www.deltahedge.it
NIX
[email protected]
NFA ID: 0438242
MONTHLY REPORT - Oct 2016
DH NIX 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 Index Futures with a multi-strategy approach.
VAMI
174.14
YTD (%)
-9.85
CTA Assets Under Management (Milion USD)
-3.44
Oct 16 Return (%)
Assets Under Management (Milion USD)
Inception date
Statistics
2.55%
-18.80%
-44.88%
Oct 16
46.88%
74.14%
35.25%
13.74%
47.58%
0.7408
0.4939
Worst month performance
Maximum Drawdown
May 15
310
HWM
Average Monthly Return
from
7.21
0.23
1 Mar 2014
to
% of positive months
Total return
Annualized Return
Monthly Std
Annualized Std
Sharpe ratio
Correlation Dow Jones Index
260
VAMI
210
160
100
110
Dow Jones Index
60
Month Performance (%)
Jan
Feb
Mar
2014
-10.86
2015 24.65
2.25
15.03
2016 -1.62 11.24
0.56
Apr
0.64
-9.94
-8.60
May
0.33
13.06
-0.18
Jun
-3.78
-2.53
-0.17
Jul
6.13
-9.26
0.37
Aug
7.94
-12.89
-2.34
Sep
24.02
-18.80
-4.97
Oct
51.46
-4.04
-3.44
Nov
-7.82
-1.77
Dec
23.19
3.67
YEAR
111.63
-8.73
-9.85
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Commentary
New worst drawdown for DH NIX Program, as the result for October is 3.44%. The trading is now capped to all but the high frequency, counter
trend, intraday strategy. With this set-up we will hopefully close the year
without worsening the result, awaiting for better market conditions and
strategies’ recovery.
Time Aggregate Analysis (%)
Avg.
High
Low
Returns Analysis
Skewness
Kurtosis
J-B Test
Max Consecutive Positive Months
Max Consecutive Negative Months
Average Winning Month
Average Loosing Month
DD analysis
1.69
4.14
16.89
4
6
12.30%
-6.06%
Mean UnderWater Curve
UWC Standard Deviation
Max DD
Max Monthly DD
Avg. DD Length (Months)
Max DD Length (Months)
Current DD
24 mo
12 mo
6 mo
3 mo
1 mo
94.2
138.5
-6.6
61.5
255.6
-38.6
31.7
187.0
-41.0
11.0
102.8
-35.8
2.5
51.5
-18.8
Program Info
-20.42%
16.77%
-44.88%
-18.80
2.67
6
-44.88%
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
8.6%
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