Dix Hills Partners : DHP Absolute Return Strategies Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Mar Performance -0.17% Min Investment $ 500k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 6.44% Sharpe (RFR=1%) 0.67 CAROR 5.22% Assets $ 7.6M Worst DD -12.90 S&P Correlation -0.21 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 Mar Qtr 2020 1yr 3yr 5yr 10yr Since7/2003 DHP Absolute Return Strategies -0.17 - - - - 0.23 3.90 101.41 S&P 500 -0.04 - - - - 67.75 66.26 275.36 +/- S&P 500 -0.13 - - - - -67.52 -62.36 -173.95 Strategy Description SummaryDix Hills Partners’ investment strategy is derived from extensive research on up to 50 years of interest rate movements in the largest global sovereign debt markets. Our investment philosophy is based on the idea that the near-term direction of interest rates may be predicted through... Read More Account & Fees Type Managed Account Minimum Investment $ 500k Trading Level Incremental Increase $ 100k CTA Max Funding Factor 2.00 Management Fee 1.00% Performance Fee 20.00% Average Commission $3.50 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements QEP Lock-up Period 0 Trading Trading Frequency 100 RT/YR/$M Avg. Margin-to-Equity 1% Targeted Worst DD -15.00% Worst Peak-to-Trough 12.91% Sector Focus Financial & Metals Traders Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days 100.00% Intraday 0% Decision-Making Discretionary 10.00% Systematic 90.00% Strategy Fundamental 90.00% Trend-following 10.00% Composition Interest Rates 100.00% SummaryDix Hills Partners’ investment strategy is derived from extensive research on up to 50 years of interest rate movements in the largest global sovereign debt markets. Our investment philosophy is based on the idea that the near-term direction of interest rates may be predicted through the systematic integration of views on the macro economy (what the market should do), valuation metrics (what the market can do) and technical indicators (what the market wants to do). Over time, we’ve produced a positive alpha 60-65% of the time on a month-by-month basis. In addition, our gains in positive months are greater than our losses in negative months. Our track record includes many disparate interest rate, financial and economic environments – including tightening cycles, easing cycles, the great financial crisis and the more recent episodes of “ZIRP and QE”. While not a guarantee, our success over this dynamic period gives us confidence in our potential to continue to product positive alpha in the future. Investment StrategyWe trade exchange traded futures in the four most liquid sovereign debt markets (US 10 Year Treasury Note, German Bunds, UK Gilts and Japanese JGB’s) to help ensure high liquidity with minimal credit and counterparty risk. Our fundamentally-based investment process is designed to generate absolute returns regardless of the direction of interest rates, and to have a net zero duration exposure over time. Our alpha has demonstrated virtually no correlation to most major traditional and alternative benchmarks or assets classes. Thus, blending our strategy with other programs may often improve the initial portfolio’s risk-adjusted return as well as its absolute return characteristic. Risk ManagementOur risk management principles and approach are fully imbedded into our investment process, strategy, instruments traded and overall portfolio design. We seek to mitigate those risks such as credit, liquidity, operational and counterparty risks, so as to best isolate the movement of interest rates from fundamental, valuation and technical reasons. 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 -12.90 34 39 7/1/2009 5/1/2012 -6.51 6 2 12/1/2006 6/1/2007 -5.29 3 4 2/1/2008 5/1/2008 -5.07 2 5 8/1/2005 10/1/2005 -3.36 2 3 9/1/2003 11/1/2003 -2.74 3 - 4/1/2016 7/1/2016 -2.16 1 1 11/1/2008 12/1/2008 -2.14 1 2 9/1/2007 10/1/2007 -1.91 2 2 9/1/2015 11/1/2015 -1.67 1 2 9/1/2004 10/1/2004 -1.33 1 1 9/1/2006 10/1/2006 -0.45 1 1 2/1/2016 3/1/2016 -0.45 1 1 7/1/2003 8/1/2003 -0.35 1 1 3/1/2005 4/1/2005 Show More Consecutive Gains Run-up Length (Mos.) Start End 20.64 10 12/1/2003 9/1/2004 11.73 4 11/1/2007 2/1/2008 10.79 6 1/1/2009 6/1/2009 10.47 9 1/1/2006 9/1/2006 9.78 6 6/1/2008 11/1/2008 9.11 3 7/1/2007 9/1/2007 8.28 1 7/1/2003 7/1/2003 6.84 5 11/1/2004 3/1/2005 6.80 3 5/1/2011 7/1/2011 6.42 4 5/1/2005 8/1/2005 5.17 2 11/1/2006 12/1/2006 4.76 5 9/1/2012 1/1/2013 3.98 1 9/1/2003 9/1/2003 3.84 4 10/1/2014 1/1/2015 3.50 2 10/1/2010 11/1/2010 3.39 1 6/1/2012 6/1/2012 3.35 3 1/1/2014 3/1/2014 3.27 2 2/1/2012 3/1/2012 3.18 2 7/1/2014 8/1/2014 2.83 1 9/1/2013 9/1/2013 2.46 2 10/1/2009 11/1/2009 2.29 3 12/1/2015 2/1/2016 2.26 3 3/1/2015 5/1/2015 2.21 3 7/1/2015 9/1/2015 2.01 2 5/1/2010 6/1/2010 1.86 2 1/1/2010 2/1/2010 1.69 3 8/1/2016 10/1/2016 1.22 1 11/1/2005 11/1/2005 1.15 1 11/1/2013 11/1/2013 1.05 1 5/1/2014 5/1/2014 1.00 1 8/1/2010 8/1/2010 0.98 2 12/1/2016 1/1/2017 0.73 1 9/1/2011 9/1/2011 0.66 1 5/1/2013 5/1/2013 0.58 1 4/1/2016 4/1/2016 0.41 1 7/1/2013 7/1/2013 0.29 1 3/1/2011 3/1/2011 0.05 1 3/1/2007 3/1/2007 Show More Consecutive Losses Run-up Length (Mos.) Start End -5.61 3 12/1/2010 2/1/2011 -5.29 3 3/1/2008 5/1/2008 -5.15 2 4/1/2012 5/1/2012 -5.07 2 9/1/2005 10/1/2005 -4.96 3 2/1/2013 4/1/2013 -4.73 4 10/1/2011 1/1/2012 -4.25 2 3/1/2010 4/1/2010 -4.15 2 1/1/2007 2/1/2007 -3.54 1 9/1/2010 9/1/2010 -3.36 2 10/1/2003 11/1/2003 -3.32 1 8/1/2011 8/1/2011 -2.97 3 7/1/2009 9/1/2009 -2.83 1 4/1/2011 4/1/2011 -2.74 3 5/1/2016 7/1/2016 -2.51 3 4/1/2007 6/1/2007 -2.21 1 6/1/2013 6/1/2013 -2.16 1 12/1/2008 12/1/2008 -2.14 1 10/1/2007 10/1/2007 -2.12 1 12/1/2013 12/1/2013 -1.91 2 10/1/2015 11/1/2015 -1.67 1 10/1/2004 10/1/2004 -1.33 1 10/1/2006 10/1/2006 -1.25 1 11/1/2016 11/1/2016 -1.25 1 12/1/2009 12/1/2009 -0.96 2 7/1/2012 8/1/2012 -0.92 1 7/1/2010 7/1/2010 -0.73 1 8/1/2013 8/1/2013 -0.53 2 2/1/2017 3/1/2017 -0.49 1 9/1/2014 9/1/2014 -0.49 1 4/1/2014 4/1/2014 -0.48 1 2/1/2015 2/1/2015 -0.45 1 3/1/2016 3/1/2016 -0.45 1 8/1/2003 8/1/2003 -0.35 1 4/1/2005 4/1/2005 -0.33 1 6/1/2014 6/1/2014 -0.26 1 6/1/2015 6/1/2015 -0.24 1 10/1/2013 10/1/2013 -0.01 1 12/1/2005 12/1/2005 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods165.00163.00160.00154.00148.00142.00130.00118.00106.00 Percent Profitable63.0366.8770.0069.4872.9774.6576.9278.8181.13 Average Period Return0.441.262.494.997.339.6313.9317.6421.46 Average Gain1.512.994.668.4711.5514.7120.1224.0027.21 Average Loss-1.40-2.25-2.57-2.95-4.05-5.34-6.68-6.00-3.27 Best Period8.2812.0815.3925.2330.8341.4147.7457.7771.73 Worst Period-3.83-5.90-7.22-7.90-10.73-10.70-12.30-12.59-8.35 Standard Deviation1.863.284.577.099.5111.6515.6119.2523.41 Gain Standard Deviation1.302.403.525.547.448.7612.1416.5722.33 Loss Standard Deviation1.101.582.002.052.652.803.083.912.33 Sharpe Ratio (1%)0.190.310.440.560.610.650.700.710.70 Average Gain / Average Loss1.081.331.822.872.852.763.014.008.31 Profit / Loss Ratio1.872.694.246.547.698.1210.0414.8835.75 Downside Deviation (10%)1.272.213.044.696.608.4111.9115.3018.41 Downside Deviation (5%)1.111.702.002.463.203.954.905.003.85 Downside Deviation (0%)1.071.581.781.982.513.033.523.281.73 Sortino Ratio (10%)0.030.010.010.00-0.04-0.07-0.15-0.26-0.33 Sortino Ratio (5%)0.320.591.001.621.821.932.222.724.25 Sortino Ratio (0%)0.410.801.402.522.923.183.965.3812.40 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