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Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: Sep-2024
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Report Start Date Report End Date

Diamond Capital Mgt / Enhanced S&P Program
Accepting New Investors: Yes Trend / Option Writing / Indexes


Performance - Please see Accounting Notes

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
20193.99% 3.74% 1.43% 3.08% -6.77% 6.85% 1.53% -6.99% 0.21% -1.74% 0.52% 3.16%
2020 0.82% -5.09% -3.21% -0.69% 1.24% -0.17% 4.18% 3.79% -3.51% 2.19% 1.48% 2.76%
2021 -0.40% 1.79% 0.57% 2.81% 0.58% 1.37% 1.00% 1.60% -2.77% 4.14% 0.09% 2.38%
2022 -7.08% -0.29% -1.22% -1.18% 3.13% -4.63% 4.90% -1.28% 1.70% -0.64% -1.30% -0.66%
2023 -0.64% -1.66% -0.53% 1.11% 0.10% 1.94% 1.51% -1.32% -2.27% 0.28% 2.60% 2.37%
2024 -0.52% 2.42% 1.42% -4.68% 4.08% 2.39% 0.63% -9.58% 1.54%  

 201920202021202220232024 YTD
ROR8.33%3.36%13.80%-8.73%3.41%-3.02%
Max DD-8.42%-8.77%-2.77%-11.05%-3.55%-9.58%

The Notes Below Are An Integral Part of this Report | Track Record Compiled By: In-House

Program Description: The trend following portion of the program may utilize short-term, medium-term or long-term positions. The program may trade both the long and short sides of the market. In its evaluation of the markets, DCM employs systematic technical trend-following strategy utilizing various levels of money management techniques. The principal objective is to profit from sustained futures price trends. The enhancement from the option trading for this program is based primarily on writing out-of-the-money call and put options with the expectation that the options will either be bought back at a lower price or expire. In an effort to control risk, based on a proprietary risk control system developed by Mr. Hu, the trader will roll out of positions either vertically (to a further month) or diagonally (further out-of-the-money), as determined by current market conditions.

Investment Information
Program Start Date Oct-2009
Minimum Investment 100,000
Management Fee 2.00%
Incentive Fee 20.00%
Margin 10-35%
Round Turns per Million 650
Currency US Dollar
NFA No: #0323917
Trading Strategy       Market Segment      

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Program Statistics
Peak-to-Valley Drawdown (1) (Jul 2019 - Apr 2020) -12.65%
Worst Monthly Return (Aug 2024) -9.58%
Current Losing Streak -8.46%
Average Monthly Return 0.27%
Annualized Statistics
Annualized Compounded ROR (2) 2.71%
Standard Deviation 10.56%
Sharpe Ratio (4) 0.21
36 Month Calmar Ratio (3) -0.07
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN.
Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com


Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: Sep-2024
Please wait for your Report to Fully Load Print to PDF



Time Window Analysis
Length Best Average Worst
1 mo 6.9% 0.3% -9.6%
3 mo 9.4% 0.7% -8.8%
6 mo 12.4% 1.4% -11%
12 mo 18.8% 2.7% -11.7%
18 mo 26.5% 4.3% -8.5%
24 mo 19% 6% -7.9%
36 mo 27.4% 8.4% -6.5%
Historical Drawdown and Recoveries***
Start Depth Length Recovery End
Aug-19 -12.65% 9 mo 11 mo Mar-21
Jan-22 -11.30% 15 mo 18 mo n/a
May-19 -6.77% 1 mo 2 mo Jul-19
Sep-21 -2.77% 1 mo 1 mo Oct-21

Comparisons                                        ProgramAG CTA Index
Annualized Compound ROR 2.71%5.16%
Cumulative Return 16.63%33.53%
Cumulative VAMI (5) 11661335
Largest Monthly Gain 6.84%2.99%
Largest Monthly Loss -9.58%-1.42%
Correlation —0.280
Last 12 Months 2.16%6.41%
Last 36 Months -2.31%14.08%

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN.
Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com


Ascent Capital Management CTA Report
Report Start Date: Jan-2019 - Report End Date: Sep-2024
Please wait for your Report to Fully Load Print to PDF



+ NOTES: Due to the MF Global bankruptcy certain accounts were not under the control of the CTA and were excluded from the performance calculation. There were 4 accounts excluded, totaling $429,389, or 39% of assets under management for the ESP in November 2011. The performance range for accounts excluded in November 2011 was -1.75% to -2.39%. Two of these accounts then closed as a result of the MFG bankruptcy. The initial account utilizing the Enhanced S&P Program began trading in July 2009 and is a limited partnership which includes family members and friends of the family that became interested in the trading program through their relationship with Mr. Hu. Performance for this account is considered proprietary under CFTC guidelines. The accounts included in this table were charged actual fees ranging from 0% to 2% Management fees and 20% to 30% Incentive fees.

** The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.

Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

Statistical Notes

1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2019-01-31 to 2024-09-30

2. The Annualized Compounded ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.

3. Calmar Ratio Uses last 36 months of Data

ROR = Rate of Return

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure Document.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com