Jones and Company LLC : High Sierra Direct Diamond, L.P.

Summary

High Sierra Direct Diamond, L.P. is a feeder fund to Diamond Capital Management, LLC’s Trend-Following Program (TFP). Accessing the TFP through a managed account requires a $100,000 minimum investment. Accessing the TFP through High Sierra Direct Diamond, L.P. requires a $25,000 minimum investment.

Investment Strategy

Diamond Capital’s Trend Following Program is a non-diversified, multi-strategy, rule-based trading system intended to provide investors with an alternative investment to add to their portfolio or even to replace portions of their portfolio allocated to publicly traded U.S. equity markets. The goal of the Trend-Following Program is to achieve long-term returns above those achieved from passive investment in stock index funds. The Advisor believes that its research regarding fundamentals such as world politics, economy macros, seasonality and market participants' behaviors, and technical factors that reflect these fundamentals are the integral to the success of the Program.

Risk Management

The Trend Following Program currently utilizes two independently modeled sub-systems to form a complete trading system: (1) Trend-Following System: The Program’s Trend-Following System utilizes a combination of a computerized technical trend-following strategy and various levels of money management techniques, where the principal objective is to profit from sustained futures price trends by establishing and maintaining market positions based on major price movements. The system first determines whether the S&P 500 is in a bullish or bearish phase, then trades with the market until it moves out of the current trend but has not yet entered into the opposite phase. As the U.S. stock market is upside biased, this trend-following system is designed to be upside biased, with downside trend-following only initiating when the stock market enters a bear market identified using proprietary criteria. (2) Trend-Reversal System: During upside and downside trends in the market, the Trend-Reversal System uses proprietary technical parameters in seeking to identify opportunities to profit from corrections and rallies by taking a position that opposes the market’s current trend. However, in cases where the Trend-Following System already has an established position, the Trend-Reversal System seeks to either exit the current position to avoid losses or reverse the position to seek profits. These trades are usually short-term in nature, lasting from several days to several weeks.