Dynamica Global Investments : Dynamica Commodity Trading Strategy

Year-to-Date: 1.22%
Dec Performance: 2.91%

Min Investment: $ 500k
Mgmt. Fee: 0.50%
Perf. Fee: 25.00%

Annualized Vol: 10.67%
Sharpe (RFR=1%): 0.71
CAROR: 8.29%

Assets: $ 22.6M
Worst DD: -11.61
S&P Correlation: -0.18

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Growth of 1,000 - VAMI

Monthly Performance

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	2019	1yr	3yr	5yr	10yr	Since 9/2015
Dynamica Commodity Trading Strategy	2.91	3.79	-1.22	-1.22	8.01	-	-	41.24
S&P 500	2.86	8.53	28.87	28.87	42.84	-	-	66.56
+/- S&P 500	0.05	-4.74	-30.09	-30.09	-34.83	-	-	-25.31

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 500k
Trading Level Incremental Increase: $ 500k
CTA Max Funding Factor: 3.00
Management Fee: 0.50%
Performance Fee: 25.00%
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: 700 RT/YR/$M
Avg. Margin-to-Equity: 6%
Targeted Worst DD: -15.00%
Worst Peak-to-Trough: 0%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 5.00%
4-12 Months: 20.00%
1-3 Months: 20.00%
1-30 Days: 50.00%
Intraday: 5.00%

Summary

Dynamica believes that volatility has returned to commodity and financial markets. This is typical of the five to six year cycle. We expect additional and sustained volatility over the next few years. This is very beneficial to a disciplined investment and risk management process. At the same time, the commodity markets have seen an exodus of participants, due to poor returns and/or risk management. This has created a rich, less competitive environment for stronger players. Availability of data and data analysis tools has increased rapidly over the last few years, so a well-designed process harnessing technological solutions can provide an investor with a significant edge.

Investment Strategy

Dynamica has developed what it believes are efficient quantitative techniques, including those that interpret fundamental and proprietary data in the context of price impact. This is then combined with Nikhil Dhir’s many years of commodity and macro trading experience to analyze themes in the markets. Portfolio construction is heavily focused on long-convexity and each trade is sized systematically to limit excessive drawdowns and volatility. Dynamica devotes as much effort to risk management as to the investment process.

Risk Management

Dynamica believes that to successfully navigate the commodity markets, you need a combination of experience, contacts and a well-designed investment and risk management process. Dynamica’s manager has experience working at a bank in euqity derivatives and fixed income, a bank commodity desk, a commodity merchant and a hedge fund, so he is well-versed in how participants approach the physical and financial markets, both mechanically and psychologically. As a relatively low win rate trader, it is important for us to maintain the risk reward skew and positive expectancy in the strategy. This involves having a capital allocataion strategy, and the discipline to follow it. As a manager looking to deliver high convexity, a variant of the Kelly system of betting is the ideal choice.

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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.

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Index:

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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
-11.61	13	16	7/1/2016	8/1/2017
-6.20	3	1	3/1/2016	6/1/2016
-5.14	10	-	12/1/2018	10/1/2019

Consecutive Gains

Run-up	Length (Mos.)	Start	End
37.46	7	9/1/2015	3/1/2016
9.67	3	10/1/2018	12/1/2018
8.39	1	7/1/2016	7/1/2016
7.03	4	9/1/2017	12/1/2017
4.13	2	11/1/2019	12/1/2019
1.90	1	7/1/2018	7/1/2018
1.46	1	10/1/2016	10/1/2016
0.96	1	8/1/2019	8/1/2019
0.80	1	7/1/2017	7/1/2017
0.39	1	5/1/2017	5/1/2017
0.30	1	4/1/2019	4/1/2019
0.22	1	3/1/2017	3/1/2017
0.16	1	4/1/2018	4/1/2018

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-6.53	2	8/1/2016	9/1/2016
-6.20	3	4/1/2016	6/1/2016
-2.70	4	11/1/2016	2/1/2017
-2.59	1	8/1/2017	8/1/2017
-2.50	3	5/1/2019	7/1/2019
-2.11	3	1/1/2019	3/1/2019
-1.85	2	9/1/2019	10/1/2019
-1.75	1	4/1/2017	4/1/2017
-1.59	2	5/1/2018	6/1/2018
-1.31	1	6/1/2017	6/1/2017
-1.30	2	8/1/2018	9/1/2018
-0.54	3	1/1/2018	3/1/2018

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	52.00	50.00	47.00	41.00	35.00	29.00	17.00
Percent Profitable	48.08	50.00	55.32	73.17	74.29	72.41	94.12
Average Period Return	0.71	2.16	3.23	4.23	5.19	6.81	10.53
Average Gain	2.73	6.27	8.12	7.51	8.44	10.40	11.32
Average Loss	-1.16	-1.95	-2.83	-4.73	-4.19	-2.61	-2.06
Best Period	13.09	32.19	37.25	37.10	29.05	27.35	31.19
Worst Period	-4.72	-6.20	-7.66	-9.90	-9.56	-5.49	-2.06
Standard Deviation	3.08	7.35	9.82	9.76	9.30	8.80	11.43
Gain Standard Deviation	3.28	8.52	10.89	9.34	8.46	7.61	11.32
Loss Standard Deviation	1.06	1.60	1.97	2.78	3.30	2.08
Sharpe Ratio (1%)	0.20	0.26	0.28	0.33	0.40	0.55	0.66
Average Gain / Average Loss	2.36	3.21	2.87	1.59	2.02	3.99	5.51
Profit / Loss Ratio	2.18	3.21	3.55	4.33	5.82	10.46	88.11
Downside Deviation (10%)	1.36	2.53	3.84	5.48	6.98	7.64	10.27
Downside Deviation (5%)	1.17	1.91	2.57	3.27	3.30	2.67	1.39
Downside Deviation (0%)	1.12	1.77	2.29	2.81	2.64	1.71	0.50
Sortino Ratio (10%)	0.22	0.37	0.20	-0.14	-0.34	-0.45	-0.51
Sortino Ratio (5%)	0.54	1.00	1.06	0.99	1.12	1.80	5.40
Sortino Ratio (0%)	0.63	1.22	1.41	1.50	1.96	3.99	21.13

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.

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Program Name	CAROR
Dynamica Commodity Trading Strategy	8.29%

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Dynamica Global Investments : Dynamica Commodity Trading Strategy

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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