DKR Fusion Management : DKR Fusion Quantitative Strategies Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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=1%) 0.59 CAROR 6.95% Assets $ 10.0M Worst DD -20.05 S&P Correlation -0.08 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 Sep Qtr 2020 1yr 3yr 5yr 10yr Since9/2000 DKR Fusion Quantitative Strategies -2.65 - - - - - -17.52 125.29 S&P 500 2.42 - - - - - 76.68 158.77 +/- S&P 500 -5.07 - - - - - -94.20 -33.48 Strategy Description Investment StrategyThe 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% Composition Currency FX 49.00% Interest Rates 11.00% Grains 7.00% Softs 7.00% Stock Indices 7.00% Currency Futures 6.00% Energy 6.00% Industrial Metals 3.00% Precious Metals 2.00% Livestock 2.00% Investment StrategyThe 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"). 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel