Diamond Capital Management

Stock Index Options

Year-to-Date
N/A
Minimum Investment
100,000
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 13.32%
Sharpe (RFR=1%) 0.64
CAROR 8.84%
Assets 223,869
Worst Drawdown -24.40
S&P Correlation 0.28

Summary

The Stock Index Options Program utilizes a strategy that relies heavily on selling or “writing” options on stock index futures with the expectation that either they will expire without the need to buy them back, or will be bought back at a cheaper price to realize a profit. However, in order to control risk, based on a proprietary risk control system, Diamond Capital (DCM) will roll out either vertically or diagonally (to a further month and further out-of-the-money options) to buy space or space and time. DCM may also roll the options written closer to the underlying futures price if it perceives the risk/reward is in its favor to do so. Occasionally, options may be purchased either to hedge other positions or speculate on substantial movement in the underlying stock index.