Dynamite Funds : Dynamite CTA Fund

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 100k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
27.33%
Sharpe (RFR=1%)
1.32
CAROR
39.30%
Assets
$ 0k
Worst DD
-22.27
S&P Correlation
0.00

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
1/2005
Dynamite CTA Fund 0.00 - - - - - - 424.43
S&P 500 1.78 - - - - - - 193.26
+/- S&P 500 -1.78 - - - - - - 231.18

Strategy Description

Summary

-The Dynamite CTA Fund operates as a CTA Fund of Funds, investing in CTA investment programmes, Managed Accounts, and Hedge Funds operating CTA based trading strategies. The principal investment objective for the Fund is to achieve consistently high risk-adjusted returns, with a... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 15.00%
Average Commission $5.00
Available to US Investors

Subscriptions

High Water Mark Yes
Subscription Frequency Monthly
Redemption Frequency Monthly
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -25.00%
Worst Peak-to-Trough 22.00%
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 40.00%
Systematic 60.00%

Strategy

Arbitrage
10.00%
Counter-trend
10.00%
Fundamental
20.00%
Option-spreads
5.00%
Seasonal/cyclical
10.00%
Spreading/hedging
10.00%
Trend-following
35.00%
Strategy Pie Chart

Summary

-The Dynamite CTA Fund operates as a CTA Fund of Funds, investing in CTA investment programmes, Managed Accounts, and Hedge Funds operating CTA based trading strategies. The principal investment objective for the Fund is to achieve consistently high risk-adjusted returns, with a low or negative degree of correlation with equity, bond, and Hedge Fund indices. The Investment Manager seeks to achieve this investment objective by selecting investments in Underlying Funds that operate a wide range of trading strategies focusing on different markets and geographic regions. The Investment Manager will invest in funds which it considers able to produce high risk-adjusted returns and which exhibit a low or negative degree of correlation with one another. INVESTMENT TARGETS The Fund will aim to meet the following targets: (i). Deliver consistent long-term capital growth with the aim of outperforming CTA benchmarks, and producing higher risk adjusted returns than those of a typical CTA. (ii). Create a portfolio of investments that has a low or negative correlation with equity, bond, and real estate indices, such that the Fund is capable of producing positive returns under different market conditions. (iii). Provide investors with an investment portfolio that offers a higher level of diversification than would be achieved through investing with a typical CTA, and which exhibits less risk than a comparable CTA investment.

Investment Strategy

The Investment Manager and the Sub Investment Manager use portfolio construction methods to determine the most appropriate allocation of the Fund Assets, subject to the investment targets and restrictions for the Fund. The Investment Manager and the Sub Investment Manager will continually develop and refine methods for constructing the optimal investment portfolio, designed to deliver exceptional risk adjusted returns, whilst having low or negative correlation to fixed income and equity markets. Macroeconomic and market specific research to determine which investment strategies are expected to perform well, whilst fund level research is used to determine which managers have the potential to outperform their peers. The Investment Manager and the Sub Investment Manager rely on leverage inherent in the futures markets (see the section entitled “Borrowing and Leverage” for further information) to achieve the required risk-adjusted performance profile for the Fund.

Risk Management

The Investment Manager and the Sub Investment Manager are concerned with ensuring the Fund delivers consistent risk adjusted returns, whilst taking care to ensure capital preservation. The Investment Manager and the Sub Investment Manager actively monitor and adjust the investment portfolio to ensure that its performance is in line with the investment targets of the Fund. Macroeconomic and market specific factors, including currency and interest rates considerations, commodity prices, and market volatility, which effect the performance of investment portfolio, are taken into account when analysing the potential risks and exposures. Consideration is also given to the relative liquidity of investments to ensure that the Investment Manager and the Sub Investment Manager are able to exit any given position over a reasonable time period. Fund and Managed Account managers are closely monitored to ensure that they remain consistent with stated investment objectives, and any changes in key persons or management structure are closely scrutinized. The Investment Manager and the Sub Investment Manager take action when appropriate in response to changes in performance, and funds and Managed Accounts that underperform or exceed the predetermined risk parameters are removed from the portfolio.

   

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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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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Risk
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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
-22.27 3 4 4/1/2006 7/1/2006
-17.17 2 1 2/1/2007 4/1/2007
-12.47 1 1 7/1/2007 8/1/2007
-8.11 1 1 1/1/0001 1/1/2005
-7.56 1 2 9/1/2007 10/1/2007
-5.37 5 - 5/1/2009 10/1/2009
-4.97 1 5 11/1/2008 12/1/2008
-4.78 1 1 9/1/2005 10/1/2005
-3.86 1 1 3/1/2005 4/1/2005
-2.86 2 1 6/1/2008 8/1/2008
-2.09 1 2 11/1/2006 12/1/2006
-0.27 1 1 1/1/2006 2/1/2006
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Consecutive Gains

Run-up Length (Mos.) Start End
76.73 8 11/1/2007 6/1/2008
37.27 3 5/1/2007 7/1/2007
34.41 5 5/1/2005 9/1/2005
30.93 2 10/1/2006 11/1/2006
30.37 3 11/1/2005 1/1/2006
27.27 1 9/1/2007 9/1/2007
22.36 2 3/1/2006 4/1/2006
16.89 3 9/1/2008 11/1/2008
15.43 2 2/1/2005 3/1/2005
10.16 1 8/1/2006 8/1/2006
7.63 5 1/1/2009 5/1/2009
5.09 1 11/1/2009 11/1/2009
3.02 2 1/1/2007 2/1/2007
0.08 1 8/1/2009 8/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-22.27 3 5/1/2006 7/1/2006
-17.17 2 3/1/2007 4/1/2007
-12.47 1 8/1/2007 8/1/2007
-8.11 1 1/1/2005 1/1/2005
-7.56 1 10/1/2007 10/1/2007
-6.53 1 9/1/2006 9/1/2006
-4.97 1 12/1/2008 12/1/2008
-4.78 1 10/1/2005 10/1/2005
-3.86 1 4/1/2005 4/1/2005
-2.97 2 9/1/2009 10/1/2009
-2.86 2 7/1/2008 8/1/2008
-2.55 2 6/1/2009 7/1/2009
-2.09 1 12/1/2006 12/1/2006
-0.27 1 2/1/2006 2/1/2006
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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 Profitable65.0081.0387.2797.96100.00100.00100.00100.00
Average Period Return3.099.7120.7647.5177.50117.39219.92336.18
Average Gain7.3513.6524.3448.7677.50117.39219.92336.18
Average Loss-5.05-7.11-3.79-12.46
Best Period27.2739.0171.90126.70170.76179.70304.08433.34
Worst Period-12.47-22.27-9.62-12.4615.4966.56139.67234.33
Standard Deviation7.8912.5018.7632.7337.1129.4950.1863.88
Gain Standard Deviation5.9110.0317.3131.8737.1129.4950.1863.88
Loss Standard Deviation3.996.603.75
Sharpe Ratio (1%)0.380.761.081.422.053.914.325.20
Average Gain / Average Loss1.461.926.423.92
Profit / Loss Ratio2.848.2044.01187.92
Downside Deviation (10%)3.874.552.592.59
Downside Deviation (5%)3.724.221.971.92
Downside Deviation (0%)3.684.131.831.78
Sortino Ratio (10%)0.691.867.0716.42
Sortino Ratio (5%)0.812.2410.2924.20
Sortino Ratio (0%)0.842.3511.3226.70

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.