Diversified Capital Management : Diversified Strategies Investment Fund

archived programs
Year-to-Date
N / A
Dec Performance
2.90%
Min Investment
$ 100k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
6.20%
Sharpe (RFR=1%)
0.06
CAROR
1.19%
Assets
$ 630k
Worst DD
-13.95
S&P Correlation
-0.05

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
11/2012
Diversified Strategies Investment Fund 2.90 11.12 - 3.01 10.58 - - 5.03
S&P 500 1.82 3.25 - 9.54 21.13 - - 58.09
+/- S&P 500 1.08 7.87 - -6.52 -10.55 - - -53.06

Strategy Description

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 5k
CTA Max Funding Factor
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
12

Trading

Trading Frequency
6000 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-3.00%
Worst Peak-to-Trough
5.00%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
25.00%
4-12 Months
15.00%
1-3 Months
25.00%
1-30 Days
25.00%
Intraday
10.00%

Decision-Making

Discretionary
50.00%
Systematic
50.00%

Strategy

Counter-trend
5.00%
Fundamental
5.00%
Momentum
5.00%
Option-spreads
5.00%
Option-writing
5.00%
Pattern Recognition
5.00%
Technical
5.00%
Trend-following
5.00%
Other
60.00%
Strategy Pie Chart

Composition

Other
60.00%
Stock Indices
20.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Energy
5.00%
Currency Futures
1.00%
Grains
1.00%
Interest Rates
1.00%
Livestock
1.00%
Softs
1.00%
Composition Pie Chart
   

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
-13.95 10 - 9/1/2015 7/1/2016
-9.35 12 14 4/1/2013 4/1/2014
-0.04 1 1 2/1/2013 3/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
12.62 5 8/1/2016 12/1/2016
7.70 5 5/1/2015 9/1/2015
3.86 1 10/1/2014 10/1/2014
3.86 3 12/1/2014 2/1/2015
2.14 4 5/1/2014 8/1/2014
1.75 1 4/1/2013 4/1/2013
1.54 3 11/1/2012 1/1/2013
1.48 2 2/1/2014 3/1/2014
0.56 2 10/1/2013 11/1/2013
0.52 1 4/1/2016 4/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.41 6 10/1/2015 3/1/2016
-7.06 5 5/1/2013 9/1/2013
-5.51 3 5/1/2016 7/1/2016
-2.44 1 4/1/2014 4/1/2014
-2.03 2 12/1/2013 1/1/2014
-1.89 2 3/1/2015 4/1/2015
-0.54 1 9/1/2014 9/1/2014
-0.04 2 2/1/2013 3/1/2013
-0.01 1 11/1/2014 11/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods50.0048.0045.0039.0033.0027.0015.00
Percent Profitable54.0050.0046.6741.0351.5262.9633.33
Average Period Return0.110.10-0.36-0.700.852.53-0.86
Average Gain1.313.094.376.916.664.945.17
Average Loss-1.35-2.89-4.50-6.00-5.32-1.56-3.88
Best Period6.5011.1211.3213.9612.9512.9310.58
Worst Period-2.71-6.18-9.41-13.04-8.85-2.98-7.78
Standard Deviation1.793.805.217.356.924.315.16
Gain Standard Deviation1.452.772.793.664.113.623.66
Loss Standard Deviation0.901.812.623.572.340.842.26
Sharpe Ratio (1%)0.02-0.04-0.17-0.23-0.090.12-0.75
Average Gain / Average Loss0.971.070.971.151.253.161.33
Profit / Loss Ratio1.191.070.850.801.335.370.67
Downside Deviation (10%)1.303.185.458.909.428.7917.35
Downside Deviation (5%)1.112.554.116.015.002.295.94
Downside Deviation (0%)1.062.403.785.334.021.073.62
Sortino Ratio (10%)-0.23-0.36-0.52-0.64-0.72-0.88-0.96
Sortino Ratio (5%)0.03-0.06-0.21-0.28-0.130.23-0.66
Sortino Ratio (0%)0.110.04-0.10-0.130.212.37-0.24

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 8 6.50 11/2016
Systematic Trader Index Month 9 6.50 11/2016
Diversified Trader Index Month 10 6.50 11/2016

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