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Diamond Capital Management LLC 

Diamond Enhanced Solutions

Manager: Kelly Farrell

Address: W252N4915 Aberdeen Dr, Pewaukee, WI, 53072, U.S.A.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Feb 1, 2020
AUM:$2,901,162
QEP:No
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$150,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:0.35%40.22%
Annual ROR:0.22%23.80%
YTD:5.17%20.41%
1 Year:3.76%29.21%
Alpha:-0.51
Beta:0.29
Statistics Program S&P 500
Average Monthly Gain:1.51%4.72%
Average Monthly Loss:-2.46%-5.74%
Winning Months:1214
Losing Months:75
Current DD:0.000.00
Max DD:10.096.58
Sharpe Ratio (RF 1%):-0.09
Annualized Std Dev:8.92

Methodology

Discretionary:10%
Systematic:90%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Counter Trend:10%
Mean Reversion:10%
Option Spreads:5%
Option Writing:10%
Technical Analysis:15%
Trend Following:50%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2021-0.111.54-0.651.830.030.610.411.425.17
2020-4.23-4.79-0.730.30-0.974.093.35-5.721.570.942.07-4.57

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

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. 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.

Weekly option spreads may also be utilized in gold, mini S&P, and crude, if various risk parameters are met. Tight risk controls are in place for these short term options, which are typically held five days or less, but may be held up to 12 days on occasion.

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 up to 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. In certain environments, the micro ES futures may be bought or sold for shorter periods of time with positions held intraday.

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.

Company Info

Diamond Capital Management is dedicated to offering clients a well managed alternative investment products that offers consistent returns and protection of principal through the proper application of money management and continuous evaluation of risk exposure. The principals at DCM have a solid understanding of the markets and the instruments utilized in the program and possess the ability to effectively measure the probabilities of market movement and enter into positions accordingly. We at Diamond Capital Management take personal pride in managing accounts with our clients' best interest in mind.

Diamond's trading strategies are not solely dependent on market direction and are therefore suited to most market conditions. For example, instead of seeking to profit through the purchase of individual shares of stock, which are in the benchmark S&P 500 Index, DCM trades options and futures on the Index itself. When writing options on the S&P 500 Index, the market can move up, down, or sideways within a specific range and still produce profits at, or as it nears, option expiration. Futures positions may be long or short. Conversely, when buying stocks, the stock must move higher and/or pay good dividends to make the trade profitable.

It is Diamond's goal to produce consistent positive returns. Rigorous risk management is used to minimize monthly drawdowns. As such, the trading strategies have pre-defined profit goals and risk exposure. Stop loss measures are utilized as well as the use of derivative hedging techniques to quantify market exposure.

Bear in mind that past performance is not necessarily indicative of future results.

Manager Info

Kelly Farrell has over 30 years of investment experience beginning in 1987 after graduating from University of Wisconsin with a Business Administration degree. Kelly's experience includes managing a variety of areas at Firstar Bank, including the broker dealer trading desk and fixed income trading desk, later acting as lead fixed income trader and institutional sales. In 2001, Kelly became registered as a NFA Associated Member, and later became an AP and principal of Diamond Capital Management in November 2002.

Alan Hu joined Diamond Capital Management in 2013, with a background in statistics, economics, and psychology from UC Berkeley. He has helped to codify the subsystems of Diamond's ESP program, and continues to develop the program through perpetual research and analysis. Since 2014, Alan has headed trading and risk management for the ESP program. His responsibilities at Diamond Capital include assisting with risk management, research, trading, and product development.