R. G. Niederhoffer Capital Management, Inc. : Diversified Program

Year-to-Date
27.30%
Aug Performance
-3.50%
Min Investment
$ 1,000k
Mgmt. Fee
1.75%
Perf. Fee
20.00%
Annualized Vol
19.40%
Sharpe (RFR=1%)
0.30
CAROR
5.08%
Assets
$ 230.0M
Worst DD
-54.49
S&P Correlation
-0.24

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
9/1995
Diversified Program -3.50 9.61 27.30 9.00 -0.68 -12.42 -33.71 244.75
S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 230.13 492.79
+/- S&P 500 -10.51 -5.37 18.96 -10.61 -41.07 -88.10 -263.84 -248.04

Strategy Description

Investment Strategy

The Diversified Program is designed to maximize its benefit to client portfolios by combining strong stand-alone returns with consistent portfolio downside protection. The strategy is based on insights in behavioral finance, and makes quantitative, short-duration, directional... Read More

Account & Fees

Type Fund
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.75%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 10000 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD
Worst Peak-to-Trough
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 0%
Systematic 100.00%

Strategy

Composition

Investment Strategy

The Diversified Program is designed to maximize its benefit to client portfolios by combining strong stand-alone returns with consistent portfolio downside protection. The strategy is based on insights in behavioral finance, and makes quantitative, short-duration, directional investments lasting from a few minutes to a few weeks in global liquid markets. The average holding period of a position is <1.5 days; the strategy is built on the principle that in the short term, market behavior is often dominated by psychology and emotion, rather than by rational analysis. Over 30 years of research into how cognitive biases affect financial markets have resulted in 60 trading systems, each extracting a unique source of alpha. Cognitive biases are triggered by market volatility, which is why the Program is consistently long realized volatility, and it is expected to perform particularly well in volatile market conditions. Another unique feature of this Program is its consistent negative correlation to equities (-0.3) and Fund of Hedge Funds (-0.3), and low correlation to CTAs (+0.2). It has a contrarian bias, combining core mean-reversion themes with momentum strategies. The program is very liquid and highly diversified on multiple levels, trading across multiple time frames. This Program is a rare 'true alpha' strategy, representing an attractive investment for investors seeking to enhance their performance and reduce downside risk The returns for the Diversified Program are pro forma through March 2016 and actual thereafter, based upon performance of the monthly offerings for the Program's offshore investment vehicles. Pro forma and actual returns are net of the fee and expense schedule in effect since April 2016 and the reinvestment of dividends. Returns do not represent the performance for any particular investor. Assumptions were made to apply the current fees and expenses over a historical period and may not have been realized had this fee schedule actually been in effect. Please contact Lisa@Niederhoffer.com to obtain the actual historical performance. An investment in the Program is speculative and involves significant risks. Investors may lose some or all of their investment. Investments are highly leveraged and performance may be volatile. The Program engages in futures and options trading, both involving substantial risk of loss. The investment manager has complete discretion over investments. Fees and expenses are high and may offset trading profits. A substantial portion of trades may take place on non-U.S. exchanges and markets subject to less regulatory oversight than U.S. exchanges and markets. A full discussion of risks is set forth in the applicable PPM. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

   

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
-54.49 133 - 11/1/2008 12/1/2019
-40.44 8 13 3/1/1999 11/1/1999
-21.30 24 16 2/1/2003 2/1/2005
-20.21 6 14 1/1/0001 2/1/1996
-10.35 3 6 8/1/2001 11/1/2001
-7.89 2 6 11/1/2006 1/1/2007
-7.81 3 2 9/1/2002 12/1/2002
-7.26 2 3 6/1/2006 8/1/2006
-6.58 1 2 6/1/1998 7/1/1998
-3.89 1 1 3/1/2001 4/1/2001
-3.79 1 1 8/1/1997 9/1/1997
-3.29 2 2 1/1/1998 3/1/1998
-2.49 1 2 5/1/2001 6/1/2001
-1.82 1 2 10/1/1997 11/1/1997
-1.66 1 2 4/1/1997 5/1/1997
-0.65 1 1 7/1/2008 8/1/2008
-0.60 1 1 10/1/1998 11/1/1998
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Consecutive Gains

Run-up Length (Mos.) Start End
61.67 14 6/1/2007 7/1/2008
55.87 8 12/1/1999 7/1/2000
35.90 6 10/1/2000 3/1/2001
35.90 6 4/1/2002 9/1/2002
33.98 6 11/1/2012 4/1/2013
31.00 3 8/1/1998 10/1/1998
30.30 3 9/1/2008 11/1/2008
26.38 4 1/1/2020 4/1/2020
25.47 4 11/1/2015 2/1/2016
20.89 4 8/1/2014 11/1/2014
19.31 2 5/1/2006 6/1/2006
17.40 3 6/1/1997 8/1/1997
16.63 2 3/1/1997 4/1/1997
16.17 1 1/1/2018 1/1/2018
15.12 1 9/1/1999 9/1/1999
14.94 5 4/1/2003 8/1/2003
13.76 1 1/1/2015 1/1/2015
13.68 2 9/1/2005 10/1/2005
13.59 2 6/1/2020 7/1/2020
13.13 3 9/1/2006 11/1/2006
11.95 4 12/1/1998 3/1/1999
11.70 2 1/1/2003 2/1/2003
11.40 1 12/1/2018 12/1/2018
11.14 2 12/1/2013 1/1/2014
10.74 2 8/1/2011 9/1/2011
10.59 3 3/1/1996 5/1/1996
10.03 3 5/1/2017 7/1/2017
9.84 4 3/1/2005 6/1/2005
9.73 2 5/1/2011 6/1/2011
9.61 3 4/1/1998 6/1/1998
8.90 2 2/1/2006 3/1/2006
8.41 1 3/1/2018 3/1/2018
7.76 1 8/1/2010 8/1/2010
7.70 1 10/1/2018 10/1/2018
7.60 2 11/1/2016 12/1/2016
7.36 2 8/1/2015 9/1/2015
6.74 1 12/1/2001 12/1/2001
6.33 1 6/1/2012 6/1/2012
6.33 1 10/1/1997 10/1/1997
6.12 2 2/1/2007 3/1/2007
6.11 2 12/1/1996 1/1/1997
5.96 1 5/1/2001 5/1/2001
5.69 2 9/1/1996 10/1/1996
4.98 1 7/1/1996 7/1/1996
4.78 2 9/1/2009 10/1/2009
4.41 2 5/1/2009 6/1/2009
4.18 1 10/1/2004 10/1/2004
3.75 2 4/1/2014 5/1/2014
3.71 1 4/1/2010 4/1/2010
3.28 1 10/1/2001 10/1/2001
3.27 1 10/1/2017 10/1/2017
3.14 2 7/1/2001 8/1/2001
2.93 3 3/1/2004 5/1/2004
2.85 2 12/1/1997 1/1/1998
2.70 1 6/1/2019 6/1/2019
2.17 1 6/1/2013 6/1/2013
2.12 1 12/1/2010 12/1/2010
2.10 1 8/1/2018 8/1/2018
2.01 2 5/1/2018 6/1/2018
1.99 1 7/1/2016 7/1/2016
1.65 1 2/1/2002 2/1/2002
1.59 1 3/1/2017 3/1/2017
1.58 1 4/1/2012 4/1/2012
1.44 1 6/1/2010 6/1/2010
1.35 2 1/1/2009 2/1/2009
1.22 1 4/1/2016 4/1/2016
1.14 1 8/1/2004 8/1/2004
1.11 2 1/1/2010 2/1/2010
0.85 1 12/1/2004 12/1/2004
0.62 1 12/1/2003 12/1/2003
0.59 1 11/1/2011 11/1/2011
0.27 1 11/1/2002 11/1/2002
0.12 1 10/1/2003 10/1/2003
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Consecutive Losses

Run-up Length (Mos.) Start End
-31.08 2 10/1/1999 11/1/1999
-24.93 5 4/1/1999 8/1/1999
-20.77 4 7/1/2012 10/1/2012
-20.21 6 9/1/1995 2/1/1996
-19.66 4 1/1/2011 4/1/2011
-19.36 1 2/1/2018 2/1/2018
-18.05 6 7/1/2019 12/1/2019
-17.16 2 11/1/2009 12/1/2009
-16.97 5 7/1/2013 11/1/2013
-16.90 6 2/1/2015 7/1/2015
-16.77 3 8/1/2016 10/1/2016
-15.21 2 1/1/2017 2/1/2017
-13.90 4 12/1/2011 3/1/2012
-13.71 1 3/1/2003 3/1/2003
-13.63 5 1/1/2019 5/1/2019
-12.85 2 5/1/2016 6/1/2016
-12.73 3 11/1/2005 1/1/2006
-11.86 3 9/1/2010 11/1/2010
-9.99 2 2/1/2014 3/1/2014
-9.61 1 2/1/1997 2/1/1997
-9.23 2 6/1/2004 7/1/2004
-8.83 1 9/1/2001 9/1/2001
-8.10 1 5/1/2020 5/1/2020
-7.89 2 12/1/2006 1/1/2007
-7.84 1 11/1/2004 11/1/2004
-7.26 2 7/1/2006 8/1/2006
-7.03 1 8/1/1996 8/1/1996
-6.96 2 8/1/2000 9/1/2000
-6.76 2 7/1/2005 8/1/2005
-6.58 1 7/1/1998 7/1/1998
-6.48 1 10/1/2002 10/1/2002
-6.41 1 3/1/2016 3/1/2016
-5.76 1 10/1/2011 10/1/2011
-5.65 2 3/1/2009 4/1/2009
-5.45 2 11/1/2017 12/1/2017
-5.29 2 1/1/2005 2/1/2005
-5.20 1 11/1/2018 11/1/2018
-4.79 1 11/1/2001 11/1/2001
-4.32 1 4/1/2017 4/1/2017
-4.18 1 3/1/2010 3/1/2010
-4.09 2 1/1/2004 2/1/2004
-3.89 1 4/1/2001 4/1/2001
-3.79 1 9/1/1997 9/1/1997
-3.50 1 8/1/2020 8/1/2020
-3.47 1 5/1/2012 5/1/2012
-3.30 1 7/1/2010 7/1/2010
-3.29 2 2/1/1998 3/1/1998
-2.94 1 4/1/2018 4/1/2018
-2.68 1 12/1/2008 12/1/2008
-2.66 2 4/1/2007 5/1/2007
-2.55 1 10/1/2015 10/1/2015
-2.54 1 9/1/2003 9/1/2003
-2.49 1 6/1/2001 6/1/2001
-2.42 2 8/1/2017 9/1/2017
-2.30 1 7/1/2018 7/1/2018
-2.24 1 12/1/2014 12/1/2014
-2.11 1 4/1/2006 4/1/2006
-2.02 2 7/1/2009 8/1/2009
-1.93 1 9/1/2004 9/1/2004
-1.82 1 11/1/1997 11/1/1997
-1.74 1 5/1/2013 5/1/2013
-1.69 1 12/1/2002 12/1/2002
-1.66 1 5/1/1997 5/1/1997
-1.55 2 6/1/2014 7/1/2014
-1.52 1 7/1/2011 7/1/2011
-1.30 1 9/1/2018 9/1/2018
-0.99 1 6/1/1996 6/1/1996
-0.90 1 3/1/2002 3/1/2002
-0.84 1 11/1/2003 11/1/2003
-0.65 1 8/1/2008 8/1/2008
-0.60 1 11/1/1998 11/1/1998
-0.42 1 5/1/2010 5/1/2010
-0.40 1 1/1/2002 1/1/2002
-0.08 1 11/1/1996 11/1/1996
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods300.00298.00295.00289.00283.00277.00265.00253.00241.00
Percent Profitable55.0054.3656.2759.8657.2460.2966.0467.5966.80
Average Period Return0.571.813.767.3811.7016.4525.4733.0443.04
Average Gain4.408.8113.8620.4330.3937.9448.8058.9773.24
Average Loss-4.11-6.53-9.23-12.07-13.32-16.18-19.91-21.02-17.74
Best Period19.8831.6753.6074.89109.29113.26161.87166.25144.51
Worst Period-19.36-27.09-34.44-36.06-36.65-38.97-48.88-48.24-43.05
Standard Deviation5.6010.0015.0120.7928.0234.4545.9152.2855.76
Gain Standard Deviation3.737.2411.4215.7822.5527.2339.0143.4242.70
Loss Standard Deviation3.575.346.868.487.739.6511.2013.0412.35
Sharpe Ratio (1%)0.090.160.220.310.360.420.490.550.68
Average Gain / Average Loss1.071.351.501.692.282.342.452.814.13
Profit / Loss Ratio1.311.611.932.523.063.564.775.858.31
Downside Deviation (10%)3.866.368.9712.0914.6517.8122.1725.8427.65
Downside Deviation (5%)3.695.827.869.8610.9212.9714.8716.0814.95
Downside Deviation (0%)3.655.697.599.3310.0611.8613.2914.0612.43
Sortino Ratio (10%)0.040.090.140.200.280.350.440.440.56
Sortino Ratio (5%)0.130.270.420.650.931.111.511.802.54
Sortino Ratio (0%)0.160.320.500.791.161.391.922.353.46

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.