Dix Hills Partners : Alternative Treasury Strategy

archived programs
Year-to-Date
N / A
Mar Performance
-2.32%
Min Investment
$ 1,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
7.57%
Sharpe (RFR=1%)
0.36
CAROR
3.53%
Assets
$ 110.0M
Worst DD
-21.92
S&P Correlation
-0.12

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
Alternative Treasury Strategy -2.32 - - - - - -18.09 40.24
S&P 500 3.60 - - - - - 84.98 261.93
+/- S&P 500 -5.92 - - - - - -103.07 -221.68

Strategy Description

Summary

Dix Hills Alternative Treasury Strategy Portfolio Manager Bio: Joseph Baggett, CFA - Portfolio Manager and Managing Member. Mr. Baggett is a founder and Senior Portfolio Manager for Dix Hills, Associates, LLC. Until his departure in January 2003, Mr. Baggett served as Executive Director,... 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 300 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 7.95%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 100.00%
1-30 Days 0%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Fundamental
60.00%
Trend-following
10.00%
Other
30.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

Dix Hills Alternative Treasury Strategy Portfolio Manager Bio: Joseph Baggett, CFA - Portfolio Manager and Managing Member. Mr. Baggett is a founder and Senior Portfolio Manager for Dix Hills, Associates, LLC. Until his departure in January 2003, Mr. Baggett served as Executive Director, Quantitative Investments Group, UBS Global Asset Management in New York. At UBS, Joe was senior portfolio manager/research analyst for the quantitatively driven investment strategy group that managed over $6 billion in assets. Joe served as Model Developer and Portfolio Manager for Quantitative Fixed Income Strategies and the Quantitative Allocation, LLC ("Q.A."). Additionally, Joe was also a member of the Portfolio Management Team of UBS Tactical Allocation Fund, a $3 billion, a fully flexible mutual fund that allocated between stocks (S&P 500), bonds (intermediate-term Treasury notes) and cash on the basis of a quantitatively - driven market valuation model. Prior to UBS Asset Management, Joe worked as an Economist at PaineWebber, Inc., part of a 3 person unit that produced the firm's U.S. economic growth, inflation and interest rate outlooks. Prior to PaineWebber, Joe worked at the Federal Reserve Bank of New York as an Assistant Economist, Domestic Financial Markets Division. Mr. Baggett holds a B.A. in Economics from Columbia University (Summa Cum Laude, Phi Beta Kappa). He also attended the University of Chicago Graduate School of Business, completing the first year of a two year M.B.A. program with a 4.0 G.P.A.

Investment Strategy

The Alternative Treasury Strategy generates returns (alpha) through forecasting interest rates monthly. The manager establishes the monthly directional positions, either long or short (maximum duration of +/-12 years) through the use of cash and 10 year Treasury note futures. The investment decision is based on a proprietary factor framework, forecasting interest rate direction over the following month and then structuring the portfolio to take advantage of such a move. The framework involves 40 years of macro, fundamental, and technical factors proven successful over 6 years of use.

Risk Management

The risk management discipline incorporates a strict portfolio stop loss, fixed cash positions and strict adherence to the framework (no subjective overrides).

   

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
-21.92 44 - 7/1/2009 3/1/2013
-7.95 6 2 12/1/2006 6/1/2007
-5.24 2 6 8/1/2005 10/1/2005
-4.64 3 2 9/1/2008 12/1/2008
-3.53 2 3 9/1/2003 11/1/2003
-2.87 1 3 9/1/2007 10/1/2007
-1.75 1 3 9/1/2004 10/1/2004
-1.41 1 1 9/1/2006 10/1/2006
-0.93 1 1 4/1/2008 5/1/2008
-0.89 1 1 3/1/2009 4/1/2009
-0.53 1 1 7/1/2003 8/1/2003
-0.43 1 1 3/1/2005 4/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
19.88 10 12/1/2003 9/1/2004
9.87 9 1/1/2006 9/1/2006
9.35 3 7/1/2007 9/1/2007
8.48 3 1/1/2009 3/1/2009
8.21 1 7/1/2003 7/1/2003
6.51 5 11/1/2004 3/1/2005
6.16 4 5/1/2005 8/1/2005
5.70 6 11/1/2007 4/1/2008
5.44 4 6/1/2008 9/1/2008
5.06 2 11/1/2006 12/1/2006
4.72 3 10/1/2010 12/1/2010
4.07 3 5/1/2009 7/1/2009
3.96 2 2/1/2012 3/1/2012
3.93 1 9/1/2003 9/1/2003
3.53 3 5/1/2011 7/1/2011
2.45 2 1/1/2010 2/1/2010
2.43 3 9/1/2012 11/1/2012
2.31 2 10/1/2009 11/1/2009
2.17 2 5/1/2010 6/1/2010
1.81 1 8/1/2010 8/1/2010
1.31 1 11/1/2008 11/1/2008
1.14 1 11/1/2005 11/1/2005
1.00 1 6/1/2012 6/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.87 4 1/1/2011 4/1/2011
-10.50 6 8/1/2011 1/1/2012
-7.95 6 1/1/2007 6/1/2007
-6.12 2 4/1/2012 5/1/2012
-5.30 2 3/1/2010 4/1/2010
-5.24 2 9/1/2005 10/1/2005
-4.48 1 9/1/2010 9/1/2010
-4.14 1 12/1/2008 12/1/2008
-3.60 2 8/1/2009 9/1/2009
-3.53 2 10/1/2003 11/1/2003
-2.87 1 10/1/2007 10/1/2007
-2.65 4 12/1/2012 3/1/2013
-1.81 1 10/1/2008 10/1/2008
-1.75 1 10/1/2004 10/1/2004
-1.56 2 7/1/2012 8/1/2012
-1.41 1 10/1/2006 10/1/2006
-1.07 1 12/1/2009 12/1/2009
-0.93 1 5/1/2008 5/1/2008
-0.89 1 4/1/2009 4/1/2009
-0.82 1 7/1/2010 7/1/2010
-0.53 1 8/1/2003 8/1/2003
-0.43 1 4/1/2005 4/1/2005
-0.09 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 Periods117.00115.00112.00106.00100.0094.0082.0070.0058.00
Percent Profitable61.5460.8761.6164.1569.0071.2870.7374.2974.14
Average Period Return0.310.871.693.274.756.4810.9215.9921.04
Average Gain1.623.505.158.7411.5414.4620.8425.2730.63
Average Loss-1.77-3.20-3.86-6.51-10.38-13.33-13.03-10.82-6.46
Best Period8.2111.8715.0024.2529.2639.2044.3445.1662.26
Worst Period-4.48-10.75-10.50-17.31-19.51-19.83-21.45-19.47-12.91
Standard Deviation2.184.025.428.8911.9014.4917.7919.0122.11
Gain Standard Deviation1.432.443.465.346.687.769.3211.7717.16
Loss Standard Deviation1.432.162.674.404.865.097.255.223.90
Sharpe Ratio (1%)0.110.160.220.260.270.310.440.630.72
Average Gain / Average Loss0.911.091.341.341.111.081.602.334.74
Profit / Loss Ratio1.461.702.142.402.482.693.866.7413.59
Downside Deviation (10%)1.623.084.277.4210.4313.0916.2617.5519.64
Downside Deviation (5%)1.452.543.155.207.138.659.508.006.25
Downside Deviation (0%)1.412.412.894.696.367.638.036.063.80
Sortino Ratio (10%)-0.06-0.11-0.18-0.23-0.27-0.29-0.30-0.32-0.34
Sortino Ratio (5%)0.160.250.380.440.450.520.831.492.55
Sortino Ratio (0%)0.220.360.580.700.750.851.362.645.53

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.