Dix Hills Partners : DHP Absolute Return Strategies

archived programs
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

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 YTD 1yr 3yr 5yr 10yr Since
7/2003
DHP Absolute Return Strategies -0.17 -0.53 - -1.89 9.81 12.91 31.35 101.41
S&P 500 -0.04 5.53 - 14.71 26.19 67.75 66.26 138.54
+/- S&P 500 -0.13 -6.06 - -16.60 -16.38 -54.84 -34.91 -37.14

Strategy Description

Summary

Dix 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%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

Dix 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 Strategy

We 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 Management

Our 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.

   

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
-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
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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
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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
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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.