Diversified Capital Management : Delta Omega Epsilon Model

archived programs
Year-to-Date
N / A
Jan Performance
-0.79%
Min Investment
$ 10k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
12.36%
Sharpe (RFR=1%)
-0.13
CAROR
-1.29%
Assets
$ 18k
Worst DD
-13.40
S&P Correlation
-0.40

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
10/2013
Delta Omega Epsilon Model -0.79 - - - - -6.37 - -2.98
S&P 500 -5.07 - - - - 50.84 - 84.27
+/- S&P 500 4.28 - - - - -57.21 - -87.25

Strategy Description

Summary

The Primary focus of this program is to take advantage of short-term inefficiencies in the U.S. energy futures markets. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 10k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor 1.50
Management Fee 1.00%
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 8000 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 20.00%
Sector Focus Energy Traders

Holding Periods

Over 12 Months
4-12 Months
1-3 Months 0%
1-30 Days 0%
Intraday 100.00%

Decision-Making

Discretionary 80.00%
Systematic 20.00%

Strategy

Counter-trend
80.00%
Momentum
20.00%
Strategy Pie Chart

Composition

Energy
100.00%
Composition Pie Chart

Summary

The Primary focus of this program is to take advantage of short-term inefficiencies in the U.S. energy futures markets.

Investment Strategy

This program is a short-term Mean-Reversion system that seeks to fade unusual activity in the energy markets. Trades are primarily counter-trend, but will also be with trend.

Risk Management

This program manages its risk with a two prong approach. The first prong is by using very little leverage. The second approach is with a Max Stop Loss for each trade and for each trading day.

   

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
-13.40 4 - 9/1/2015 1/1/2016
-12.63 10 12 10/1/2013 8/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
23.66 3 7/1/2015 9/1/2015
3.97 2 12/1/2014 1/1/2015
1.95 2 5/1/2014 6/1/2014
1.83 1 3/1/2014 3/1/2014
1.30 2 9/1/2014 10/1/2014
0.76 1 12/1/2013 12/1/2013
0.29 1 10/1/2013 10/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.40 4 10/1/2015 1/1/2016
-7.89 2 7/1/2014 8/1/2014
-7.48 2 1/1/2014 2/1/2014
-1.84 5 2/1/2015 6/1/2015
-1.08 1 4/1/2014 4/1/2014
-0.92 1 11/1/2013 11/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable42.8646.1552.1741.1854.55
Average Period Return-0.050.031.141.691.65
Average Gain2.685.236.9912.878.97
Average Loss-2.79-4.43-5.25-6.14-7.12
Best Period10.5823.6621.7927.2018.76
Worst Period-7.51-12.71-7.44-11.93-9.51
Standard Deviation3.577.027.5911.279.45
Gain Standard Deviation3.136.505.837.865.61
Loss Standard Deviation2.283.551.894.402.77
Sharpe Ratio (1%)-0.04-0.030.080.060.02
Average Gain / Average Loss0.961.181.332.101.26
Profit / Loss Ratio0.961.011.451.471.51
Downside Deviation (10%)2.544.865.509.1310.19
Downside Deviation (5%)2.364.254.166.356.05
Downside Deviation (0%)2.324.113.845.705.08
Sortino Ratio (10%)-0.18-0.25-0.24-0.36-0.58
Sortino Ratio (5%)-0.06-0.050.150.110.02
Sortino Ratio (0%)-0.020.010.300.300.33

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 3 10.58 9/2015
Discretionary Trader Index Month 2 5.27 8/2015
Discretionary Trader Index Month 8 6.23 7/2015

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