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Diamond Capital Management LLC 

Enhanced S&P Program

Manager: Alan Hu 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:Jul 18, 2009
AUM:$10,017,110
QEP:No
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$100,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:234.86%231.15%
Annual ROR:11.90%11.78%
YTD:-7.44%-5.77%
1 Year:-10.75%3.49%
Alpha:0.85
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:2.31%559.30%
Average Monthly Loss:-2.85%-3.26%
Winning Months:9688
Losing Months:3341
Current DD:12.4120.00
Max DD:12.6520.00
Sharpe Ratio (RF 1%):1.03
Annualized Std Dev:10.53

Methodology

Discretionary:10%
Systematic:90%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Counter Trend:10%
Option Writing:30%
Trend Following:60%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20200.80-5.13-3.21-7.44
20193.993.741.433.08-6.776.851.53-6.990.21-1.740.523.168.34
20184.52-5.280.801.451.651.212.393.060.61-5.410.44-8.06-3.41
20171.382.480.440.55-0.080.611.820.581.631.822.441.1115.78
2016-10.44-0.053.700.572.281.792.770.320.84-0.870.180.681.03
2015-2.126.09-0.711.970.30-0.641.76-5.331.123.121.101.117.59
2014-3.714.891.911.782.571.87-1.435.300.42-1.652.17-0.8013.73
20134.030.591.942.371.47-0.764.93-1.434.432.991.092.2226.40
20122.804.433.890.98-0.613.900.381.161.911.791.46-0.1424.12
20111.432.792.762.410.05-2.53-2.34-3.912.825.71-0.40-0.318.36
20100.31-0.037.400.38-7.37-3.725.77-0.041.443.371.123.8012.20
20096.685.515.672.322.241.7726.63

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Enhanced S&P Program (ESP)
Trading Methodology

The Enhanced S&P Program (ESP) consists of a trend-following system along with a trend reversal system which are enhanced with a premium capture system.

Trend-Following System
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.

Use of Trend-Following Analysis
The trend following portion of the program may utilize sort-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 a trend-following strategy. One method of successful speculative commodity trading depends upon establishing a position and then maintaining the position while the market moves in a favorable direction. The trader then seeks to exit the particular market and may establish reverse positions when the initial trend either does not materialize or reverses. Trading will not typically be successful if the particular market is moving in an erratic and non-trending manner. Because of the nature of the commodities markets, there will be frequent false-trends. A pure trend-following trading system, method, strategy or model will never direct market entry or exit at the most favorable prices. Rather, this type of trading method seeks to close out losing positions and to hold portions of profitable positions for as long as the trader determines that the particular market trend continues to exist and liquidates when the trend reverses. As a result, the number of losing transactions can be expected to exceed the number of profitable transactions. However, if the approach is successful, these losses should be relatively smaller and should be more than offset by a few larger gains.

Use of Stock Index Options
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 order to efficiently 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. From time to time, options may also be rolled closer to the underlying futures price if the perceived risk/reward is favorable. Technical analysis, chart reading and pattern recognition are used to determine which options to write for each monthly cycle. Occasionally, options may be purchased to either hedge positions or speculate on substantial movement in the underlying stock index.

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

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, playing a key role in the continued success of the program.

Kelly Farrell's 30 years of investment experience began 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.