Dominion Capital : Sapphire Program

archived programs
Year-to-Date
N / A
Dec Performance
-1.14%
Min Investment
$ 3,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.38%
Sharpe (RFR=1%)
0.31
CAROR
3.52%
Assets
$ 35.0M
Worst DD
-17.32
S&P Correlation
-0.07

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
5/2005
Sapphire Program -1.14 -4.43 - -3.80 -13.11 14.11 35.18 49.76
S&P 500 1.82 3.25 - 9.54 21.13 78.02 57.83 87.87
+/- S&P 500 -2.96 -7.69 - -13.33 -34.24 -63.91 -22.64 -38.11

Strategy Description

Summary

The Investment strategies of the Dominion Sapphire Program are unique in their time orientation, market exposure, and in the underlying principles that drive the approach. Day to day trading is governed by proprietary trading models that seek to capture short-term price momentum that... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
2000 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
N/A
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
80.00%
Intraday
20.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Momentum
100.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Stock Indices
25.00%
Interest Rates
25.00%
Energy
10.00%
Precious Metals
6.00%
Livestock
3.00%
Softs
3.00%
Grains
3.00%
Composition Pie Chart

Summary

The Investment strategies of the Dominion Sapphire Program are unique in their time orientation, market exposure, and in the underlying principles that drive the approach. Day to day trading is governed by proprietary trading models that seek to capture short-term price momentum that is either directional or mean reverting. The short term time horizon allows us to: react nimbly to changing market conditions and volatility; maintain a relatively low open trade exposure( both in margin and leverage); enter and exit the market at consistently different times than our peer group; and find opportunity during market conditions that hurt other strategies ( major trend reversals, sudden changes in interest rate policy, and downside volatility in global equity markets). The program currently trades a globally diversified portfolio of stock index, currency, interest rate, and commodity markets. Dominion's investment programs are designed primarily to diversify multi-manager, multi-strategy investment portfolios, as its return profile is intrinsically non-correlated to both traditional and alternative investment exposure. As a divergent trading strategy, Dominion specializes in exploiting short term inefficiencies in global markets, adding a tactical trading component to market neutral or equity hedged strategies, while also remaining non-correlated to other divergent strategies. Dominion uses exchange-traded derivatives and other cash markets as liquidity, transparency and efficient use of capital play a key role in the investment philosophy.

   

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
-17.32 20 14 8/1/2010 4/1/2012
-14.02 35 - 1/1/2014 12/1/2016
-8.71 3 8 1/1/2009 4/1/2009
-3.94 14 5 3/1/2006 5/1/2007
-3.47 3 1 3/1/2010 6/1/2010
-2.95 3 1 12/1/2007 3/1/2008
-2.56 1 1 12/1/2009 1/1/2010
-0.91 1 1 1/1/2006 2/1/2006
-0.83 1 1 10/1/2008 11/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
33.34 10 4/1/2013 1/1/2014
21.03 7 4/1/2008 10/1/2008
11.87 9 5/1/2005 1/1/2006
9.90 3 4/1/2016 6/1/2016
9.86 3 9/1/2014 11/1/2014
8.18 3 9/1/2012 11/1/2012
7.30 2 12/1/2008 1/1/2009
6.41 1 5/1/2012 5/1/2012
5.92 3 10/1/2007 12/1/2007
5.77 5 8/1/2009 12/1/2009
5.70 3 2/1/2011 4/1/2011
5.65 2 7/1/2015 8/1/2015
5.21 2 7/1/2010 8/1/2010
4.62 2 2/1/2010 3/1/2010
4.31 2 5/1/2009 6/1/2009
3.86 1 12/1/2011 12/1/2011
3.79 3 6/1/2007 8/1/2007
3.57 2 10/1/2006 11/1/2006
2.41 1 3/1/2012 3/1/2012
2.26 1 7/1/2014 7/1/2014
2.18 1 7/1/2012 7/1/2012
1.18 1 5/1/2010 5/1/2010
0.96 1 3/1/2006 3/1/2006
0.53 1 7/1/2011 7/1/2011
0.48 2 3/1/2007 4/1/2007
0.34 1 4/1/2015 4/1/2015
0.34 1 2/1/2016 2/1/2016
0.25 1 10/1/2011 10/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.16 5 9/1/2010 1/1/2011
-10.87 4 12/1/2012 3/1/2013
-10.52 6 7/1/2016 12/1/2016
-8.96 5 2/1/2014 6/1/2014
-8.71 3 2/1/2009 4/1/2009
-7.14 4 12/1/2014 3/1/2015
-6.09 2 8/1/2011 9/1/2011
-5.41 2 5/1/2015 6/1/2015
-3.98 5 9/1/2015 1/1/2016
-3.89 6 4/1/2006 9/1/2006
-3.81 1 4/1/2012 4/1/2012
-3.62 1 11/1/2011 11/1/2011
-2.95 3 1/1/2008 3/1/2008
-2.90 1 8/1/2014 8/1/2014
-2.56 1 1/1/2010 1/1/2010
-2.50 2 1/1/2012 2/1/2012
-2.44 1 6/1/2010 6/1/2010
-2.21 1 4/1/2010 4/1/2010
-2.14 1 5/1/2007 5/1/2007
-1.87 1 3/1/2016 3/1/2016
-1.85 3 12/1/2006 2/1/2007
-1.01 2 5/1/2011 6/1/2011
-0.91 1 2/1/2006 2/1/2006
-0.87 1 8/1/2012 8/1/2012
-0.83 1 11/1/2008 11/1/2008
-0.56 1 9/1/2007 9/1/2007
-0.47 1 7/1/2009 7/1/2009
-0.28 1 6/1/2012 6/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods140.00138.00135.00129.00123.00117.00105.0093.0081.00
Percent Profitable52.8660.1464.4460.4762.6068.3877.1496.77100.00
Average Period Return0.321.002.054.106.399.0215.0118.4620.25
Average Gain2.174.035.779.8713.4416.5721.0819.2420.25
Average Loss-1.74-3.58-4.68-4.73-5.42-7.30-5.48-4.80
Best Period13.8118.6025.1030.8932.1134.4638.1541.3546.97
Worst Period-5.63-12.55-12.24-13.49-16.07-14.13-13.11-6.991.71
Standard Deviation2.714.866.639.4912.0114.2514.3511.008.59
Gain Standard Deviation2.123.264.807.629.2610.4110.0410.318.59
Loss Standard Deviation1.562.893.363.124.313.993.541.91
Sharpe Ratio (1%)0.090.150.230.330.410.490.831.311.76
Average Gain / Average Loss1.241.131.232.082.482.273.854.01
Profit / Loss Ratio1.401.702.233.194.154.9112.98120.32
Downside Deviation (10%)1.823.544.736.538.6310.5511.069.5910.40
Downside Deviation (5%)1.643.023.674.104.975.694.411.670.38
Downside Deviation (0%)1.602.893.423.554.224.663.100.91
Sortino Ratio (10%)-0.05-0.06-0.09-0.14-0.14-0.12-0.07-0.32-0.71
Sortino Ratio (5%)0.150.250.420.760.981.232.728.6540.22
Sortino Ratio (0%)0.200.350.601.151.511.934.8420.38

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 7 4.54 8/2013
Diversified Trader Index Month 7 4.54 8/2013
IASG CTA Index Month 10 13.81 4/2013
Systematic Trader Index Month 10 13.81 4/2013
Diversified Trader Index Month 10 13.81 4/2013
Systematic Trader Index Month 9 7.80 5/2008
Diversified Trader Index Month 8 4.03 4/2008
IASG CTA Index Sharpe 2 5.39 2004 - 2005

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.