Diversified Capital Management : Delta Omega Gamma Model

archived programsClosed to new investments
Year-to-Date
N / A
Oct Performance
0.00%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.53%
Sharpe (RFR=1%)
0.53
CAROR
-
Assets
$ 27k
Worst DD
-7.52
S&P Correlation
-0.19

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
3/2014
Delta Omega Gamma Model 0.00 - - - - 0.00 - 7.32
S&P 500 8.30 - - - - 75.70 - 77.79
+/- S&P 500 -8.30 - - - - -75.70 - -70.46

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 $ 25k
Trading Level Incremental Increase $ 25k
CTA Max Funding Factor 2.00
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 1000 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 20.00%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 50.00%
1-30 Days 50.00%
Intraday 0%

Decision-Making

Discretionary 80.00%
Systematic 20.00%

Strategy

Option-spreads
25.00%
Option-writing
75.00%
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 options and 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 writing and options spread strategies. Such directional biases are the product of proprietary analytical models developed by the team at Diversified Capital Management.

Risk Management

The Gamma program specializes in option writing. Although this type of trading entails unlimited risk, management is diligent about having an absolute risk level that when reached initiates a mandatory stop-loss type liquidation. This serves to mitigate the risk of a incurring substantial drawdowns that plague so many option writers

   

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
-7.52 3 8 6/1/2014 9/1/2014
-1.31 2 1 5/1/2015 7/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
5.96 4 3/1/2014 6/1/2014
3.86 1 10/1/2014 10/1/2014
3.49 2 12/1/2014 1/1/2015
2.50 1 8/1/2015 8/1/2015
0.73 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.52 3 7/1/2014 9/1/2014
-1.31 2 6/1/2015 7/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods20.0018.0015.009.00
Percent Profitable45.0066.6760.0088.89
Average Period Return0.370.931.234.04
Average Gain1.822.773.524.56
Average Loss-1.80-3.31-2.19-0.13
Best Period3.866.547.499.53
Worst Period-4.69-7.52-4.24-0.13
Standard Deviation1.893.623.493.57
Gain Standard Deviation1.111.942.353.43
Loss Standard Deviation1.903.561.38
Sharpe Ratio (1%)0.150.190.210.85
Average Gain / Average Loss1.010.841.6134.17
Profit / Loss Ratio1.832.012.41273.33
Downside Deviation (10%)1.412.943.082.82
Downside Deviation (5%)1.272.521.880.40
Downside Deviation (0%)1.242.421.600.04
Sortino Ratio (10%)-0.03-0.10-0.40-0.34
Sortino Ratio (5%)0.230.270.397.60
Sortino Ratio (0%)0.300.380.7790.78

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.