Dyess & Company LLC : Strategic Investment Pool

archived programs
Year-to-Date
N / A
Nov Performance
0.00%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.48%
Sharpe (RFR=1%)
1.51
CAROR
36.07%
Assets
$ 0k
Worst DD
-20.67
S&P Correlation
-0.35

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
1/2007
Strategic Investment Pool 0.00 - - - - - 0.00 234.10
S&P 500 -0.23 - - - - - -10.22 140.86
+/- S&P 500 0.23 - - - - - 10.22 93.24

Strategy Description

Summary

Dyess & Company was formed in 2006, to provide trading advisory services for high net-worth individuals and institutional investors. Currently, we offer a high frequency multi-strategy systematic managed account program, which is employed through a unique proprietary algorithmic trading... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $1.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 250000 RT/YR/$M
Avg. Margin-to-Equity 3%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 20.00%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 1.00%
1-3 Months 2.00%
1-30 Days
Intraday 97.00%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Arbitrage
20.00%
Counter-trend
20.00%
Fundamental
20.00%
Seasonal/cyclical
10.00%
Spreading/hedging
10.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Summary

Dyess & Company was formed in 2006, to provide trading advisory services for high net-worth individuals and institutional investors. Currently, we offer a high frequency multi-strategy systematic managed account program, which is employed through a unique proprietary algorithmic trading system developed exclusively by the members of our firm and its Founder. The investment objective of the trading program is to achieve attractive noncorrelated absolute rates of return while attempting to reduce the systemic volatility of portfolio allocations. Additionally, we provide participants with liquidity and an ultra-high degree of transparency that is simply unmatched by traditional investment vehicles.

Investment Strategy

Utilizing a top-down approach to strategic market interaction, the processes we employ for measuring divergent market variables isolate the realtime market impetus, convexity and underlying directional bias. Further mining this meticulous data facilitates a forward allocation management and price-discovery system adapted to seize upon organic change in the prevailing inclination of leading market participants. This intuitive proprietary algorithm offers an active hedge against the looming precipices everpresent in our global marketplace culminating in an efficient propagation of noncorrelated returns.

Risk Management

Dyess & Company leverages capital allocation so that the total margin at any given time is less than a predetermined limit. Currently, the predetermined maximum total margin exposure is 16%. Maximum exposure is independent of the trade selection criterion, and is measured by a Margin-to-Equity ratio ("M/E"). Maximum M/E will not change under any circumstance without advance notice. In practice however, M/E is often much lower, usually between 8-12% depending on the limitations imposed by the trade selection criterion. M/E is monitored on a continual basis by Dyessco. Additionally, external risk management controls are imposed by the brokerage to ensure available margin. The portfolio risk allocation strategy follows a rigorous statistical process. In the event the market moves against a position, the predefined risk parameters trigger an algorithmic trading system to liquidate a portion or all of the exposure to ensure compliance with the overall investment objective and philosophy (similarly to an inverse of the initial allocation procedure). All stop-loss limits are determined by the program in advance of the initial entry into the market, modified on a continual basis in the case of favorable outcomes, and in some instances executed at short predetermined time intervals to improve average pricing on the rebalancing of equity.

   

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
-20.67 3 - 1/1/2010 4/1/2010
-10.82 2 4 2/1/2009 4/1/2009
-4.42 4 2 11/1/2007 3/1/2008
-3.33 1 1 2/1/2007 3/1/2007
-2.11 1 1 12/1/2008 1/1/2009
-1.89 1 1 7/1/2007 8/1/2007
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
80.51 9 4/1/2008 12/1/2008
46.25 9 5/1/2009 1/1/2010
29.88 3 9/1/2007 11/1/2007
22.00 4 4/1/2007 7/1/2007
21.09 1 5/1/2010 5/1/2010
2.91 1 2/1/2009 2/1/2009
2.09 2 1/1/2007 2/1/2007
0.14 1 1/1/2008 1/1/2008
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-20.67 3 2/1/2010 4/1/2010
-10.82 2 3/1/2009 4/1/2009
-4.36 2 2/1/2008 3/1/2008
-3.33 1 3/1/2007 3/1/2007
-2.11 1 1/1/2009 1/1/2009
-1.89 1 8/1/2007 8/1/2007
-0.20 1 12/1/2007 12/1/2007
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods47.0045.0042.0036.0030.0024.00
Percent Profitable63.8366.6780.95100.00100.00100.00
Average Period Return2.789.0219.8242.9875.56111.21
Average Gain5.8415.9325.2542.9875.56111.21
Average Loss-4.03-6.53-3.71
Best Period21.0932.2863.7174.35138.90164.70
Worst Period-17.66-20.67-7.237.7319.5232.39
Standard Deviation6.2012.5518.9519.3836.2034.88
Gain Standard Deviation4.868.3816.8919.3836.2034.88
Loss Standard Deviation4.966.922.43
Sharpe Ratio (1%)0.440.701.022.172.053.13
Average Gain / Average Loss1.452.446.81
Profit / Loss Ratio3.956.6533.07
Downside Deviation (10%)3.145.052.73
Downside Deviation (5%)3.034.681.95
Downside Deviation (0%)3.004.591.77
Sortino Ratio (10%)0.761.546.35
Sortino Ratio (5%)0.891.889.91
Sortino Ratio (0%)0.931.9711.20

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.