Diamond Capital Management

Enhanced S&P Program

Year-to-Date
9.66%
Minimum Investment
$ 100,000
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 9.91%
Sharpe (RFR=1%) 1.00
CAROR 10.94%
Assets $7,945,699
Worst Drawdown -13.03
S&P Correlation 0.73

Summary

The Enhanced S&P Program (ESP) consists of primarily two basic trading components. These include a trend-following system enhanced with a premium capture system.Trend-Following System This system utilizes a computerized technical trend-following strategy with various levels of money management techniques. The principal objective is to profit from sustained futures price trends. Trend following is a method of trading which seeks to establish and maintain market positions based on major price movements. The system first determines whether the S&P market is in a bull or bear trend, then trades only with the trend until it gets stopped out. A stop would occur when the S&P moves out of the current trend but has not yet entered into the opposite trend. Within the Trend Following System, proprietary short-term counter-trend signals may be used to get out of the current position or even trade against the trend on a short-term basis. Premium Capture System Within this program, DCM will also write covered and/or uncovered options to capture premiums to increase the potential profits. (Option positions may also increase the risk of market exposure from time to time.) Each month puts and calls will be written – the goal being to capture the premiums either by letting the written options expire or by purchasing them back at lower price.The Volatility Index (also known as the VIX) will be used to determine the number of options to sell and what strike prices to be utilized. Strict risk controls will be in place to limit the downside risks and achieve a desirable risk/reward ratio.