Dix Hills Partners : Dynamic Term Structure Strategy

archived programs
Year-to-Date
N / A
Feb Performance
0.12%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
6.69%
Sharpe (RFR=1%)
0.04
CAROR
1.08%
Assets
$ 1.0M
Worst DD
-18.43
S&P Correlation
-0.26

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
4/2007
Dynamic Term Structure Strategy 0.12 - - - - - -10.46 6.54
S&P 500 1.11 - - - - - 80.04 133.69
+/- S&P 500 -0.99 - - - - - -90.50 -127.15

Strategy Description

Summary

Dynamic Term Structure (DTS) strategy is an absolute return strategy that aims to generate positive returns by opportunistically taking exposure to fluctuations in the U.S. Treasury term structure on a monthly basis. More specifically, the DTS strategy seeks to gain alpha in both directional... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 750 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD -8.00%
Worst Peak-to-Trough 5.50%
Sector Focus Financial & Metals Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Trend-following
50.00%
Other
50.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

Dynamic Term Structure (DTS) strategy is an absolute return strategy that aims to generate positive returns by opportunistically taking exposure to fluctuations in the U.S. Treasury term structure on a monthly basis. More specifically, the DTS strategy seeks to gain alpha in both directional moves in interest rates and changes in the slope of the yield curveThe DTS strategy employs a similar framework to that of our highly successful, flagship fund Alternative Treasury Strategy (ATS)

   

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
-18.43 38 - 6/1/2009 8/1/2012
-5.54 3 4 2/1/2008 5/1/2008
-2.78 3 1 1/1/0001 6/1/2007
-2.25 1 1 11/1/2008 12/1/2008
-2.22 1 3 9/1/2007 10/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
11.44 4 11/1/2007 2/1/2008
10.24 6 1/1/2009 6/1/2009
9.45 6 6/1/2008 11/1/2008
8.05 3 7/1/2007 9/1/2007
3.73 3 10/1/2010 12/1/2010
3.47 2 2/1/2012 3/1/2012
3.46 3 5/1/2011 7/1/2011
2.43 6 9/1/2012 2/1/2013
2.30 2 10/1/2009 11/1/2009
1.93 2 5/1/2010 6/1/2010
1.74 2 1/1/2010 2/1/2010
1.24 1 6/1/2012 6/1/2012
0.94 1 8/1/2010 8/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.10 6 8/1/2011 1/1/2012
-7.08 4 1/1/2011 4/1/2011
-5.62 2 4/1/2012 5/1/2012
-5.54 3 3/1/2008 5/1/2008
-4.42 2 3/1/2010 4/1/2010
-3.64 1 9/1/2010 9/1/2010
-3.10 3 7/1/2009 9/1/2009
-2.78 3 4/1/2007 6/1/2007
-2.25 1 12/1/2008 12/1/2008
-2.22 1 10/1/2007 10/1/2007
-1.37 1 12/1/2009 12/1/2009
-1.36 2 7/1/2012 8/1/2012
-1.01 1 7/1/2010 7/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods71.0069.0066.0060.0054.0048.0036.0024.00
Percent Profitable57.7552.1746.9741.6744.4447.9250.0041.67
Average Period Return0.110.370.640.811.191.440.711.45
Average Gain1.443.185.039.8713.3214.9513.9212.98
Average Loss-1.71-2.70-3.26-5.66-8.52-10.98-12.50-6.79
Best Period5.309.7910.9717.3921.7431.1527.1020.85
Worst Period-3.74-6.85-10.10-13.36-15.32-15.76-18.22-11.72
Standard Deviation1.933.664.978.5012.0014.5915.0210.88
Gain Standard Deviation1.202.433.173.796.298.618.115.70
Loss Standard Deviation1.061.842.263.443.573.695.403.42
Sharpe Ratio (1%)0.010.030.03-0.02-0.03-0.04-0.15-0.24
Average Gain / Average Loss0.841.181.551.741.561.361.111.91
Profit / Loss Ratio1.151.281.371.251.251.251.111.36
Downside Deviation (10%)1.543.004.518.5612.3615.6920.8822.75
Downside Deviation (5%)1.352.393.185.717.919.7311.598.66
Downside Deviation (0%)1.302.252.875.046.878.349.585.77
Sortino Ratio (10%)-0.20-0.29-0.41-0.49-0.52-0.56-0.72-0.88
Sortino Ratio (5%)0.020.050.04-0.03-0.04-0.06-0.20-0.30
Sortino Ratio (0%)0.080.160.220.160.170.170.070.25

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.