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DKR Fusion Management : DKR Fusion Quantitative Strategies

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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=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 YTD 1yr 3yr 5yr 10yr Since
9/2000
DKR Fusion Quantitative Strategies -2.65 - - - - - -12.11 125.29
S&P 500 2.42 - - - - - 76.68 206.81
+/- S&P 500 -5.07 - - - - - -88.79 -81.52

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%
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%
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.

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
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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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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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