Diversified Capital Management : Delta Omega Gamma Model Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since3/2014 Delta Omega Gamma Model 0.00 - - - - - - 7.32 S&P 500 8.30 - - - - - - 116.85 +/- S&P 500 -8.30 - - - - - - -109.52 Strategy Description SummaryThe 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% Composition Stock Indices 100.00% SummaryThe 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 StrategyThe 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 ManagementThe 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 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 -7.52 3 8 6/1/2014 9/1/2014 -1.31 2 1 5/1/2015 7/1/2015 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel