DKR Fusion Management : DKR Fusion Quantitative Strategies

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

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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	Since 9/2000
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 Strategy

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 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").

Compare to:

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Index: Chart Type:

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:

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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	145.00	143.00	140.00	134.00	128.00	122.00	110.00	98.00	86.00
Percent Profitable	56.55	66.43	69.29	82.84	86.72	87.70	90.00	93.88	100.00
Average Period Return	0.61	1.88	3.67	7.34	11.74	16.87	25.27	34.49	44.75
Average Gain	2.69	4.73	7.07	10.26	14.58	19.98	28.60	36.91	44.75
Average Loss	-2.10	-3.76	-4.01	-6.78	-6.83	-5.30	-4.76	-2.74
Best Period	8.02	16.26	25.04	44.44	43.54	56.59	62.10	71.79	87.18
Worst Period	-6.69	-9.78	-11.98	-16.50	-17.79	-12.89	-9.53	-9.27	2.48
Standard Deviation	3.07	5.24	7.33	10.16	11.83	14.31	16.71	18.00	20.33
Gain Standard Deviation	2.01	3.72	6.01	8.27	9.66	12.34	14.04	15.73	20.33
Loss Standard Deviation	1.83	2.53	2.89	5.50	6.78	4.07	2.79	3.28
Sharpe Ratio (1%)	0.17	0.31	0.43	0.62	0.87	1.04	1.33	1.69	1.95
Average Gain / Average Loss	1.28	1.26	1.76	1.51	2.13	3.77	6.00	13.48
Profit / Loss Ratio	1.67	2.49	3.98	7.31	13.93	26.91	54.02	206.70
Downside Deviation (10%)	2.04	3.24	3.97	5.51	5.98	5.92	6.93	6.94	5.85
Downside Deviation (5%)	1.87	2.74	2.96	3.92	3.87	2.91	2.62	1.87	0.28
Downside Deviation (0%)	1.83	2.61	2.73	3.58	3.46	2.31	1.73	1.00
Sortino Ratio (10%)	0.10	0.20	0.30	0.42	0.69	1.12	1.37	1.86	2.93
Sortino Ratio (5%)	0.28	0.60	1.07	1.62	2.64	5.11	8.50	16.30	140.04
Sortino Ratio (0%)	0.33	0.72	1.34	2.05	3.39	7.30	14.65	34.35

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.

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DKR Fusion Management : DKR Fusion Quantitative Strategies

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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DKR Fusion Management : DKR Fusion Quantitative Strategies

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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