DMH Futures Management, LLC : Investment Program

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.05%
Sharpe (RFR=1%)
0.94
CAROR
9.45%
Assets
$ 600k
Worst DD
-10.18
S&P Correlation
-0.13

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
2/2006
Investment Program 0.00 - - - - - -2.07 70.62
S&P 500 0.85 - - - - - 9.52 170.50
+/- S&P 500 -0.85 - - - - - -11.59 -99.87

Strategy Description

Summary

-David M. Heinz, CTA DMH Futures Management, LLC Sectors: Diversified, Discretionary Heinz is a 23 year veteran of the Futures Industry and a Member of the CBOT and CME. The trading program is discretionary and determines trades subjectively on the basis of personal judgment and... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $20.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 7%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Composition

Summary

-David M. Heinz, CTA DMH Futures Management, LLC Sectors: Diversified, Discretionary Heinz is a 23 year veteran of the Futures Industry and a Member of the CBOT and CME. The trading program is discretionary and determines trades subjectively on the basis of personal judgment and trading experience. The program uses technical analysis and to a lesser degree fundamental analysis as a basis for trading strategies. Technical Analysis includes but is not limited to Elliot Wave analysis, Fibonacci retracements, divergences, Commodity Channel Index, Momentum, moving averages and pattern analysis. Fundamental analysis considerations relate to the underlying economic and political forces that ultimately determine the true value of a particular financial instrument or commodity and may involve a long or short-term time horizon. Trades are made either within the prevailing trend or, when there is an indication of a reversal in the prevailing trend which offers a low risk, high return reward, a counter trend trade will be initiated. Trades can be held from several hours to several weeks or months. The Program Trades in all liquid U.S. Futures markets.

   

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=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
-10.18 13 - 10/1/2008 11/1/2009
-6.48 5 1 11/1/2006 4/1/2007
-2.70 1 1 3/1/2006 4/1/2006
-2.35 1 1 8/1/2006 9/1/2006
-2.01 1 2 3/1/2008 4/1/2008
-1.89 1 1 1/1/0001 2/1/2006
-0.60 1 1 7/1/2008 8/1/2008
-0.34 1 1 12/1/2007 1/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
44.71 8 5/1/2007 12/1/2007
17.19 4 5/1/2006 8/1/2006
10.08 2 10/1/2006 11/1/2006
5.99 2 2/1/2008 3/1/2008
5.93 3 5/1/2008 7/1/2008
3.54 2 12/1/2009 1/1/2010
3.45 1 3/1/2006 3/1/2006
3.13 2 9/1/2008 10/1/2008
2.24 1 1/1/2009 1/1/2009
1.60 2 2/1/2011 3/1/2011
1.48 1 8/1/2010 8/1/2010
0.51 1 4/1/2010 4/1/2010
0.46 1 10/1/2010 10/1/2010
0.32 1 3/1/2007 3/1/2007
0.31 1 1/1/2007 1/1/2007
0.03 1 11/1/2011 11/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.06 10 2/1/2009 11/1/2009
-3.02 1 4/1/2007 4/1/2007
-2.74 1 12/1/2006 12/1/2006
-2.70 1 4/1/2006 4/1/2006
-2.61 7 4/1/2011 10/1/2011
-2.35 1 9/1/2006 9/1/2006
-2.33 2 11/1/2008 12/1/2008
-2.26 3 5/1/2010 7/1/2010
-2.01 1 4/1/2008 4/1/2008
-1.89 1 2/1/2006 2/1/2006
-1.47 1 2/1/2007 2/1/2007
-1.37 3 11/1/2010 1/1/2011
-0.68 2 2/1/2010 3/1/2010
-0.60 1 8/1/2008 8/1/2008
-0.34 1 1/1/2008 1/1/2008
-0.13 1 9/1/2010 9/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods71.0069.0066.0060.0054.0048.0036.0024.00
Percent Profitable46.4856.5260.6158.3355.5658.3372.22100.00
Average Period Return0.792.495.2110.6317.4522.4429.1443.37
Average Gain2.825.6810.2320.6534.4541.3442.4643.37
Average Loss-1.03-1.66-2.50-3.41-3.80-4.02-5.48
Best Period8.9421.1232.8649.7862.6576.4588.9678.30
Worst Period-3.02-4.26-7.60-9.78-9.14-8.76-9.861.35
Standard Deviation2.615.369.5916.4824.9130.3331.3422.72
Gain Standard Deviation2.485.119.2114.7421.3926.6126.5822.72
Loss Standard Deviation0.841.312.192.772.162.533.61
Sharpe Ratio (1%)0.270.420.490.580.640.670.831.73
Average Gain / Average Loss2.743.424.096.059.0610.287.74
Profit / Loss Ratio2.514.446.308.4711.3314.3920.13
Downside Deviation (10%)1.192.103.465.867.959.7312.046.05
Downside Deviation (5%)0.991.522.323.353.814.224.840.55
Downside Deviation (0%)0.941.392.072.812.903.053.41
Sortino Ratio (10%)0.320.600.790.961.241.251.113.61
Sortino Ratio (5%)0.711.472.042.874.184.845.4070.96
Sortino Ratio (0%)0.841.802.523.786.027.378.56

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.