Dubia Capital : Index Futures Program

archived programs
Year-to-Date
N / A
Jun Performance
0.00%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
10.12%
Sharpe (RFR=1%)
-0.93
CAROR
-
Assets
$ 0k
Worst DD
-7.12
S&P Correlation
-0.33

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
1/2010
Index Futures Program 0.00 - - - - - - -4.36
S&P 500 -5.39 - - - - - - 222.58
+/- S&P 500 5.39 - - - - - - -226.94

Strategy Description

Summary

The program is technical in nature and 100% systematic, with systematic consideration shown to scheduled fundamental data releases. The program’s highly diverse decision routines are weighted equally among trend-following, counter-trend, pattern recognition, seasonal and counter-seasonal... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 30.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 8700 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

The program is technical in nature and 100% systematic, with systematic consideration shown to scheduled fundamental data releases. The program’s highly diverse decision routines are weighted equally among trend-following, counter-trend, pattern recognition, seasonal and counter-seasonal logic sets.

   

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:
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Risk
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-7.12 -1 - 1/1/0001 3/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
2.97 1 4/1/2010 4/1/2010
0.43 1 2/1/2010 2/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.76 1 3/1/2010 3/1/2010
-1.86 1 1/1/2010 1/1/2010
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Time Windows Analysis

 1 Month3 Month
Number of Periods6.004.00
Percent Profitable33.3325.00
Average Period Return-0.70-2.41
Average Gain1.702.97
Average Loss-3.81-4.21
Best Period2.972.97
Worst Period-5.76-7.12
Standard Deviation2.924.14
Gain Standard Deviation1.80
Loss Standard Deviation2.762.53
Sharpe Ratio (1%)-0.27-0.64
Average Gain / Average Loss0.450.71
Profit / Loss Ratio0.450.24
Downside Deviation (10%)2.695.03
Downside Deviation (5%)2.514.25
Downside Deviation (0%)2.474.06
Sortino Ratio (10%)-0.41-0.72
Sortino Ratio (5%)-0.31-0.63
Sortino Ratio (0%)-0.28-0.59

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.