23.87-25.04-25.74-38.42
Standard Deviation4.367.588.944.957.04
Gain Standard Deviation0.761.321.88
Loss Standard Deviation4.376.437.324.957.04
Sharpe Ratio (1%)-0.46-0.69-1.01-3.79-3.65
Average Gain / Average Loss0.190.260.32
Profit / Loss Ratio0.190.140.08
Downside Deviation (10%)4.839.6314.0023.2832.45
Downside Deviation (5%)4.668.9712.4519.3926.52
Downside Deviation (0%)4.618.8112.0618.4225.07
Sortino Ratio (10%)-0.48-0.65-0.78-0.98-0.98
Sortino Ratio (5%)-0.43-0.58-0.72-0.97-0.97
Sortino Ratio (0%)-0.42-0.57-0.71-0.97-0.96

Top Performer Badges

Index Award Type Rank Performance Period
Option Strategy Index Month 2 0.00 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.