Dixon Midland Company LLC : Dixon Midland Diversified LLC

Year-to-Date
7.37%
Apr Performance
-1.58%
Min Investment
$ 250k
Mgmt. Fee
1.25%
Perf. Fee
17.13%
Annualized Vol
13.04%
Sharpe (RFR=1%)
-0.41
CAROR
-5.09%
Assets
$ 10.2M
Worst DD
-35.53
S&P Correlation
-0.32

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
5/2011
Dixon Midland Diversified LLC -1.58 -0.78 -7.37 -5.30 -27.14 -15.21 - -34.19
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 - 116.73
+/- S&P 500 -5.51 -9.72 -24.88 -16.54 -68.34 -69.99 - -150.92

Strategy Description

Summary

Dixon Midland Diversified has evolved since its inception in 2011. Originally composed entirely of a systematic trend-following strategy, approximately 50% of the portfolio was diversified into a systematic long-short equity strategy in August 2016. The long-short equity strategy... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 5k
CTA Max Funding Factor
Management Fee
1.25%
Performance Fee
17.13%
Average Commission
$9.44
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
0

Trading

Trading Frequency
225 RT/YR/$M
Avg. Margin-to-Equity
50%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
50.00%
1-3 Months
50.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Trend-following
50.00%
Other
50.00%
Strategy Pie Chart

Composition

Other
50.00%
Currency Futures
10.00%
Grains
10.00%
Stock Indices
8.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Energy
5.00%
Softs
5.00%
VIX
2.00%
Composition Pie Chart

Summary

Dixon Midland Diversified has evolved since its inception in 2011. Originally composed entirely of a systematic trend-following strategy, approximately 50% of the portfolio was diversified into a systematic long-short equity strategy in August 2016. The long-short equity strategy attempts to profit from factor exposures within the Russell 3000, while the trend-following strategy attempts to profit from medium and long-term trends in global futures markets. These two strategies have low correlation to each other and to major global equity and bond indices.

Investment Strategy

Dixon Midland’s objective is to achieve appreciation of the fund’s capital through speculative trading of futures contracts on U.S. and non-U.S. exchanges, and through holding long and short positions in U.S. public equities. Approximately 50% of the fund’s assets will be allocated to Dixon Midland’s long-term trend-following strategy. Dixon Midland’s long-term trend-following strategy is comprised of technical trend-following trading systems within each futures market and an overall set of money management rules for the strategy as a whole. The individual market trading systems have been developed through quantitative research and statistical analysis of historical market data. The individual systems seek to identify long-term price trends and generate trade signals in the direction of the underlying long-term trend. Approximately 50% of the fund’s assets will be allocated to a long-short U.S. equity strategy. The long-short U.S. equity strategy is comprised of a combination of fundamental and technical analysis of all of the stocks included in the Russell 3000 Index along with an overall set of risk management rules for the strategy as a whole. The theoretical foundation of the strategy is based on third-party academic research and practitioner results that have shown that investing in stocks based on their attributes (also known as factor investing) has historically provided excess returns. The strategy uses a proprietary, forward-looking cash flow model that seeks to estimate long-term implied returns across a set of public equity market factors including, but not limited to, value, quality, sector, market exposure, and momentum.

Risk Management

Dixon Midland’s trading strategy emphasizes risk control through proprietary money management rules and diversification of trading systems and underlying markets. The markets have been chosen for their high liquidity levels and for their historical performance. Dixon Midland’s trading strategy may enter into both long and short positions in any of the futures contracts and securities that it trades, or it may have no position in any given futures contract or security. Dixon Midland’s strategy seeks to deliver attractive long-term returns uncorrelated to major equity or bond indices. Short-term periods may involve unprofitable trading consisting of a number of break-even or losing trades. Should such a “drawdown period” begin soon after a new investor’s contribution to the fund, the investor may lose a substantial percentage of original capital.

   

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:
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Average Gain:
Gain Deviation:
Risk
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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:
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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
-35.53 91 - 9/1/2011 4/1/2019
-6.25 3 1 5/1/2011 8/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
14.35 3 11/1/2014 1/1/2015
13.69 3 7/1/2014 9/1/2014
9.09 2 11/1/2011 12/1/2011
8.75 1 9/1/2011 9/1/2011
6.87 5 10/1/2013 2/1/2014
6.78 4 5/1/2018 8/1/2018
6.63 3 4/1/2013 6/1/2013
5.95 1 7/1/2012 7/1/2012
5.61 1 11/1/2015 11/1/2015
3.95 1 7/1/2015 7/1/2015
3.40 2 6/1/2016 7/1/2016
3.40 1 3/1/2015 3/1/2015
2.93 1 2/1/2016 2/1/2016
2.89 2 10/1/2017 11/1/2017
2.83 1 4/1/2016 4/1/2016
2.70 1 5/1/2015 5/1/2015
2.32 1 5/1/2012 5/1/2012
1.82 1 12/1/2016 12/1/2016
1.78 1 1/1/2018 1/1/2018
1.56 1 4/1/2014 4/1/2014
1.40 1 2/1/2017 2/1/2017
1.16 1 4/1/2017 4/1/2017
1.03 2 11/1/2012 12/1/2012
0.81 2 2/1/2019 3/1/2019
0.43 1 2/1/2013 2/1/2013
0.12 1 5/1/2011 5/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.89 1 10/1/2011 10/1/2011
-17.52 4 1/1/2012 4/1/2012
-10.61 5 9/1/2018 1/1/2019
-10.08 3 2/1/2018 4/1/2018
-9.73 4 8/1/2016 11/1/2016
-8.56 3 8/1/2015 10/1/2015
-7.39 3 8/1/2012 10/1/2012
-6.25 3 6/1/2011 8/1/2011
-6.15 3 7/1/2013 9/1/2013
-6.14 2 5/1/2014 6/1/2014
-5.82 5 5/1/2017 9/1/2017
-5.30 1 1/1/2017 1/1/2017
-5.10 1 3/1/2016 3/1/2016
-4.35 1 5/1/2016 5/1/2016
-3.85 1 10/1/2014 10/1/2014
-2.89 1 6/1/2012 6/1/2012
-2.17 1 6/1/2015 6/1/2015
-1.99 1 4/1/2015 4/1/2015
-1.88 2 12/1/2015 1/1/2016
-1.58 1 4/1/2019 4/1/2019
-1.55 1 3/1/2014 3/1/2014
-1.52 1 2/1/2015 2/1/2015
-1.11 1 3/1/2013 3/1/2013
-1.07 1 12/1/2017 12/1/2017
-0.70 1 3/1/2017 3/1/2017
-0.41 1 1/1/2013 1/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods96.0094.0091.0085.0079.0073.0061.0049.0037.00
Percent Profitable45.8340.4332.9730.5936.7138.3652.4657.1435.14
Average Period Return-0.36-1.14-2.08-2.81-2.83-2.40-0.990.01-3.88
Average Gain2.523.726.2211.3713.8317.4614.918.383.22
Average Loss-2.80-4.44-6.16-9.06-12.49-14.76-18.54-11.15-7.72
Best Period10.3314.3523.5128.7327.6628.3326.1221.266.33
Worst Period-18.89-16.51-26.12-27.77-28.90-28.84-27.84-27.88-17.00
Standard Deviation3.765.398.0311.8914.9017.2718.6712.306.68
Gain Standard Deviation2.303.516.498.479.307.778.506.222.13
Loss Standard Deviation2.953.664.996.646.686.647.699.064.85
Sharpe Ratio (1%)-0.12-0.26-0.32-0.32-0.29-0.26-0.22-0.33-1.34
Average Gain / Average Loss0.900.841.011.251.111.180.800.750.42
Profit / Loss Ratio0.760.570.500.550.640.740.891.000.23
Downside Deviation (10%)3.195.208.1612.9616.9120.3924.7224.7432.19
Downside Deviation (5%)3.024.586.7910.0212.3114.1415.7611.5611.13
Downside Deviation (0%)2.984.436.479.3311.2412.6813.809.317.30
Sortino Ratio (10%)-0.24-0.46-0.56-0.60-0.62-0.62-0.68-0.87-0.98
Sortino Ratio (5%)-0.15-0.30-0.38-0.38-0.35-0.31-0.26-0.35-0.81
Sortino Ratio (0%)-0.12-0.26-0.32-0.30-0.25-0.19-0.070.00-0.53

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 8 1.75 5/2018
Trend Following Strategy Index Month 10 2.86 12/2011
Trend Following Strategy Index Month 7 6.06 11/2011

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