The aim of performance is to have a Sortino ratio above 2 over periods of time as well as down-side protection. The investment structure is designed to have right-skewed return distributions so positive returns outweigh negative returns to a substantial degree. As the combined strategies result in absolute returns we aim for steady deliverance of positive returns over time including a large allocation to down-side protection. Especially when investors are in extra need of positive return on their money, the portfolios overperform. In periods of turmoil and falling ordinary markets we tend to deliver extraordinarily good returns.
Below, performances are shown for two kinds of neutral portfolios. We do not show investor specific portfolios, here, as investor specific portfolios are for the investors, only. The equally weighted portfolios (the green lines) are portfolios with an equal capital allocation to traders.
The "fixed weights" (blue lines) is a portfolio with a large allocation to down-side protection. It is shown with one and two times exposure. Two times exposure is quite conservative. This portfolio could be interpreted as a "Strategic diversifying protection Strategy".
As margin requirements are low but can vary investors will often want to increase exposure beyond unity. A mandate of, say, USD 100m AUM may require USD 10m in cash deposit for margins. It would be natural to increase exposure to, say, 2X so exposure is USD 200m and cash for margin would be USD 20m, in this example. Be aware that margin calls can increase but as the mandate is USD 100m AUM there would be plenty of buffer in this example.
Cumulative Returns are after (net of) fees but before taxes. Taxes are local issues.
Time-to-Recovery is the time it takes to regain loses to a given prior level. Time-to-Recovery* is the number of month it takes to recover from worst draw-down. Max Time-to-Recovery is the maximum number of months there exist from a peak to regain the loses and come back up to the peak level.
The Standard deviations show the variation of the returns. It is important to allow for large gains but restrict the losses. Therefore the Standard deviation should be allowed to be large in periods where gains can be achieved, e.g. in years like 2008 and 2009.
The Down-side deviations show the variation in the negative returns. Only the negative returns are used for the variation measure. As there is a low proportion of months with negative returns some parts of the lines below are flat simply because there are no negative returns.
The Sharpe-ratio shows the realized returns compared to the risk measured as the standard deviation. The Sharpe-ratios vary a bit as the shown Sharp-ratios are based on fixed or equal weights in the portfolio construction. More smooth paths prevail when weights are variable.
The Sortino-ratio shows the realized returns compared to the risk measured of negative deviations, i.e. down-side deviation. As there is a low proportion of months with negative returns the positive returns, naturally, have the majority.
The correlations are shown below. Btop50 is an index of the 20 largest managers covering 50% of the market within the managed futures investment space.
Below, monthly returns for the DLTAS 2x fixed weights are shown. There is a large degree of option trading in this strategy
Below, monthly returns for the DLTAS 2x EQUAL weights are shown. There are different strategies equally weighted.