Dostan LLC : Ars Technika

archived programs
Year-to-Date
N / A
May Performance
4.36%
Min Investment
$ 2,500k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
13.65%
Sharpe (RFR=1%)
0.12
CAROR
1.71%
Assets
$ 0k
Worst DD
-21.93
S&P Correlation
-0.14

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/2008
Ars Technika 4.36 - - - - - -5.62 5.98
S&P 500 -1.35 - - - - - 7.12 160.00
+/- S&P 500 5.71 - - - - - -12.74 -154.02

Strategy Description

Summary

-Ars Technika trades all six market sectors: foreign exchange, interest rates, energy, agricultural commodities, metals and stock indices. Trading 27 liquid markets increases the methodology’s number of trading opportunities. This should increase the total profitability. Each trade... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 8100 RT/YR/$M
Avg. Margin-to-Equity 11%
Targeted Worst DD
Worst Peak-to-Trough 5.60%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 93.00%
1-30 Days 0%
Intraday 2.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Summary

-Ars Technika trades all six market sectors: foreign exchange, interest rates, energy, agricultural commodities, metals and stock indices. Trading 27 liquid markets increases the methodology’s number of trading opportunities. This should increase the total profitability. Each trade specifies its own predefined level of monetary risk, and profit objective; the overall trading objective is both return and control of portfolio exposure. No attempt is made to capture large moves in markets. The methodology’s iterative process tends to cause a repetition of a series of profits and losses in the totality of markets (with profits designed to be incrementally larger than the losses). The portfolio thereby resembles an actuarial exercise in practice. Trading results over any short term are random, but over time frames of increasing duration the methodology’s underlying principles create an aggregation of small losses likely to be more than offset by an incrementally larger aggregation of gains.The accompanying data for 2008-2009 are results of real-time trading in a proprietary account. All trades in Ars Technika were executed in the proprietary trading account, with the 2008-2009 extracted performance drawn from the allocations called for in an Ars Technika account. All performance is net of fees.

Investment Strategy

Dostan LLC offers a systematic managed futures investment program which is unlike most traditional long-only investment strategies. Rather than trying predict which assets will rise or fall, Dostan attempts to capitalize on the behavioral nature of the markets and their inherent energy properties. The very act of the large number of investors acting independently on their analysis creates an ebb and flow of prices - often called “noise” by investment managers. Dostan’s methodology seeks to capture profitability from fluctuational energy, rather than trying to predict market direction. Variance in market valuations exist whether a market is rising, falling, or churning in place. Therefore, the potential profitability of Dostan’s approach does not depend on one set of “good” market conditions, or market direction. No assurance can be made that Dostan’s approach will be profitable, and as with any trading approach, there will be times when losses occur. Nevertheless, by concentrating on market phenomena that other managers avoid, the return stream is very different from other managers.

Risk Management

Risk management begins at the position level. When a position is established, specific exit points are established, both for positive events and negative. Prudence dictates the establishment of a stop loss point should a market move against a position, and the system automatically sets these levels. On the flip side, setting price targets on the positive side limits the exposure the givebacks of open trade profits that is an added risk of long term trend followers. Since the trading system is non-predictive, Dostan is not trying to identify large moves in markets. Rather the methodology attempts to capture the fluctuational energy of normal market movements.Portfolio construction is also integral to the risk management. By spreading the portfolio across a broad number of markets, and by having pre-established position sizes, Dostan’s management of the portfolio is not subject to having oversized positions negatively impact the portfolio’s performance. Semi-annual rebalancing prevents a market or sector from attaining too large a position due to disparate market performance, and the system itself has an ongoing self-regulating component to position sizing.

   

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
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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
-21.93 26 - 2/1/2009 4/1/2011
-5.67 1 5 7/1/2008 8/1/2008
-3.95 1 1 1/1/2008 2/1/2008
-1.60 1 1 5/1/2008 6/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
17.68 3 3/1/2008 5/1/2008
15.71 6 9/1/2008 2/1/2009
7.48 1 11/1/2009 11/1/2009
6.32 4 7/1/2010 10/1/2010
4.94 1 1/1/2008 1/1/2008
4.36 1 5/1/2011 5/1/2011
3.19 1 2/1/2011 2/1/2011
2.66 1 7/1/2009 7/1/2009
2.10 1 7/1/2008 7/1/2008
0.83 1 3/1/2010 3/1/2010
0.74 1 5/1/2010 5/1/2010
0.59 1 4/1/2009 4/1/2009
0.43 1 1/1/2010 1/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.94 2 3/1/2011 4/1/2011
-8.13 2 5/1/2009 6/1/2009
-6.49 3 11/1/2010 1/1/2011
-5.67 1 8/1/2008 8/1/2008
-5.07 1 12/1/2009 12/1/2009
-5.02 1 3/1/2009 3/1/2009
-4.57 3 8/1/2009 10/1/2009
-3.95 1 2/1/2008 2/1/2008
-3.45 1 6/1/2010 6/1/2010
-1.94 1 2/1/2010 2/1/2010
-1.60 1 6/1/2008 6/1/2008
-1.39 1 4/1/2010 4/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods41.0039.0036.0030.0024.0018.00
Percent Profitable56.1046.1527.7833.3325.0033.33
Average Period Return0.220.44-0.01-0.46-2.98-3.94
Average Gain2.855.569.089.907.795.98
Average Loss-3.33-3.95-3.51-5.63-6.57-8.90
Best Period12.1617.6816.7229.0415.6714.12
Worst Period-6.73-7.58-12.13-13.59-13.92-18.28
Standard Deviation3.946.186.989.497.839.10
Gain Standard Deviation2.965.295.369.426.796.37
Loss Standard Deviation1.842.233.463.253.855.39
Sharpe Ratio (1%)0.030.03-0.07-0.15-0.57-0.65
Average Gain / Average Loss0.851.412.581.761.190.67
Profit / Loss Ratio1.161.210.990.880.400.34
Downside Deviation (10%)2.674.135.859.1012.8616.69
Downside Deviation (5%)2.483.474.476.007.719.88
Downside Deviation (0%)2.443.314.155.286.558.40
Sortino Ratio (10%)-0.07-0.19-0.42-0.60-0.82-0.85
Sortino Ratio (5%)0.050.06-0.11-0.24-0.58-0.60
Sortino Ratio (0%)0.090.130.00-0.09-0.46-0.47

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.