Dreiss Research Corporation : Diversified Program

Year-to-Date
11.32%
Jul Performance
5.37%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
30.52%
Sharpe (RFR=1%)
0.55
CAROR
14.09%
Assets
$ 1.7M
Worst DD
-51.44
S&P Correlation
-0.19

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
5/1991
Diversified Program 5.37 -5.03 -11.32 -23.03 13.49 7.57 140.74 4,627.26
S&P 500 5.51 12.32 1.25 9.76 31.27 53.90 193.87 788.67
+/- S&P 500 -0.14 -17.35 -12.56 -32.78 -17.78 -46.33 -53.13 3,838.58

Strategy Description

Summary

This long-term trend following program identifies price patterns by using a Fractal Wave Algorithm (“FWA”), a pattern recognition system based on fractal geometry. ... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
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 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 35%
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 0%
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

This long-term trend following program identifies price patterns by using a Fractal Wave Algorithm (“FWA”), a pattern recognition system based on fractal geometry.

Investment Strategy

The system trades off of weekly price charts. The program uses a Fractal Wave System to a diversified portfolio. Turning points identified by the FWA are used to precisely define trend lines and support and resistance levels which in turn are used to calculate trading signals. The Choppiness Index, also derived from fractal geometry, is used to distinguish between thrusting and consolidating markets.

Risk Management

Managed Futures accounts are risk balanced across market sectors and within sectors depending upon portfolio size, and are periodically rebalanced to reflect changes in the volatility of individual markets. New accounts are generally eased into the markets over 2 to 3 months and are encouraged to maintain an investment horizon of at least 18 months.

   

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
-51.44 18 21 4/1/2011 10/1/2012
-39.03 14 16 8/1/1998 10/1/1999
-38.29 6 12 2/1/1997 8/1/1997
-34.64 10 23 11/1/2016 9/1/2017
-32.17 8 3 11/1/2009 7/1/2010
-32.14 6 17 10/1/2001 4/1/2002
-26.95 10 - 8/1/2019 6/1/2020
-23.43 14 4 3/1/2004 5/1/2005
-22.81 1 9 9/1/2015 10/1/2015
-22.42 7 5 1/1/2007 8/1/2007
-21.55 4 12 12/1/1991 4/1/1992
-19.41 2 3 6/1/1996 8/1/1996
-19.09 3 4 3/1/2001 6/1/2001
-11.86 5 3 2/1/2008 7/1/2008
-11.64 1 2 1/1/1996 2/1/1996
-10.92 1 1 9/1/2014 10/1/2014
-9.83 3 3 3/1/2015 6/1/2015
-9.06 2 3 7/1/1993 9/1/1993
-8.66 1 1 4/1/1996 5/1/1996
-7.67 4 2 6/1/1991 10/1/1991
-7.24 1 1 10/1/2010 11/1/2010
-7.23 1 1 3/1/1994 4/1/1994
-6.00 1 3 6/1/1995 7/1/1995
-5.45 1 1 7/1/2016 8/1/2016
-5.28 3 3 5/1/2006 8/1/2006
-4.97 1 1 12/1/1994 1/1/1995
-4.89 1 1 9/1/1994 10/1/1994
-4.64 2 1 8/1/2009 10/1/2009
-4.09 1 1 9/1/2016 10/1/2016
-3.29 1 1 2/1/2011 3/1/2011
-2.65 4 2 2/1/2009 6/1/2009
-2.62 1 2 12/1/1993 1/1/1994
-2.50 1 1 1/1/2006 2/1/2006
-2.05 1 2 6/1/1994 7/1/1994
-1.50 1 1 12/1/1996 1/1/1997
-0.76 1 1 12/1/2008 1/1/2009
-0.62 1 1 7/1/2014 8/1/2014
-0.21 1 1 9/1/2005 10/1/2005
-0.12 1 1 1/1/2015 2/1/2015
-0.12 1 1 12/1/2003 1/1/2004
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Consecutive Gains

Run-up Length (Mos.) Start End
103.20 11 9/1/2013 7/1/2014
81.79 5 8/1/2008 12/1/2008
57.69 3 12/1/2007 2/1/2008
57.69 9 12/1/1997 8/1/1998
49.00 3 8/1/2010 10/1/2010
46.70 3 6/1/2019 8/1/2019
45.34 4 11/1/1999 2/1/2000
41.48 4 9/1/1996 12/1/1996
40.06 5 2/1/1995 6/1/1995
39.60 9 11/1/1992 7/1/1993
38.88 3 5/1/2002 7/1/2002
35.67 3 11/1/2014 1/1/2015
33.80 3 10/1/2000 12/1/2000
32.25 4 7/1/2001 10/1/2001
32.12 4 6/1/2005 9/1/2005
31.52 3 11/1/2005 1/1/2006
29.82 3 12/1/2010 2/1/2011
27.21 3 3/1/2006 5/1/2006
26.97 3 11/1/2012 1/1/2013
26.46 2 9/1/2007 10/1/2007
25.72 2 5/1/1994 6/1/1994
25.63 2 6/1/2016 7/1/2016
24.10 4 10/1/1995 1/1/1996
22.83 2 3/1/1996 4/1/1996
22.40 4 5/1/1992 8/1/1992
21.14 1 11/1/2015 11/1/2015
19.38 2 12/1/2017 1/1/2018
19.35 5 8/1/2003 12/1/2003
19.34 1 4/1/1999 4/1/1999
19.13 3 4/1/2007 6/1/2007
18.09 1 3/1/2020 3/1/2020
17.95 1 11/1/2011 11/1/2011
17.25 2 9/1/1997 10/1/1997
16.57 1 10/1/2017 10/1/2017
15.51 3 2/1/2019 4/1/2019
15.01 2 11/1/1994 12/1/1994
14.96 1 7/1/2012 7/1/2012
13.60 2 5/1/2013 6/1/2013
13.43 2 2/1/2001 3/1/2001
13.37 1 9/1/2011 9/1/2011
12.62 2 8/1/1999 9/1/1999
12.20 1 9/1/2016 9/1/2016
12.14 2 11/1/1991 12/1/1991
12.09 1 12/1/2019 12/1/2019
11.39 1 2/1/1997 2/1/1997
10.97 1 8/1/2018 8/1/2018
10.95 1 11/1/2004 11/1/2004
10.73 1 9/1/2015 9/1/2015
10.60 1 6/1/1996 6/1/1996
10.29 5 9/1/2006 1/1/2007
10.24 1 12/1/1993 12/1/1993
9.90 1 8/1/2000 8/1/2000
9.73 2 3/1/2010 4/1/2010
9.61 2 8/1/1994 9/1/1994
9.18 1 5/1/2000 5/1/2000
8.66 1 2/1/2016 2/1/2016
8.47 1 11/1/2009 11/1/2009
8.04 1 7/1/2015 7/1/2015
7.66 1 2/1/1999 2/1/1999
7.31 1 4/1/2011 4/1/2011
6.83 1 12/1/2018 12/1/2018
6.70 1 3/1/2013 3/1/2013
6.56 1 3/1/2015 3/1/2015
6.48 2 7/1/2009 8/1/2009
6.22 1 11/1/2016 11/1/2016
5.37 1 7/1/2020 7/1/2020
5.13 1 2/1/2005 2/1/2005
4.79 1 9/1/2014 9/1/2014
4.72 1 8/1/1995 8/1/1995
4.12 1 4/1/2016 4/1/2016
3.86 2 5/1/1991 6/1/1991
3.67 1 10/1/1993 10/1/1993
3.52 2 2/1/1994 3/1/1994
3.26 1 6/1/2008 6/1/2008
2.74 1 6/1/1999 6/1/1999
2.61 2 3/1/2018 4/1/2018
2.60 1 2/1/2002 2/1/2002
1.68 1 5/1/2017 5/1/2017
1.58 1 7/1/2011 7/1/2011
1.57 1 12/1/1998 12/1/1998
1.42 1 5/1/2012 5/1/2012
1.41 1 6/1/2010 6/1/2010
1.23 1 4/1/2009 4/1/2009
0.81 2 2/1/2004 3/1/2004
0.81 1 9/1/1991 9/1/1991
0.80 1 2/1/2009 2/1/2009
0.55 1 5/1/2001 5/1/2001
0.50 2 12/1/2002 1/1/2003
0.48 2 4/1/2003 5/1/2003
0.28 1 6/1/2004 6/1/2004
0.14 1 9/1/2002 9/1/2002
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Consecutive Losses

Run-up Length (Mos.) Start End
-38.29 6 3/1/1997 8/1/1997
-33.06 3 8/1/2012 10/1/2012
-25.30 3 11/1/2001 1/1/2002
-22.81 1 10/1/2015 10/1/2015
-22.67 2 3/1/2000 4/1/2000
-22.57 3 9/1/2019 11/1/2019
-21.55 4 1/1/1992 4/1/1992
-21.43 1 10/1/2011 10/1/2011
-21.29 1 3/1/1999 3/1/1999
-21.19 5 12/1/2016 4/1/2017
-20.40 2 7/1/2013 8/1/2013
-20.09 3 12/1/2009 2/1/2010
-19.89 3 9/1/1998 11/1/1998
-19.64 3 4/1/2020 6/1/2020
-19.52 2 7/1/2007 8/1/2007
-19.41 2 7/1/1996 8/1/1996
-19.08 2 2/1/2007 3/1/2007
-18.83 1 2/1/2018 2/1/2018
-18.46 1 5/1/2010 5/1/2010
-18.44 4 6/1/2017 9/1/2017
-18.44 1 4/1/2001 4/1/2001
-17.74 1 6/1/2012 6/1/2012
-16.61 1 10/1/1999 10/1/1999
-16.39 2 5/1/2011 6/1/2011
-16.03 1 5/1/1999 5/1/1999
-14.73 3 3/1/2005 5/1/2005
-13.74 4 7/1/2004 10/1/2004
-12.38 5 12/1/2011 4/1/2012
-11.64 1 2/1/1996 2/1/1996
-11.47 2 3/1/2002 4/1/2002
-11.31 2 1/1/2020 2/1/2020
-11.04 1 2/1/2013 2/1/2013
-10.92 1 10/1/2014 10/1/2014
-9.83 3 4/1/2015 6/1/2015
-9.80 3 3/1/2008 5/1/2008
-9.71 3 9/1/2018 11/1/2018
-9.63 2 6/1/2000 7/1/2000
-9.21 2 12/1/2015 1/1/2016
-9.19 1 3/1/2016 3/1/2016
-9.06 2 8/1/1993 9/1/1993
-8.66 1 5/1/1996 5/1/1996
-8.54 2 12/1/2004 1/1/2005
-8.28 3 5/1/2018 7/1/2018
-7.90 2 9/1/1992 10/1/1992
-7.56 1 1/1/2019 1/1/2019
-7.44 2 7/1/1991 8/1/1991
-7.24 1 11/1/2010 11/1/2010
-7.23 1 4/1/1994 4/1/1994
-6.70 1 11/1/1997 11/1/1997
-6.46 1 7/1/2010 7/1/2010
-6.33 1 5/1/2016 5/1/2016
-6.00 1 7/1/1995 7/1/1995
-5.45 1 8/1/2016 8/1/2016
-5.41 1 1/1/1999 1/1/1999
-5.37 1 7/1/2008 7/1/2008
-5.28 3 6/1/2006 8/1/2006
-4.97 1 1/1/1995 1/1/1995
-4.89 1 10/1/1994 10/1/1994
-4.64 2 9/1/2009 10/1/2009
-4.16 1 8/1/2015 8/1/2015
-4.09 1 10/1/2016 10/1/2016
-3.31 1 7/1/1999 7/1/1999
-3.29 1 3/1/2011 3/1/2011
-3.26 1 8/1/2011 8/1/2011
-3.17 1 11/1/2007 11/1/2007
-2.69 2 4/1/2004 5/1/2004
-2.62 1 1/1/1994 1/1/1994
-2.50 1 2/1/2006 2/1/2006
-2.41 1 11/1/1993 11/1/1993
-2.22 2 5/1/2009 6/1/2009
-2.15 1 11/1/2017 11/1/2017
-2.05 1 7/1/1994 7/1/1994
-1.77 1 1/1/2001 1/1/2001
-1.65 1 3/1/2009 3/1/2009
-1.50 1 1/1/1997 1/1/1997
-1.34 1 6/1/2001 6/1/2001
-1.05 1 10/1/1991 10/1/1991
-0.84 1 9/1/2000 9/1/2000
-0.76 1 1/1/2009 1/1/2009
-0.62 1 8/1/2014 8/1/2014
-0.58 2 6/1/2003 7/1/2003
-0.53 1 4/1/2013 4/1/2013
-0.30 1 9/1/1995 9/1/1995
-0.21 1 10/1/2005 10/1/2005
-0.19 1 5/1/2019 5/1/2019
-0.12 1 2/1/2015 2/1/2015
-0.12 1 1/1/2004 1/1/2004
-0.10 2 10/1/2002 11/1/2002
-0.09 1 8/1/2002 8/1/2002
-0.09 2 2/1/2003 3/1/2003
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods351.00349.00346.00340.00334.00328.00316.00304.00292.00
Percent Profitable55.5658.7460.6967.3575.7580.7982.5991.4597.26
Average Period Return1.494.469.1919.1429.7840.4764.9795.48121.10
Average Gain7.2814.0722.3135.3244.3254.1481.24105.85124.75
Average Loss-5.76-9.22-11.08-14.23-15.66-17.04-12.28-15.39-8.25
Best Period45.4273.1893.09140.80209.50220.80248.37432.64403.02
Worst Period-22.81-33.06-38.29-40.86-51.44-43.08-35.51-31.23-12.33
Standard Deviation8.8115.5722.5333.0243.1649.7066.5793.4095.17
Gain Standard Deviation6.3512.4018.6727.8839.3445.2461.8490.9693.95
Loss Standard Deviation5.467.068.748.9010.9412.378.988.803.94
Sharpe Ratio (1%)0.160.270.390.550.650.770.930.981.22
Average Gain / Average Loss1.261.532.012.482.833.186.616.8815.13
Profit / Loss Ratio1.582.173.115.128.8413.3631.3973.52537.07
Downside Deviation (10%)5.488.0910.1112.1312.7413.2712.6111.817.31
Downside Deviation (5%)5.327.589.0910.0710.019.937.396.232.30
Downside Deviation (0%)5.287.458.849.589.399.206.335.161.50
Sortino Ratio (10%)0.200.400.661.171.742.283.906.2612.79
Sortino Ratio (5%)0.260.560.961.802.833.878.3814.6850.40
Sortino Ratio (0%)0.280.601.042.003.174.4010.2718.5081.00

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 18.09 3/2020
IASG CTA Index Month 2 12.09 12/2019
Trend Following Strategy Index Month 2 12.09 12/2019
Systematic Trader Index Month 2 12.09 12/2019
Diversified Trader Index Month 2 12.09 12/2019
IASG CTA Index Annual 5 35.70 2019
IASG CTA Index Month 1 26.01 8/2019
Trend Following Strategy Index Month 1 26.01 8/2019
Systematic Trader Index Month 1 26.01 8/2019
Diversified Trader Index Month 1 26.01 8/2019
Diversified Trader Index Month 1 9.82 7/2019
Systematic Trader Index Month 1 9.82 7/2019
Trend Following Strategy Index Month 1 9.82 7/2019
IASG CTA Index Month 1 9.82 7/2019
Trend Following Strategy Index Month 9 6.01 6/2019
Systematic Trader Index Month 5 6.28 4/2019
Diversified Trader Index Month 5 6.28 4/2019
IASG CTA Index Month 5 6.28 4/2019
Trend Following Strategy Index Month 4 6.28 4/2019
IASG CTA Index Month 4 5.93 2/2019
Trend Following Strategy Index Month 4 5.93 2/2019
Systematic Trader Index Month 4 5.93 2/2019
Diversified Trader Index Month 4 5.93 2/2019
IASG CTA Index 5 Year 10 84.77 2013 - 2018
Trend Following Strategy Index Month 10 0.00 10/2018
Trend Following Strategy Index Month 4 10.97 8/2018
Systematic Trader Index Month 4 10.97 8/2018
Diversified Trader Index Month 4 10.97 8/2018
IASG CTA Index Month 4 10.97 8/2018
Trend Following Strategy Index Month 5 2.37 4/2018
Trend Following Strategy Index Month 5 10.64 1/2018
Systematic Trader Index Month 8 10.64 1/2018
Diversified Trader Index Month 7 10.64 1/2018
IASG CTA Index Month 8 10.64 1/2018
Trend Following Strategy Index Month 1 7.90 12/2017
Systematic Trader Index Month 1 7.90 12/2017
Diversified Trader Index Month 1 7.90 12/2017
IASG CTA Index Month 1 7.90 12/2017
IASG CTA Index 5 Year 2 141.56 2012 - 2017
IASG CTA Index Month 2 16.57 10/2017
Trend Following Strategy Index Month 2 16.57 10/2017
Systematic Trader Index Month 2 16.57 10/2017
Diversified Trader Index Month 2 16.57 10/2017
IASG CTA Index 3 Year 4 127.34 2013 - 2016
Trend Following Strategy Index Month 9 6.22 11/2016
Diversified Trader Index Month 2 12.20 9/2016
Systematic Trader Index Month 2 12.20 9/2016
Trend Following Strategy Index Month 2 12.20 9/2016
IASG CTA Index Month 1 12.20 9/2016
Trend Following Strategy Index Month 5 5.96 7/2016
Diversified Trader Index Month 7 5.96 7/2016
Systematic Trader Index Month 8 5.96 7/2016
IASG CTA Index Month 6 5.96 7/2016
Diversified Trader Index Month 2 18.56 6/2016
IASG CTA Index Month 2 18.56 6/2016
Trend Following Strategy Index Month 2 18.56 6/2016
Systematic Trader Index Month 2 18.56 6/2016
Trend Following Strategy Index Month 6 4.12 4/2016
Systematic Trader Index Month 10 4.12 4/2016
Diversified Trader Index Month 10 4.12 4/2016
IASG CTA Index Month 10 4.12 4/2016
Diversified Trader Index Month 7 8.66 2/2016
Systematic Trader Index Month 7 8.66 2/2016
Trend Following Strategy Index Month 4 8.66 2/2016
IASG CTA Index Month 4 8.66 2/2016
IASG CTA Index 3 Year 3 131.35 2012 - 2015
Diversified Trader Index Month 2 21.14 11/2015
Systematic Trader Index Month 2 21.14 11/2015
Trend Following Strategy Index Month 2 21.14 11/2015
IASG CTA Index Month 2 21.14 11/2015
Trend Following Strategy Index Month 2 10.73 9/2015
Diversified Trader Index Month 2 10.73 9/2015
Systematic Trader Index Month 1 10.73 9/2015
IASG CTA Index Month 3 10.73 9/2015
Trend Following Strategy Index Month 7 6.52 3/2015
IASG CTA Index Annual 5 85.89 2014
IASG CTA Index Month 8 15.91 11/2014
Trend Following Strategy Index Month 8 15.91 11/2014
Systematic Trader Index Month 9 15.91 11/2014
Diversified Trader Index Month 8 15.91 11/2014
Diversified Trader Index Month 9 9.32 7/2014
Systematic Trader Index Month 8 9.32 7/2014
Trend Following Strategy Index Month 7 9.32 7/2014
Systematic Trader Index Month 6 9.34 6/2014
IASG CTA Index Month 6 9.34 6/2014
Diversified Trader Index Month 4 9.34 6/2014
Trend Following Strategy Index Month 3 9.34 6/2014
Systematic Trader Index Month 3 6.98 5/2014
Trend Following Strategy Index Month 3 6.98 5/2014
Diversified Trader Index Month 4 6.98 5/2014
IASG CTA Index Month 6 6.98 5/2014
IASG CTA Index Month 3 12.57 4/2014
Systematic Trader Index Month 1 12.57 4/2014
Diversified Trader Index Month 1 12.57 4/2014
Trend Following Strategy Index Month 1 12.57 4/2014
Trend Following Strategy Index Month 6 3.96 3/2014
Trend Following Strategy Index Month 10 9.48 2/2014
Trend Following Strategy Index Month 4 10.29 11/2013
Diversified Trader Index Month 4 10.29 11/2013
Systematic Trader Index Month 4 10.29 11/2013

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