Mehnert Capital Management, LLC : DTP (Client)

archived programsClosed to new investments
Year-to-Date
N / A
May Performance
-2.03%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
13.51%
Sharpe (RFR=1%)
-0.01
CAROR
-0.02%
Assets
$ 877k
Worst DD
-17.36
S&P Correlation
-0.26

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
3/2012
DTP (Client) -2.03 2.40 - -14.88 16.86 4.74 - -0.08
S&P 500 1.16 2.04 - 15.01 25.38 84.06 - 69.28
+/- S&P 500 -3.19 0.37 - -29.89 -8.52 -79.32 - -69.36

Strategy Description

Summary

Diversified Trading Program (“DTP”) is a trading program that takes positions across a diversified portfolio of domestic futures markets with a primary focus on currencies, equity indices, interest rates and commodities. ... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$3.00
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
1800 RT/YR/$M
Avg. Margin-to-Equity
9%
Targeted Worst DD
Worst Peak-to-Trough
-14.89%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
2.00%
Systematic
98.00%

Strategy

Composition

Summary

Diversified Trading Program (“DTP”) is a trading program that takes positions across a diversified portfolio of domestic futures markets with a primary focus on currencies, equity indices, interest rates and commodities.

Investment Strategy

Trading Approach

In broad terms, the different trading approaches that make up the trading program attempt to generate trading profits in (i) trending, (ii) non-trending, and (iii) reversal phases of any major market trend. All trades taken are actively managed, with the view of locking in as much of the prevailing market thrust as possible, while at the same time allowing each trade sufficient room to move in order to meet its return objectives.

Risk Management

The trading strategy involves strict risk management procedures that are used in order to achieve trading returns with the least possible risk. The Advisor believes that the leverage offered by futures contracts can work for and against an Advisor, and the understanding of risk is essential in trading mechanical systems over a wide range of futures markets. Risk is analyzed on a market basis and used to regularly balance the portfolio of contracts being traded at any given time.

   

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
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
-17.36 10 - 4/1/2016 2/1/2017
-14.89 28 3 1/1/0001 6/1/2014
-12.41 9 6 1/1/2015 10/1/2015
-1.41 1 1 11/1/2014 12/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
28.15 5 7/1/2014 11/1/2014
11.57 1 4/1/2016 4/1/2016
9.85 1 1/1/2016 1/1/2016
9.18 3 10/1/2016 12/1/2016
5.20 1 11/1/2015 11/1/2015
4.53 2 3/1/2017 4/1/2017
4.26 1 1/1/2015 1/1/2015
2.78 1 11/1/2013 11/1/2013
2.72 2 7/1/2015 8/1/2015
2.47 1 1/1/2014 1/1/2014
1.93 2 7/1/2013 8/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.48 5 5/1/2016 9/1/2016
-12.11 5 2/1/2014 6/1/2014
-9.38 2 1/1/2017 2/1/2017
-8.16 5 2/1/2015 6/1/2015
-7.16 2 9/1/2015 10/1/2015
-4.61 16 3/1/2012 6/1/2013
-4.07 1 12/1/2013 12/1/2013
-3.94 2 2/1/2016 3/1/2016
-2.91 1 12/1/2015 12/1/2015
-2.03 1 5/1/2017 5/1/2017
-1.43 2 9/1/2013 10/1/2013
-1.41 1 12/1/2014 12/1/2014
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods63.0061.0058.0052.0046.0040.0028.0016.00
Percent Profitable31.7539.3439.6650.0063.0462.50100.00100.00
Average Period Return0.070.390.982.254.316.1510.8410.69
Average Gain4.026.359.279.899.7113.7910.8410.69
Average Loss-2.62-5.15-6.02-6.11-4.89-6.59
Best Period15.7924.0727.5623.3821.8537.2823.7723.77
Worst Period-7.23-12.82-13.98-14.88-10.78-10.782.002.28
Standard Deviation3.906.889.589.688.8612.655.736.62
Gain Standard Deviation4.136.289.767.146.189.675.736.62
Loss Standard Deviation1.863.593.324.063.372.68
Sharpe Ratio (1%)0.010.040.080.180.400.411.631.31
Average Gain / Average Loss1.541.231.541.621.992.09
Profit / Loss Ratio1.061.181.361.833.393.49
Downside Deviation (10%)2.414.706.208.058.1810.777.1612.59
Downside Deviation (5%)2.194.064.735.133.964.91
Downside Deviation (0%)2.173.994.584.853.574.33
Sortino Ratio (10%)-0.14-0.18-0.24-0.34-0.40-0.38-0.69-0.86
Sortino Ratio (5%)0.010.060.150.340.901.05
Sortino Ratio (0%)0.030.100.210.461.211.42

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 5 2.99 10/2016
Diversified Trader Index Month 6 2.99 10/2016
IASG CTA Index Month 3 11.57 4/2016
Systematic Trader Index Month 4 11.57 4/2016
Diversified Trader Index Month 4 11.57 4/2016
Systematic Trader Index Month 10 9.85 1/2016
IASG CTA Index Month 8 9.85 1/2016
Diversified Trader Index Month 9 9.85 1/2016
Trend Following Strategy Index Month 10 15.79 9/2014

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