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Diamond Capital Mgt, LLC - Enhanced S&P Program

Principal(s): M. Kelly Farrell & Albert L. Hu
Strategy: Trend / Option Writing / Indexes
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Statistics & Program Information

Nov Return   2.17% Worst Drawdown (2)    -12.96% Minimum Investment   $100,000
YTD Return   -1.61% Losing Streak (3)    -7.14 % AUM (5)   $4,536,291
Annual CROR:1 8.24% Sharpe Ratio (4)   0.74 Calmar Ratio (6)    N/A
Trading Methodology
90% Systematic
10% Discretionary
 Style Sub-Categories
Option Writer
Option Spread
Mean Reversion
 Trading Style
55% Trend Following
10% Contrarian
35% Option Trading
Market Sector
100% Stock Indices
 Holding Period
10% Long Term
40% Medium Term
50% Short Term
 Geographic Sector:
US
Contracts:
Futures
Options
Start Date   Oct-2009 Currency   US Dollar Margin (7)   10-35%
New Money   Yes AUM (5)   $4,536,291 Management Fee    2.00%
Min Investment    $100,000 Annual CROR 1    8.24% Incentive Fee    20.00%
Fund Minimum    $0 Losing Streak (3)    -7.14 % Other Fees   None
Notional Funds    Yes Worst Drawdown (2)    -12.96 % Avg Comm (8)   $10.50
NFA Member    Yes Sharpe Ratio (4)    0.74 Max Comm (9)   
NFA Number    0323917 Calmar Ratio (6)    N/A Round Turns (10)    650
Starting Date:  Oct-2009 Currency:  US Dollar
Open to New Investors:  Yes Current Assets:  $4,536,291
Open to US Investors:  Yes Annual CROR:  8.24%
Minimum Fund Investment:  $0 Worst Monthly Drawdown:  -12.96
Minimum Managed Account:  $100,000 Current Losing Streak:  -7.14 %
Domocile:   Calmar:  N/A
Subscriptions:  N/A Sharpe Ratio:  0.74
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
Selling Fee:  3.00% FINRA Member:  No
Other Fees:  None Other Memberships:  
Type of Fund:
 Domicile:
 Strategy:
Track Record Prepared By: In-House
Correlations: AG CTA Index: 0.257              AG Systematic CTA Index: 0.204             

Trading Description, Risk Strategy & Background

Trading Description

This system utilizes a computerized technical trend-following strategy with various levels of money management techniques. The principal objective is to profit from sustained futures price trends. Trend following is a method of trading which seeks to establish and maintain market positions based on major price movements.

The system first determines whether the S&P market is in a bull or bear trend, then trades only with the trend until it gets stopped out. A stop would occur when the S&P moves out of the current trend but has not yet entered into the opposite trend. Within the Trend Following System, proprietary short-term counter-trend signals may be used to get out of the current position or even trade against the trend on a short-term basis.

Premium Capture System: Within this program, DCM will also write covered and/or uncovered options to capture premiums to increase the potential profits. (Option positions may also increase the risk of market exposure from time to time.) Each month puts and calls will be written - the goal being to capture the premiums either by letting the written options expire or by purchasing them back at lower price.

The Volatility Index (also known as the VIX) will be used to determine the number of options to sell and what strike prices to be utilized. Strict risk controls will be in place to limit the downside risks and achieve a desirable risk/reward ratio.

Risk Strategy

N/A

Background

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.

Accounting 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.

Performance - Please see Accounting Notes

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 -0.52% 2.42% 1.42% -4.68% 4.08% 2.39% 0.63% -9.58% 1.54% -0.71% 2.17%   -1.61% -9.58%
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% 3.41% -3.55%
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% -8.73% -11.05%
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% 13.8% -2.77%
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% 3.36% -8.77%
2019 3.99% 3.74% 1.43% 3.08% -6.77% 6.85% 1.53% -6.99% 0.21% -1.74% 0.52% 3.16% 8.33% -8.42%

Annual Performance

Years200920102011201220132014
ROR6.46%12.20%8.39%24.14%26.42%13.73%
Max DD0.00%-10.81%-8.53%-0.61%-1.43%-3.71%

Years201520162017201820192020
ROR7.59%1.02%15.78%-3.44%8.33%3.36%
Max DD-5.33%-10.49%-0.08%-12.65%-8.42%-8.77%

Years2021202220232024
ROR13.80%-8.73%3.41%-1.61%
Max DD-2.77%-11.05%-3.55%-9.58%



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

Chart

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.

Footnotes & Definitions:

  • P - Proprietary Trading Results
  • C - Client Trading Results
  • Fixed Trade Level: The programs trades a fixed number of contracts in a nominal account regardless of the account value.
  1. Rates of Return: 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. Annual CROR is not applicable to CTAs that sum their monthly returns.
  2. Worst Peak-to-Valley Drawdown: 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. Current Losing Streak: The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.
  5. Annualzied Standard Deviation: Annualized 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: 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. Sharpe Ratio: 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. Sortino Ratio: 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. Sterling Ratio: 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. Calmar Ratio: 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. Omega Function: 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: Minimum Investment represents the minimum account size.
  13. Assets Under Management: Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.
  14. Number of Winning Months: Number of Winning Months represents the months with positive return.
  15. Number of Losing Months: Number of Losing Months represents the months with negative return.
  16. Percentage of Winning Months: Percentage of Winning Months represents the % of winning months.
  17. Margin to Equity: Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.
  18. Round Turns per Million: 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: The 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: Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS