Dynamica Global Investments : Dynamica Commodity Trading Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 0.86% Mar Performance -0.02% Min Investment $ 500k Mgmt. Fee 0.50% Perf. Fee 25.00% Annualized Vol 10.20% Sharpe (RFR=1%) 0.36 CAROR 4.23% Assets $ 11.8M Worst DD -14.17 S&P Correlation -0.24 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since9/2015 Dynamica Commodity Trading Strategy -0.02 0.86 0.86 -12.74 -4.18 -8.34 - 26.00 S&P 500 4.24 9.21 9.21 58.70 55.31 97.12 - 111.46 +/- S&P 500 -4.26 -8.35 -8.35 -71.44 -59.49 -105.45 - -85.46 Strategy Description SummaryDynamica 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% 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% SummaryDynamica 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 StrategyDynamica 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 ManagementDynamica 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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -14.17 10 - 3/1/2020 1/1/2021 -11.61 13 16 7/1/2016 8/1/2017 -6.20 3 1 3/1/2016 6/1/2016 -5.14 10 5 12/1/2018 10/1/2019 Show More 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 1.69 1 2/1/2021 2/1/2021 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 Show More Consecutive Losses Run-up Length (Mos.) Start End -14.17 10 4/1/2020 1/1/2021 -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 -0.02 1 3/1/2021 3/1/2021 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods67.003.006.0012.0018.0024.0036.0048.0060.00 Percent Profitable40.3066.670.000.0038.8920.8372.2272.9221.67 Average Period Return0.390.31-4.89-9.29-1.82-3.792.523.13-3.23 Average Gain2.790.872.881.244.625.192.32 Average Loss-1.23-0.80-4.89-9.29-4.81-5.12-2.94-2.41-4.77 Best Period13.090.88-3.22-1.806.113.169.8011.725.04 Worst Period-4.72-0.80-6.19-14.17-8.93-11.46-5.76-4.42-10.14 Standard Deviation2.940.961.014.354.844.284.294.443.90 Gain Standard Deviation3.200.012.041.142.773.271.48 Loss Standard Deviation1.081.014.353.453.782.121.172.79 Sharpe Ratio (1%)0.100.06-5.35-2.37-0.69-1.36-0.12-0.21-2.14 Average Gain / Average Loss2.261.080.600.241.572.150.49 Profit / Loss Ratio1.532.170.380.064.085.790.13 Downside Deviation (10%)1.511.217.4214.8810.5214.6613.9018.9431.10 Downside Deviation (5%)1.310.615.4711.105.577.153.453.649.19 Downside Deviation (0%)1.260.464.9810.184.565.611.881.384.88 Sortino Ratio (10%)-0.01-0.76-0.99-0.96-0.89-0.96-0.95-0.97-0.99 Sortino Ratio (5%)0.230.10-0.99-0.93-0.60-0.81-0.15-0.26-0.91 Sortino Ratio (0%)0.310.67-0.98-0.91-0.40-0.681.342.26-0.66 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. x {{title}} x {{title}} Add Cancel