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Diamond Capital Mgt, LLC
Enhanced S&P Program
Report Start Date: Oct-2009 - Report End Date: Jul-2021
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Report Start Date Report End Date


Trading Strategy: Trend / Option Writing / Indexes


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
Percent Discretionary 10%
Percent Systematic 90%
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

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Performance - Please see Accounting Notes | Track Record Compiled By: In-House | Please See Accounting Notes

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2009  2.32% 2.24% 1.77%
2010 0.31% -0.03% 7.40% 0.38% -7.37% -3.72% 5.77% -0.04% 1.44% 3.37% 1.12% 3.80%
2011 1.43% 2.79% 2.76% 2.41% 0.05% -2.53% -2.34% -3.91% 2.82% 5.71% -0.40% -0.31%
2012 2.80% 4.43% 3.89% 0.98% -0.61% 3.90% 0.38% 1.16% 1.91% 1.79% 1.46% -0.14%
2013 4.03% 0.59% 1.94% 2.37% 1.47% -0.76% 4.93% -1.43% 4.43% 2.99% 1.09% 2.22%
2014 -3.71% 4.89% 1.91% 1.78% 2.57% 1.87% -1.43% 5.30% 0.42% -1.65% 2.17% -0.81%
2015 -2.12% 6.09% -0.71% 1.97% 0.30% -0.64% 1.76% -5.33% 1.12% 3.12% 1.10% 1.11%
2016 -10.44% -0.06% 3.70% 0.57% 2.28% 1.79% 2.77% 0.32% 0.82% -0.87% 0.18% 0.68%
2017 1.38% 2.48% 0.44% 0.55% -0.08% 0.61% 1.82% 0.58% 1.63% 1.82% 2.44% 1.11%
2018 4.52% -5.28% 0.80% 1.45% 1.65% 1.21% 2.39% 3.04% 0.61% -5.41% 0.44% -8.06%
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%
2020 0.80% -5.13% -3.21% -0.69% 1.24% -0.17% 4.18% 3.79% -3.51% 2.19% 1.46% 2.76%
2021 -0.40% 1.79% 0.56% 2.81% 0.58% 1.37% 1.00%  

 2009201020112012201320142015201620172018
ROR6.46%12.20%8.39%24.14%26.42%13.73%7.59%1.02%15.78%-3.44%
Max DD0.00%-10.81%-8.53%-0.61%-1.43%-3.71%-5.33%-10.49%-0.08%-12.65%
 201920202021 YTD
ROR8.33%3.28%9.67%
Max DD-8.42%-8.80%-0.40%
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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISORS CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. ONE SHOULD RECOGNIZE THAT AN INTRODUCING BROKER MAY CHARGE A FRONT-END START OF FEE OF UP TO 3% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMER'S ABILITY TO ACHIEVE SIMILAR RETURNS. PAST PERFORMANCE IS NOT NECESSARILY INDICIATIVE OF FUTURE SUCCESS.

AutumnGold.com LLC
719-685-6183 Email: info@autumngold.com | Web Address: http://www.autumngold.com


Diamond Capital Mgt, LLC
Enhanced S&P Program
Report Start Date: Oct-2009 - Report End Date: Jul-2021
Print to PDF Here



Program Statistics
Peak-to-Valley Drawdown (2) Sep 2018 - Apr 2020 -13.01%
Worst Monthly Return (Jan 2016) -10.44%
Current Losing Streak 0.00%
Average Monthly Return 0.91%
Monthly Std. Deviation 2.87%
Gain Deviation (105 months gain) 1.57%
Loss Deviation (37 months loss) 2.72%
Gain to Loss Ratio 0.81
Omega Ratio % Threshold 1.61
Annualized Statistics
Compound ROR (1) 10.87%
Standard Deviation 9.94%
Downside Deviation 7.22%
Sharpe Ratio (3) 0.99
Sortino Ratio (4) 0.76
Calmar Ratio (5) 0.23
Sterling Ratio (6) 0.15
Gain Deviation 5.42%
Loss Deviation 9.43%
Profit Loss Ratio 2.30

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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISORS CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. ONE SHOULD RECOGNIZE THAT AN INTRODUCING BROKER MAY CHARGE A FRONT-END START OF FEE OF UP TO 3% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMER'S ABILITY TO ACHIEVE SIMILAR RETURNS. PAST PERFORMANCE IS NOT NECESSARILY INDICIATIVE OF FUTURE SUCCESS.

AutumnGold.com LLC
719-685-6183 Email: info@autumngold.com | Web Address: http://www.autumngold.com


Diamond Capital Mgt, LLC
Enhanced S&P Program
Report Start Date: Oct-2009 - Report End Date: Jul-2021
Print to PDF Here



Time Window Analysis
Length Best Average Worst
1 mo 7.4% 0.9% -10.4%
3 mo 11.5% 2.7% -12.7%
6 mo 17.1% 5.3% -9.6%
12 mo 27.5% 10.9% -11.7%
18 mo 40.2% 16.6% -12.4%
24 mo 56.9% 23% -8.3%
36 mo 92.4% 38% 3%
Historical Drawdown and Recoveries***
Start Depth Length Recovery End
Oct-18 -13.01% 19 mo 12 mo Apr-21
May-10 -10.82% 2 mo 6 mo Dec-10
Jan-16 -10.49% 2 mo 6 mo Aug-16
Jun-11 -8.53% 3 mo 5 mo Jan-12
Feb-18 -5.28% 1 mo 5 mo Jul-18
Jan-14 -3.71% 1 mo 1 mo Feb-14

            Current Losing Streak = 0.00%


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Select an index or program to add as a benchmark:

Statistical Comparisons
Program/Portfolio
AG CTA Index
Remove
SP 500 TR
Remove
Annualized Compound ROR (1) 10.87%2.38%15.10%
Cumulative Return 239.14%32.13%428.33%
Cumulative VAMI(7) 339113215283
Best Monthly Return 7.40%4.14%12.82%
Worst Monthly Return -10.44%-5.53%-12.35%
Annual Standard Deviation 9.94%4.83%13.78%
Profit Loss Ratio 2.301.482.26
Correlation 0.2610.733
Last Month 1.00%0.42%2.38%
Last 12 Months 15.18%8.32%36.44%
Last 36 Months 9.36%15.74%64.96%

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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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISORS CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. ONE SHOULD RECOGNIZE THAT AN INTRODUCING BROKER MAY CHARGE A FRONT-END START OF FEE OF UP TO 3% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMER'S ABILITY TO ACHIEVE SIMILAR RETURNS. PAST PERFORMANCE IS NOT NECESSARILY INDICIATIVE OF FUTURE SUCCESS.

AutumnGold.com LLC
719-685-6183 Email: info@autumngold.com | Web Address: http://www.autumngold.com


Diamond Capital Mgt, LLC
Enhanced S&P Program
Report Start Date: Oct-2009 - Report End Date: Jul-2021
Print to PDF Here



+++ 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.

Other Fees: None

An Important Note on the Start Date and End Dates of this Report. If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report.

Performance Results reported or amended subsequent to Monday September 20, 2021 are not reflected in this Report. Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

Historical Drawdowns & Recoveries: 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.

FOOTNOTES

1. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
2. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of Oct-2009 to Jul-2021
3. Sharpe Ratio uses a 1% Risk Free ROR
4. Sortino Ratio uses a 5% Minimum Acceptable ROR
5. Calmar Ratio Uses last 36 months of Data
6. Sterling Ratio uses last 36 months of Data
7. The hypothetical growth of $1,000
8. 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.

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.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

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 each Trader's Disclosure Document or Fund's Offering 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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISORS CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. ONE SHOULD RECOGNIZE THAT AN INTRODUCING BROKER MAY CHARGE A FRONT-END START OF FEE OF UP TO 3% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMER'S ABILITY TO ACHIEVE SIMILAR RETURNS. PAST PERFORMANCE IS NOT NECESSARILY INDICIATIVE OF FUTURE SUCCESS.

AutumnGold.com LLC
719-685-6183 Email: info@autumngold.com | Web Address: http://www.autumngold.com