www.deltahedge.it
NIX Alpha
[email protected]
NFA ID: 0438242
MONTHLY REPORT - Nov 2016
DH NIX Alpha Program is based upon a proprietary trading method of DeltaHedge and seeks to generate attractive absolute returns through
investments in just one market: E-mini 5$ Dow Jones Industrial Average Futures at CME. The founding idea of the Program is to decline the
diversification concept in Automatic Trading Systems portfolios, trading only on a single Futures with a multi-strategy approach. Designed as
institutional version of DH Nix Program, with a customized Money Management algorithm.
VAMI
102.94
YTD (%)
2.99
CTA Assets Under Management (Milion USD)
3.84
Nov 16 Return (%)
Assets Under Management (Milion USD)
Inception date
7.59
1.03
1 Nov 2015
115
Statistics
0.23%
-1.26%
-2.33%
Sep 16
38.46%
2.94%
2.81%
1.32%
4.56%
0.6172
0.1747
Average Monthly Return
Worst month performance
Maximum Drawdown
Mar 16
from
to
% of positive months
Total return
Annualized Return
Monthly Std
Annualized Std
Sharpe ratio
Correlation Dow Jones Index
VAMI
110
Dow Jones Index
105
HWM
100
100
95
90
Month Performance (%)
Jan
Feb
Mar
Apr
2015
2016
-0.19
1.53
0.10
-1.26
May
Jun
Jul
Aug
Sep
Oct
-0.04
-0.04
-0.13
-0.05
-0.82
0.11
Nov
0.99
3.84
Dec
-1.03
YEAR
-0.04
2.99
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Commentary
Good result for DH Nix Alpha Program in November, that reaches its
third High Water Mark since the inception of trading, in November 2015.
The 3.84% performance has been achieved by a strictly intraday countertrend strategy operating on a 5 minutes time frame and a trend following
strategy, that reduces by a half the overnight exposition for operation
that last for more than one day. The Program is now overrun by the
underlying index, that touched its historical maximum at the end of the
month. We highlight the correlation with the latter, at 17.47%.
Returns Analysis
Skewness
Kurtosis
J-B Test
Max Consecutive Positive Months
Max Consecutive Negative Months
Average Winning Month
Average Loosing Month
Time Aggregate Analysis (%)
Avg.
High
Low
DD analysis
1.86
4.42
8.57
2
6
1.31%
-0.44%
Mean DD
DD Standard Deviation
Max DD
Max Monthly DD
Avg. DD Length (Months)
Max DD Length (Months)
Current DD
36 mo
12 mo
6 mo
3 mo
1 mo
-
0.5
1.9
-0.9
-0.3
2.9
-2.3
0.0
3.1
-1.3
0.2
3.8
-1.3
Program Info
-1.05%
0.73%
-2.33%
-1.26
4.50
7
0.00%
Minimum Investment ($M)
Management Fees
Performance Fees
Subscription Frequency
Avg. Holding Period (Days)
Trading Frequency (RT/Y/$M)
Avg. Margin to Equity
0.200
2.0%
20.0%
Weekly
1.75
11700
14.2%
COMMODITY TRADING INVOLVES SUBSTANTIAL RISK OF LOSS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH
TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. WITH REGARD TO ALL PERFORMANCE INFORMATION
CONTAIND IN THE REPORT, USERS SHOULD NOTE THE FOLLOWING: PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF
FUTURE RESULTS