Dynamica Global Investments : Dynamica Commodity Trading Strategy

Year-to-Date
6.09%
Aug Performance
-1.54%
Min Investment
$ 500k
Mgmt. Fee
0.50%
Perf. Fee
25.00%
Annualized Vol
10.56%
Sharpe (RFR=1%)
0.49
CAROR
5.81%
Assets
$ 26.2M
Worst DD
-11.61
S&P Correlation
-0.27

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
9/2015
Dynamica Commodity Trading Strategy -1.54 -5.71 -6.09 -4.02 7.37 32.64 - 32.64
S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 - 80.45
+/- S&P 500 -8.55 -20.69 -14.43 -23.63 -33.02 -43.04 - -47.81

Strategy Description

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.... Read More

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%

Decision-Making

Discretionary 100.00%
Systematic 0%

Strategy

Fundamental
40.00%
Pattern Recognition
20.00%
Technical
20.00%
Trend-following
20.00%
Strategy Pie Chart

Composition

Energy
25.00%
Interest Rates
20.00%
Industrial Metals
15.00%
Currency Futures
10.00%
Precious Metals
10.00%
Stock Indices
10.00%
Grains
5.00%
Softs
5.00%
Composition Pie Chart

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.

   

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
-11.61 13 16 7/1/2016 8/1/2017
-8.14 5 - 3/1/2020 8/1/2020
-6.20 3 1 3/1/2016 6/1/2016
-5.14 10 5 12/1/2018 10/1/2019
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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
5.33 1 3/1/2020 3/1/2020
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
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.14 5 4/1/2020 8/1/2020
-6.53 2 8/1/2016 9/1/2016
-6.20 3 4/1/2016 6/1/2016
-2.94 2 1/1/2020 2/1/2020
-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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods60.0058.0055.0049.0043.0037.0025.0013.00
Percent Profitable43.3350.0054.5567.3572.0978.3896.0084.62
Average Period Return0.521.742.833.404.536.459.9012.93
Average Gain2.835.737.497.028.038.9410.4015.90
Average Loss-1.25-2.26-2.78-4.05-4.50-2.61-2.06-3.43
Best Period13.0932.1937.2537.1029.0527.3531.1938.20
Worst Period-4.72-6.20-7.66-9.90-9.56-5.49-2.06-3.61
Standard Deviation3.057.049.219.178.867.909.4715.19
Gain Standard Deviation3.268.0110.279.047.867.029.3314.62
Loss Standard Deviation1.061.891.862.592.882.080.25
Sharpe Ratio (1%)0.140.210.250.260.340.560.730.58
Average Gain / Average Loss2.262.542.701.731.783.435.064.63
Profit / Loss Ratio1.732.543.243.574.6112.43121.3525.48
Downside Deviation (10%)1.482.823.815.637.247.289.4815.39
Downside Deviation (5%)1.282.212.533.223.502.371.153.13
Downside Deviation (0%)1.232.072.242.722.791.510.411.35
Sortino Ratio (10%)0.070.180.09-0.28-0.42-0.52-0.62-0.56
Sortino Ratio (5%)0.340.670.920.740.871.876.002.83
Sortino Ratio (0%)0.420.841.261.251.634.2624.079.59

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 10 5.33 3/2020
Discretionary Trader Index Month 7 2.91 12/2019

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