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

archived programsClosed to new investments
Year-to-Date
N / A
May Performance
-1.24%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.78%
Sharpe (RFR=1%)
-0.05
CAROR
-0.14%
Assets
$ 640k
Worst DD
-13.28
S&P Correlation
0.71

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
3/2015
High Sierra Direct Diamond, L.P. -1.24 -1.19 - 6.42 - - - -0.32
S&P 500 1.16 2.04 - 15.01 - - - 15.30
+/- S&P 500 -2.40 -3.23 - -8.60 - - - -15.61

Strategy Description

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... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 25k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$14.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
700 RT/YR/$M
Avg. Margin-to-Equity
30%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
1.50%
Sector Focus
Stock Index Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
25.00%
1-30 Days
75.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
10.00%
Trend-following
90.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

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.

   

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%)
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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
-13.28 2 - 12/1/2015 2/1/2016
-4.62 1 3 7/1/2015 8/1/2015
-1.52 1 1 1/1/0001 3/1/2015
-1.35 1 1 5/1/2015 6/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
9.44 7 3/1/2016 9/1/2016
6.41 4 9/1/2015 12/1/2015
4.87 3 12/1/2016 2/1/2017
2.58 1 7/1/2015 7/1/2015
1.94 2 4/1/2015 5/1/2015
0.47 1 4/1/2017 4/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.28 2 1/1/2016 2/1/2016
-4.62 1 8/1/2015 8/1/2015
-1.69 2 10/1/2016 11/1/2016
-1.52 1 3/1/2015 3/1/2015
-1.35 1 6/1/2015 6/1/2015
-1.24 1 5/1/2017 5/1/2017
-0.42 1 3/1/2017 3/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods27.0025.0022.0016.0010.00
Percent Profitable66.6760.0063.6443.7530.00
Average Period Return0.040.220.01-0.58-1.25
Average Gain1.403.263.856.712.38
Average Loss-2.69-4.34-6.70-6.25-2.80
Best Period3.345.608.7312.834.11
Worst Period-12.91-12.31-11.61-10.59-4.18
Standard Deviation3.115.025.907.452.86
Gain Standard Deviation1.111.782.534.782.03
Loss Standard Deviation4.044.873.402.081.23
Sharpe Ratio (1%)0.000.02-0.04-0.15-0.70
Average Gain / Average Loss0.520.750.571.070.85
Profit / Loss Ratio1.041.131.010.830.36
Downside Deviation (10%)2.844.585.898.739.25
Downside Deviation (5%)2.714.064.615.273.13
Downside Deviation (0%)2.694.014.474.912.53
Sortino Ratio (10%)-0.13-0.22-0.42-0.64-0.96
Sortino Ratio (5%)0.000.02-0.05-0.21-0.64
Sortino Ratio (0%)0.010.050.00-0.12-0.49

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 2 3.34 2/2017
Trend Following Strategy Index Month 8 3.34 2/2017
Trend Following Strategy Index Month 10 0.87 1/2017

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