DKR Fusion Management : DKR Fusion Quantitative Strategies

archived programs
Year-to-Date
N / A
Sep Performance
-2.65%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.62%
Sharpe (RFR=0.50%)
0.64
CAROR
6.95%
Assets
$ 10.0M
Worst DD
-20.05
S&P Correlation
-0.08

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
9/2000
DKR Fusion Quantitative Strategies -2.65 -2.65 - -6.41 -12.77 9.63 55.94 125.29
S&P 500 2.42 5.76 - 27.32 36.27 -5.65 76.68 -1.43
+/- S&P 500 -5.07 -8.41 - -33.74 -49.04 15.29 -20.74 126.72

Strategy Description

Investment Strategy

The DKR Fusion Quantitative Strategies Program (the "Program") seeks to provide superior, risk-adjusted performance that has low correlation to global equity markets, fixed income markets and most other alternative investment strategies. The Program includes systematic... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 1,000k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-8.00%
Worst Peak-to-Trough
-11.46%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
44.00%
1-30 Days
34.00%
Intraday
22.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
67.00%
Pattern Recognition
10.00%
Other
23.00%
Strategy Pie Chart

Composition

Currency FX
49.00%
Interest Rates
11.00%
Softs
7.00%
Stock Indices
7.00%
Grains
7.00%
Currency Futures
6.00%
Energy
6.00%
Industrial Metals
3.00%
Livestock
2.00%
Precious Metals
2.00%
Composition Pie Chart

Investment Strategy

The DKR Fusion Quantitative Strategies Program (the "Program") seeks to provide superior, risk-adjusted performance that has low correlation to global equity markets, fixed income markets and most other alternative investment strategies. The Program includes systematic momentum and mean reversion strategies across the global foreign exchange, commodities and financial futures markets. The Program currently trades approximately 100 different markets. The DKR Fusion team has been managing systematic programs since 1999, including the Quantitative Strategies Program that began in September 2000. The Program is also available in an enhanced leveraged version ("Quant 2X").

   

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=0.50%)
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=0.50%)
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
-20.05 16 - 2/1/2011 6/1/2012
-9.78 3 3 6/1/2008 9/1/2008
-8.85 3 4 6/1/2007 9/1/2007
-7.85 4 3 10/1/2001 2/1/2002
-7.61 3 3 4/1/2010 7/1/2010
-7.14 6 3 2/1/2004 8/1/2004
-6.04 4 4 5/1/2003 9/1/2003
-5.64 1 1 10/1/2010 11/1/2010
-5.41 2 3 1/1/2007 3/1/2007
-4.49 1 2 2/1/2003 3/1/2003
-4.00 2 3 11/1/2009 1/1/2010
-3.81 4 1 12/1/2008 4/1/2009
-3.27 2 1 5/1/2006 7/1/2006
-3.15 2 2 11/1/2004 1/1/2005
-3.10 1 2 2/1/2008 3/1/2008
-2.99 4 2 11/1/2005 3/1/2006
-2.91 1 5 5/1/2009 6/1/2009
-1.37 1 1 3/1/2005 4/1/2005
-0.83 1 1 6/1/2005 7/1/2005
-0.83 2 1 9/1/2002 11/1/2002
-0.79 4 1 3/1/2001 7/1/2001
-0.51 1 1 8/1/2001 9/1/2001
-0.01 1 1 1/1/2001 2/1/2001
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Consecutive Gains

Run-up Length (Mos.) Start End
27.00 7 3/1/2002 9/1/2002
16.26 3 12/1/2007 2/1/2008
14.68 3 12/1/2002 2/1/2003
12.48 6 8/1/2006 1/1/2007
12.34 3 8/1/2010 10/1/2010
12.20 5 9/1/2000 1/1/2001
11.45 5 10/1/2003 2/1/2004
11.25 3 10/1/2008 12/1/2008
10.69 3 12/1/2010 2/1/2011
8.39 2 4/1/2003 5/1/2003
7.68 3 4/1/2007 6/1/2007
6.91 3 4/1/2008 6/1/2008
6.36 1 3/1/2001 3/1/2001
6.36 4 8/1/2005 11/1/2005
6.16 1 11/1/2004 11/1/2004
5.55 1 5/1/2009 5/1/2009
5.48 5 7/1/2009 11/1/2009
4.99 1 5/1/2012 5/1/2012
4.88 2 7/1/2011 8/1/2011
4.71 1 7/1/2012 7/1/2012
4.49 3 2/1/2010 4/1/2010
4.14 2 2/1/2005 3/1/2005
3.91 2 4/1/2006 5/1/2006
3.78 1 10/1/2007 10/1/2007
3.75 1 9/1/2004 9/1/2004
3.39 1 8/1/2001 8/1/2001
2.62 1 4/1/2011 4/1/2011
2.59 2 5/1/2005 6/1/2005
2.22 1 10/1/2001 10/1/2001
0.34 1 1/1/2012 1/1/2012
0.29 1 11/1/2011 11/1/2011
0.21 1 12/1/2001 12/1/2001
0.13 1 2/1/2009 2/1/2009
0.13 1 1/1/2006 1/1/2006
0.06 1 5/1/2001 5/1/2001
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.78 3 7/1/2008 9/1/2008
-8.85 3 7/1/2007 9/1/2007
-8.80 2 5/1/2011 6/1/2011
-7.97 2 9/1/2011 10/1/2011
-7.61 3 5/1/2010 7/1/2010
-7.14 6 3/1/2004 8/1/2004
-6.07 1 6/1/2012 6/1/2012
-6.04 4 6/1/2003 9/1/2003
-5.64 1 11/1/2010 11/1/2010
-5.41 2 2/1/2007 3/1/2007
-5.39 1 3/1/2011 3/1/2011
-4.58 3 2/1/2012 4/1/2012
-4.49 1 3/1/2003 3/1/2003
-4.21 2 1/1/2002 2/1/2002
-4.19 2 8/1/2012 9/1/2012
-4.00 2 12/1/2009 1/1/2010
-4.00 1 11/1/2001 11/1/2001
-3.27 2 6/1/2006 7/1/2006
-3.15 2 12/1/2004 1/1/2005
-3.10 1 3/1/2008 3/1/2008
-2.91 1 6/1/2009 6/1/2009
-2.91 1 1/1/2009 1/1/2009
-1.81 2 2/1/2006 3/1/2006
-1.37 1 4/1/2005 4/1/2005
-1.33 1 12/1/2005 12/1/2005
-1.20 1 12/1/2011 12/1/2011
-1.06 2 3/1/2009 4/1/2009
-0.87 1 11/1/2007 11/1/2007
-0.83 1 7/1/2005 7/1/2005
-0.83 2 10/1/2002 11/1/2002
-0.82 1 10/1/2004 10/1/2004
-0.65 2 6/1/2001 7/1/2001
-0.51 1 9/1/2001 9/1/2001
-0.20 1 4/1/2001 4/1/2001
-0.01 1 2/1/2001 2/1/2001
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods145.00143.00140.00134.00128.00122.00110.0098.0086.00
Percent Profitable56.5566.4369.2982.8486.7287.7090.0093.88100.00
Average Period Return0.611.883.677.3411.7416.8725.2734.4944.75
Average Gain2.694.737.0710.2614.5819.9828.6036.9144.75
Average Loss-2.10-3.76-4.01-6.78-6.83-5.30-4.76-2.74
Best Period8.0216.2625.0444.4443.5456.5962.1071.7987.18
Worst Period-6.69-9.78-11.98-16.50-17.79-12.89-9.53-9.272.48
Standard Deviation3.075.247.3310.1611.8314.3116.7118.0020.33
Gain Standard Deviation2.013.726.018.279.6612.3414.0415.7320.33
Loss Standard Deviation1.832.532.895.506.784.072.793.28
Sharpe Ratio (1%)0.170.310.430.620.871.041.331.691.95
Average Gain / Average Loss1.281.261.761.512.133.776.0013.48
Profit / Loss Ratio1.672.493.987.3113.9326.9154.02206.70
Downside Deviation (10%)2.043.243.975.515.985.926.936.945.85
Downside Deviation (5%)1.872.742.963.923.872.912.621.870.28
Downside Deviation (0%)1.832.612.733.583.462.311.731.00
Sortino Ratio (10%)0.100.200.300.420.691.121.371.862.93
Sortino Ratio (5%)0.280.601.071.622.645.118.5016.30140.04
Sortino Ratio (0%)0.330.721.342.053.397.3014.6534.35

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.