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Program Details

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Deep Field Capital AG 

SINGULARITY Fund (1x)

Manager: Heiko Krohne & Team

Address: Baarerstrasse 125, Zug, 6300, Switzerland

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Sep 16, 2011
AUM:$2,579,256
QEP:No
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$130,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:0.04%116.52%
Annual ROR:0.01%13.35%
YTD:-4.85%15.81%
1 Year:-4.25%17.88%
Alpha:0.09
Beta:-0.02
Statistics Program S&P 500
Average Monthly Gain:2.45%2.56%
Average Monthly Loss:-2.89%-2.35%
Winning Months:4152
Losing Months:3322
Current DD:37.600.00
Max DD:37.898.89
Sharpe Ratio (RF 1%):-0.08
Annualized Std Dev:12.91

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Momentum:50%
Trend Following:50%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2017-3.91-1.091.19-1.533.91-3.43-0.150.670.66-1.04-4.85
20162.18-0.29-5.16-2.27-7.860.000.85-17.28-3.92-4.39-0.130.63-32.99
2015-0.22-2.226.375.292.95-0.286.381.561.831.591.173.1330.81
2014-3.072.46-6.54-3.60-2.641.85-3.580.88-1.227.520.317.45-1.20
20132.001.46-0.170.703.561.94-3.233.04-5.75-2.302.771.024.69
20124.253.071.38-0.312.782.272.51-2.97-0.19-1.983.60-0.2114.84
20110.073.26-2.410.130.97

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The SINGULARITY fund has been launched in 09/2011 to offer qualified investors an alternative investment vehicle (besides managed accounts) to access the SINGULARITY strategy as traded by the management team since 07/2010. SINGULARITY is a fully automated managed futures program designed to deliver a regular stream of multi-directional alpha that has a low correlation to traditional and other alternative investment strategies. The program executes a purely systematic trading approach using quantitative analysis of real-time price data to identify price trends and patterns that offer a high statistical likelihood of delivering consistent investment profits over time. While the highly reactive system only trades trend-based signals in a diversified portfolio of liquid futures markets across all asset classes, it actually shows no correlation to the trend following space or any other trading styles. The idiosyncratic investment profile is driven by the combination of intra-market diversification (number of strategy elements/strategy variations in every traded market) and cross-market diversification (number of markets/instruments), offering great scalability and attractive risk-adjusted returns. As of today SINGULARITY trades hundreds of independent strategy elements in up to 22 markets across short- mid-, and long-term time frames, each independently generating buy and sell signals. Execution and risk management is entirely electronic and automated, utilizing in-house proprietary software.

Company Info

Deep Field Capital is an independent, privately owned, purely systematic asset management company based in Switzerland. The team has been working together for many years, dating back to the year 2000 with the establishment of our former proprietary trading company in Switzerland. Our quantitative trading ideas and programs are built on long term personal experience in self-funded proprietary day trading and in depth research. Starting as discretionary traders, we first developed systematic strategies based on simple, sometimes trivial trading rules to support our directional discretionary trading. Intensive research, live testing and trading with our own assets led to more complex systematic models and to today's stand-alone purely systematic systems. Our objective is to provide institutional and other qualified investors with high quality quantitative investment strategies to optimize long term risk adjusted returns. We combine proprietary quantitative methods in portfolio construction with automated, highly reactive trading, framed by sound risk management. All trading software has been developed in-house driven by more than ten years of experience in active programming. Risk management is embedded into the programs and all trading is done fully automated and electronically. This systematic approach to the financial markets provides the framework for an uncorrelated, robust and scalable performance.

Manager Info

Deep Field Capital is an independent, privately owned, purely systematic asset management company based in Switzerland. The team has been working together for many years, dating back to the year 2000 with the establishment of our former proprietary trading company ISATYS in Switzerland. Our quantitative trading ideas and programs are built on long term personal experience in self-funded proprietary day trading and in depth research. Starting as discretionary traders, we first developed systematic strategies based on simple, sometimes trivial trading rules to support our directional discretionary trading. Intensive research, live testing and trading with our own assets led to more complex systematic models and to today's stand-alone purely systematic systems. Our objective is to provide institutional and other qualified investors with high quality quantitative investment strategies to optimize long term risk adjusted returns. We combine proprietary quantitative methods in portfolio construction with automated, highly reactive trading, framed by sound risk management. All trading software has been developed in-house driven by more than ten years of experience in active programming. Risk management is embedded into the programs and all trading is done fully automated and electronically. This systematic approach to the financial markets provides the framework for an uncorrelated, robust and scalable performance.