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Diamond Capital Mgt, LLC - Diamond Enhanced Solutions



Principal(s): Kelly Farrell and Alan Hu
Strategy: Trend Following / Trend Reversal / Premium Capture
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Statistics & Program Information

Feb Return   2.41% Worst Drawdown (2)    -10.98% Minimum Investment   $150,000
YTD Return   2.17% Losing Streak (3)    -1.84 % AUM (5)   $1,004,115
Annual CROR (1)   1.58 Sharpe Ratio (4)   0.11 Calmar Ratio (6)    0.16
Trading Methodology
90% Systematic
10% Discretionary
Style Sub-Categories
Option Writer
Option Spread
Other Option Strategy
Trend Anticipatory
Mean Reversion

Trading Style
60% Trend Following
20% Contrarian
5% Spread Trading
15% Option Trading
Market Sector
75% Stock Indices
10% Metals
15% Energies
Holding Period
15% Medium Term
70% Short Term
15% Intraday
Sector
US
Contracts
Futures
Options

Start Date   Jan-2020 Currency   US Dollar Margin (7)   8%-30%
New Money   Yes AUM (5)   $1,004,115 Management Fee    0-2%
Min Investment    $150,000 Annual CROR (1)   1.58 Incentive Fee    20-25%
Fund Minimum    $0 Losing Streak (3)    -1.84 % Other Fees   None
Notional Funds    Yes Worst Drawdown (2)    -10.98 % Avg Comm (8)   $4.26 RT
NFA Member    Yes Sharpe Ratio (4)    0.11 Max Comm (9)   $5.00 RT
NFA Number    0323917 Calmar Ratio (6)    0.16 Round Turns (10)    3,000
Starting Date:  Jan-2020 Currency:  US Dollar
Open to New Investors:  Yes Current Assets:  $1,004,115
Open to US Investors:  Yes Annual CROR:  1.58%
Minimum Fund Investment:  $0 Worst Monthly Drawdown:  -10.98
Minimum Managed Account:  $150,000 Current Losing Streak:  -1.84 %
Domocile:   Calmar:  0.16
Subscriptions:  N/A Sharpe Ratio:  0.11
Redemptions:  N/A US Attorney:  Not Listed
Lock Up:  N/A Offshore Attorney:  Not Listed
Hurdle Rate:  N/A Administrator:  Not Listed
Administraton Fee:  0.00% Prime Broker:  Not Listed
Management Fee:  2.00% Auditor:  Not Listed
Incentive Fee:  20.00% NFA Member:  Yes
Other Fees:  None FINRA Member:  No
Other Memberships:  None
Type of Fund:
Domicile:
Strategy:
Track Record Prepared By: In-House
Correlations: AG CTA Index: 0.283              AG Systematic CTA Index: 0.236             

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each.

1. Rates of Return: Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. The Annual Rate of Return ("Annual ROR") is the annualized Mean Return.

2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.

4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.

5. Annualzied Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.

6. Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.

7. The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

8. The Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%.

9. The Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.

10. The Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

11. The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.

12. Minimum Investment represents the minimum account size.

13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

14. The Number of Winning Months represents the months with positive return.

15. The Number of Losing Months represents the months with negative return.

16. The Percentage of Winning Months represents the % of winning months.

17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

18. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

19. Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description, Risk Strategy & Background

The Diamond Enhanced Solutions (DES) Program offers a combination of the Enhanced S&P Program (ESP), as described below, in conjunction with short-term trading systems in three typically non-correlated systems to provide diversification of markets traded and applied time-frames for a comprehensive approach and reduced volatility.

The Enhanced S&P portion of the program trades the U.S. domestic large-cap stock sector via S&P 500 futures and its options. It's a systematic, proprietary rules-based investing program seeking sustainable, long-term growth for investors by combining proven, low-correlation systems: trend-following, trend reversal and premium capture. The Trend Following System uses a method of trading which seeks to establish and maintain market positions based on major price movements. The system determines whether the S&P market is in a bull or bear trend, then trades with the trend until a stop condition is reached. While the core of the trend following system is long-term in nature, proprietary short-term counter-trend system signals may be used to exit a position, create a neutral position, or trade against the trend on a short-term basis. The Premium Capture System consists of writing deep out of the money covered and/or uncovered options to capture premiums, providing a more balanced and predictable source of returns. (Option positions may also increase the risk of market exposure.) Every period, options that meet proprietary risk parameters are written with the goal being to capture the premium by letting them expire, or occasionally by purchasing them back at a profit. Strict risk controls are used to limit the downside risks and achieve a desirable risk/reward ratio.

The Short-Term Trading systems within the Diamond Enhanced Solutions Program (DES) actively trade the crude, gold, and S&P futures markets and selectively trades these markets over a short-term time horizon. The gold and S&P futures will utilize the micro, or in some cases depending on account size, the mini sized contracts. In the case of crude oil, positions are only held intra-day with no overnight exposure and utilize both regular crude and mini crude futures depending on volatility and account size. Signals are generated off a macro directional indicator, then filtered for executed trades. The gold trading is more short-term trend following in nature, while the actively traded crude futures trading tends to trade both as short-term trend following and counter trend to the macro directional indicator. The short-term S&P futures related to the short-term trading system typically utilizes micro ES contracts for limited exposure and is designed to trade overbought and oversold opportunities in the S&P index. Positions are initiated after an indication of a “bottoming” process in the case of an oversold market, and “topping” process for an overbought market. Positions tend to last on average 2 weeks until market prices become more neutral, or is stopped out in the case of continued selling in an oversold market, or continued buying in an overbought market. The short-term trading in these systems has historically been negatively correlated to Diamond’s ESP strategy based on hypothetical back-tested trading beginning in October 2009, when the ESP began trading client accounts.

M. Kelly Farrell has over 34 years of investment experience. In June 1987, she began her career as an assistant to three executive securities brokers at Prudential Bache Securities in Milwaukee, Wisconsin, which provided sales and trading in US and foreign equity securities. In March 1989, Ms. Farrell left Prudential Bache Securities LLC and joined the Institutional Custody Department at Firstar Bank, N.A., as an Institutional Custody Service Representative. She assumed a management position in 1992, supervising Institutional Custody Service Representatives who had the responsibilities of interfacing with over 200 Registered Investment Advisors, providing short term cash investments, portfolio trade settlements and various other related institutional custody services. Ms. Farrell became the Trading Desk Manager and General Securities Principal for Firstar Investment Services in May of 1997, where she supervised Registered Representatives on both the fixed income institutional sales and trading desk, as well as the retail brokerage-trading desk. Ms. Farrell assumed the lead trading position as the Fixed Income Product Manager for Firstar Bank's Fixed Income Department in February of 1998. Ms. Farrell moved directly into institutional sales for Firstar Bank's Fixed Income Department in January of 1999 until January 2001, working with correspondent banks, trust accounts, money managers, mutual funds and high net worth individuals, increasing sales revenue by 500% in 2000. She also assisted the Fixed Income Product Managers perform various trading functions. During this time, from January of 2000 through December of 2000 Ms. Farrell also acted as a General Securities Principal for Quasar Distributors LLC (division of Firstar), a mutual funds distributor, in a consultative capacity, and to provide managerial and principal back up. In connection with her registration as a Registered Representative and General Securities Principal, Ms. Farrell passed the Series 7, Series 24 and Series 63 licensing examinations. Ms. Farrell left Firstar in January of 2001 to form Lochlan Capital Management. After January 2001, she worked on developing an option trading program and offered that program to clients of Diamond Capital Management in November 2002. In July 2001 Ms. Farrell passed the Series 3 and was registered as a NFA Associated Member. Ms. Farrell became registered as an Associated Person ("AP") and became listed as a trading and operational principal of the Lochlan Capital Management LLC, a registered CTA, on August 10, 2001. In addition, Ms. Farrell became registered as an AP of R&S Investment Services LLC, a registered CPO, and as an AP and trading principal of Inlet Asset Management Inc, also a registered CPO, in August of 2001 until February 2002. Ms. Farrell remained a NFA Associated Member until February 25, 2002 at which time she withdrew to form Diamond Capital Management. Ms. Farrell became registered as an Associated Person ("AP") on November 12, 2002 and became listed as a principal of Diamond Capital Management on November 11, 2002. Ms. Farrell became registered as an Associated Person ("AP") of Cauldron Investment Co LLC, a registered CTA with a 4.7 exemption, in March 2013 until April 2014. Ms. Farrell acts as both an operational and trading principal.

Alan Hu graduated from UC Berkeley in 2006 with a Bachelor of Arts in Interdisciplinary Studies focusing in economics, statistics, and psychology. Pursuing an interest in the booming game industry, he started his career designing complex core systems for a number of computer and mobile game startups in Silicon Valley. From December 2010 to September 2012 Alan worked for Idle Games as a Lead Game Designer, and from November 2012 until July 2013 for The Playforge as a Senior Game Designer. After 7 years in the game development industry he decided in a change of direction, taking an opportunity to apply his analytical and statistics-based skills towards investment management. Alan joined Cauldron Investments and Diamond Capital Management in October 2013. In September 2013 Mr. Hu passed the Series 3 and was registered as a NFA Associated Member. Mr. Hu became registered as an Associated Person of Cauldron Investments LLC in October 2013 and later became a branch manager in September 2019. On April 29, 2016 Alan became listed as a principal of Diamond Capital Management and of Cauldron Investments LLC. On February 19, 2019, Alan became listed as a branch manager and Associated Person of Diamond Capital Management and withdrew as branch manager and Associated Person of Diamond Capital in November 2019. Alan revamped Cauldron's organizational infrastructure, codified the subsystems of Cauldron's SIP and Diamond's ESP programs, and continues to develop those programs through perpetual research and analysis. Since 2014, he has primarily focused on trading, risk management, research and product development for the ESP program, playing a key role in the continued success of the program. Mr. Hu acts as trading principal for Diamond Capital Management. Mr. Hu's principal status for Cauldron Investments LLC was withdrawn on April 3, 2020. In addition, Mr. Hu's branch manager and associated person statuses for Cauldron Investments LLC were withdrawn on February 19, 2020.

Performance

Monthly Performance Since February 2020

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 -0.23% 2.41%   2.17% -0.23%
2023 -0.18% -1.80% 0.26% -0.41% 0.65% 1.80% 1.20% -1.03% -1.95% 0.55% 2.41% 2.09% 3.54% -2.95%
2022 -6.80% -0.48% -1.21% -1.26% 3.58% -5.00% 5.40% -1.43% 2.74% 0.10% -2.30% -0.14% -7.22% -10.98%
2021 -0.11% 1.54% -0.64% 1.83% 0.03% 0.61% 0.41% 1.42% -3.32% 4.55% 0.07% 2.39% 8.93% -3.32%
2020  0.00% -4.79% -0.73% 0.32% -0.97% 4.10% 3.36% -5.68% 1.57% 0.94% 2.07% -0.29% -6.11%


Annual Performance

Years20202021202220232024 YTD
ROR-0.29%8.93%-7.22%3.54%2.17%
Max DD-6.11%-3.32%-10.98%-2.95%-0.23%



PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.