ZeminElli Capital Management, LLC : Diversified X (Proprietary)

archived programs
Year-to-Date
N / A
Jun Performance
-3.30%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
17.12%
Sharpe (RFR=1%)
-0.23
CAROR
-4.26%
Assets
$ 1.5M
Worst DD
-31.59
S&P Correlation
-0.28

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
10/2014
Diversified X (Proprietary) -3.30 - - - -9.47 -27.57 - -15.06
S&P 500 0.48 - - - 30.43 67.53 - 71.69
+/- S&P 500 -3.78 - - - -39.90 -95.09 - -86.75

Strategy Description

Summary

ZeminElli Capital uses proprietary statistical models based on behavioral finance research to predict short and long term market moves. The ideas are generated using a disciplined and systematic methodology. While markets evolve continuously, we believe in the longevity of our models... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $0
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 14000 RT/YR/$M
Avg. Margin-to-Equity 12%
Targeted Worst DD -24.00%
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 75.00%
Intraday 25.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
25.00%
Momentum
25.00%
Pattern Recognition
25.00%
Technical
25.00%
Strategy Pie Chart

Composition

Stock Indices
30.00%
Interest Rates
25.00%
Currency Futures
20.00%
Grains
6.00%
Energy
5.00%
VIX
5.00%
Precious Metals
4.00%
Softs
3.00%
Industrial Metals
1.00%
Livestock
1.00%
Composition Pie Chart

Summary

ZeminElli Capital uses proprietary statistical models based on behavioral finance research to predict short and long term market moves. The ideas are generated using a disciplined and systematic methodology. While markets evolve continuously, we believe in the longevity of our models as they are based on basic human behavioral biases rather than analysis of individual market phases. We trade 65 different markets in the U.S., Europe and Asia, and are diversified across various market sectors - Equity Indices, Fixed Income Indices, Currencies, Energies, Metals, Grains, and Soft Commodities. All trading decisions and execution are conducted systematically and algorithmically. However, (in select circumstances) we may use discretion for risk management purposes. The objective of the program is to generate positive returns uncorrelated to traditional and alternative investments. The program targets 16% (X) or 32% (2X) annual standard deviation a year unless the managed account desires a different risk level.

Risk Management

ZeminElli Capital Management manages its risk through position caps, VAR caps and portfolio risk stops.

   

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:
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Average Gain:
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Risk
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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
-31.59 24 - 2/1/2016 2/1/2018
-9.62 3 2 3/1/2015 6/1/2015
-3.96 1 1 11/1/2014 12/1/2014
-3.29 1 1 1/1/0001 10/1/2014
-2.75 4 1 8/1/2015 12/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
18.48 2 7/1/2015 8/1/2015
13.60 1 3/1/2018 3/1/2018
11.48 3 1/1/2015 3/1/2015
7.44 2 1/1/2016 2/1/2016
5.76 1 11/1/2014 11/1/2014
4.09 1 7/1/2016 7/1/2016
2.46 1 3/1/2017 3/1/2017
2.05 2 5/1/2017 6/1/2017
1.07 1 9/1/2017 9/1/2017
1.06 1 5/1/2016 5/1/2016
0.93 1 11/1/2015 11/1/2015
0.92 1 12/1/2016 12/1/2016
0.37 1 1/1/2018 1/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.79 3 4/1/2018 6/1/2018
-10.57 1 6/1/2016 6/1/2016
-9.62 3 4/1/2015 6/1/2015
-9.38 2 7/1/2017 8/1/2017
-7.67 2 1/1/2017 2/1/2017
-6.41 1 2/1/2018 2/1/2018
-5.91 3 10/1/2017 12/1/2017
-4.10 4 8/1/2016 11/1/2016
-3.96 1 12/1/2014 12/1/2014
-3.29 1 10/1/2014 10/1/2014
-3.27 2 3/1/2016 4/1/2016
-2.57 2 9/1/2015 10/1/2015
-1.11 1 12/1/2015 12/1/2015
-0.60 1 4/1/2017 4/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods45.0043.0040.0034.0028.0022.00
Percent Profitable40.0041.8642.5032.3528.5727.27
Average Period Return-0.25-0.62-1.74-3.72-7.28-10.63
Average Gain3.846.006.4612.6610.536.89
Average Loss-2.97-5.39-7.79-11.56-14.41-17.20
Best Period15.7916.0719.8918.1422.5411.11
Worst Period-10.57-11.15-13.83-18.68-23.42-31.59
Standard Deviation4.946.908.1912.2513.7513.24
Gain Standard Deviation4.684.635.323.028.583.68
Loss Standard Deviation2.793.392.854.737.398.49
Sharpe Ratio (1%)-0.07-0.13-0.27-0.39-0.64-0.95
Average Gain / Average Loss1.291.110.831.100.730.40
Profit / Loss Ratio0.860.800.610.520.290.15
Downside Deviation (10%)3.375.658.0814.1419.6624.56
Downside Deviation (5%)3.184.996.6311.0114.7617.82
Downside Deviation (0%)3.134.836.2810.2413.6116.26
Sortino Ratio (10%)-0.19-0.33-0.52-0.62-0.76-0.85
Sortino Ratio (5%)-0.10-0.17-0.34-0.43-0.60-0.71
Sortino Ratio (0%)-0.08-0.13-0.28-0.36-0.53-0.65

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.