Diamond Capital Management LLC

Diamond Enhanced S&P Program


Monthly Performance (%)

Date Range: 09/09 - 07/18
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2018 4.52 -5.28 0.80 1.44 1.65 1.21 2.39   6.63 
2017 1.38 2.48 0.44 0.55 -0.08 0.60 1.81 0.57 1.61 1.82 2.44 1.11  15.72 
2016 -10.44 -0.05 3.70 0.57 2.28 1.79 2.77 0.32 0.82 -0.87 0.18 0.68  1.01 
2015 -2.12 6.11 -0.71 1.97 0.30 -0.64 1.76 -5.33 1.12 3.12 1.10 1.11  7.61 
2014 -3.71 4.89 1.91 1.78 2.57 1.86 -1.43 5.29 0.42 -1.65 2.17 -0.80  13.71 
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  26.40 
2012 2.80 4.43 3.89 0.98 -0.61 3.90 0.38 1.16 1.92 1.79 1.46 -0.14  24.13 
2011 1.43 2.79 2.76 2.41 0.05 -2.53 -2.34 -3.90 2.83 5.71 -0.40 -0.31  8.38 
2010 0.31 -0.03 7.40 0.38 -7.37 -3.72 5.77 -0.04 1.44 3.36 1.12 3.80  12.19 
2009 2.32 2.24 1.77  6.46 
Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The Enhanced S&P Program (ESP) consists of two basic trading components. The Trend-Following system utilizes a computerized technical trend-following strategy seeking to profit from sustained futures price trends. The Premium Capture system writes out-of-the-money covered and/or uncovered options to increase potential profits. Each month puts and calls will be written with the intent to capture the premiums either by purchasing the options back at a lower price or letting them expire. The Volatility Index (VIX) will be used to determine the number of options to sell and at what strike prices. Strict risk controls will be in place to limit the downside risks and achieve a desirable risk/reward ratio.

Performance Statistics

Date Range: 09/09 - 07/18
  Program S&P 500 Altegris 40 
Total Return 209.80% 232.41% 9.68% 
Annualized Return 13.66% 14.42% 1.04% 
Annualized Std. Deviation 9.10% 11.77% 8.81% 
Correlation 0.75 0.12 
Sharpe Ratio (rf=2.5%) 1.23 1.01 -0.17 
Worst Month -10.44% -7.99% -6.10% 
Date of Worst Month 01/2016 05/2010 02/2018 
Worst Drawdown -10.82% -16.26% -15.74% 
Date of Worst Drawdown 4/10 - 6/10 4/11 - 9/11 4/11 - 9/13 
Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 09/09 - 07/18

Year or YTD Program S&P 500 Altegris 40 
2018 6.63 6.47 -3.11 
2017 15.72 21.84 1.24 
2016 1.01 11.98 -3.23 
2015 7.61 1.41 0.09 
2014 13.71 13.69 15.75 
2013 26.40 32.41 -2.45 
2012 24.13 15.98 -4.75 
2011 8.38 2.12 -3.23 
2010 12.19 15.06 11.33 
2009 6.46 6.04 -2.69 
Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 09/09 - 07/18
Date: 7/31/2018
Perf: $1,071.32 Date: 6/30/2018
Perf: $1,079.41 Date: 5/31/2018
Perf: $1,070.42 Date: 4/30/2018
Perf: $1,084.41 Date: 3/31/2018
Perf: $1,072.82 Date: 2/28/2018
Perf: $1,073.79 Date: 1/31/2018
Perf: $1,143.54 Date: 12/31/2017
Perf: $1,105.73 Date: 11/30/2017
Perf: $1,093.81 Date: 10/31/2017
Perf: $1,092.39 Date: 9/30/2017
Perf: $1,048.46 Date: 8/31/2017
Perf: $1,071.06 Date: 7/31/2017
Perf: $1,053.57 Date: 6/30/2017
Perf: $1,049.47 Date: 5/31/2017
Perf: $1,081.04 Date: 4/30/2017
Perf: $1,078.99 Date: 3/31/2017
Perf: $1,085.50 Date: 2/28/2017
Perf: $1,101.59 Date: 1/31/2017
Perf: $1,078.08 Date: 12/31/2016
Perf: $1,092.17 Date: 11/30/2016
Perf: $1,083.93 Date: 10/31/2016
Perf: $1,097.10 Date: 9/30/2016
Perf: $1,126.15 Date: 8/31/2016
Perf: $1,140.87 Date: 7/31/2016
Perf: $1,172.41 Date: 6/30/2016
Perf: $1,160.57 Date: 5/31/2016
Perf: $1,113.26 Date: 4/30/2016
Perf: $1,133.09 Date: 3/31/2016
Perf: $1,162.26 Date: 2/29/2016
Perf: $1,196.60 Date: 1/31/2016
Perf: $1,167.87 Date: 12/31/2015
Perf: $1,128.60 Date: 11/30/2015
Perf: $1,155.17 Date: 10/31/2015
Perf: $1,117.07 Date: 9/30/2015
Perf: $1,136.86 Date: 8/31/2015
Perf: $1,112.71 Date: 7/31/2015
Perf: $1,132.30 Date: 6/30/2015
Perf: $1,089.69 Date: 5/31/2015
Perf: $1,149.46 Date: 4/30/2015
Perf: $1,157.80 Date: 3/31/2015
Perf: $1,204.28 Date: 2/28/2015
Perf: $1,178.25 Date: 1/31/2015
Perf: $1,180.13 Date: 12/31/2014
Perf: $1,127.59 Date: 11/30/2014
Perf: $1,108.09 Date: 10/31/2014
Perf: $1,045.86 Date: 9/30/2014
Perf: $1,030.71 Date: 8/31/2014
Perf: $1,015.57 Date: 7/31/2014
Perf: $974.36 Date: 6/30/2014
Perf: $982.22 Date: 5/31/2014
Perf: $973.84 Date: 4/30/2014
Perf: $949.53 Date: 3/31/2014
Perf: $942.37 Date: 2/28/2014
Perf: $956.53 Date: 1/31/2014
Perf: $948.75 Date: 12/31/2013
Perf: $974.17 Date: 11/30/2013
Perf: $975.54 Date: 10/31/2013
Perf: $958.20 Date: 9/30/2013
Perf: $936.75 Date: 8/31/2013
Perf: $942.40 Date: 7/31/2013
Perf: $960.85 Date: 6/30/2013
Perf: $969.28 Date: 5/31/2013
Perf: $1,007.46 Date: 4/30/2013
Perf: $1,052.73 Date: 3/31/2013
Perf: $1,026.25 Date: 2/28/2013
Perf: $1,011.69 Date: 1/31/2013
Perf: $1,017.59 Date: 12/31/2012
Perf: $998.61 Date: 11/30/2012
Perf: $993.74 Date: 10/31/2012
Perf: $990.97 Date: 9/30/2012
Perf: $1,028.19 Date: 8/31/2012
Perf: $1,045.44 Date: 7/31/2012
Perf: $1,059.85 Date: 6/30/2012
Perf: $1,018.21 Date: 5/31/2012
Perf: $1,057.99 Date: 4/30/2012
Perf: $1,038.26 Date: 3/31/2012
Perf: $1,032.07 Date: 2/29/2012
Perf: $1,056.04 Date: 1/31/2012
Perf: $1,051.73 Date: 12/31/2011
Perf: $1,048.38 Date: 11/30/2011
Perf: $1,038.41 Date: 10/31/2011
Perf: $1,035.30 Date: 9/30/2011
Perf: $1,077.99 Date: 8/31/2011
Perf: $1,078.64 Date: 7/31/2011
Perf: $1,080.80 Date: 6/30/2011
Perf: $1,043.34 Date: 5/31/2011
Perf: $1,071.19 Date: 4/30/2011
Perf: $1,111.77 Date: 3/31/2011
Perf: $1,070.04 Date: 2/28/2011
Perf: $1,086.67 Date: 1/31/2011
Perf: $1,068.50 Date: 12/31/2010
Perf: $1,083.34 Date: 11/30/2010
Perf: $1,038.78 Date: 10/31/2010
Perf: $1,076.90 Date: 9/30/2010
Perf: $1,036.68 Date: 8/31/2010
Perf: $1,018.15 Date: 7/31/2010
Perf: $977.67 Date: 6/30/2010
Perf: $990.45 Date: 5/31/2010
Perf: $986.70 Date: 4/30/2010
Perf: $1,011.17 Date: 3/31/2010
Perf: $995.84 Date: 2/28/2010
Perf: $957.81 Date: 1/31/2010
Perf: $948.89 Date: 12/31/2009
Perf: $973.12 Date: 11/30/2009
Perf: $1,013.67 Date: 10/31/2009
Perf: $974.40 Date: 9/30/2009
Perf: $1,000.00 Date: 7/31/2018
Perf: $3,204.53 Date: 6/30/2018
Perf: $3,089.59 Date: 5/31/2018
Perf: $3,070.56 Date: 4/30/2018
Perf: $2,998.30 Date: 3/31/2018
Perf: $2,986.95 Date: 2/28/2018
Perf: $3,064.79 Date: 1/31/2018
Perf: $3,182.22 Date: 12/31/2017
Perf: $3,009.76 Date: 11/30/2017
Perf: $2,976.72 Date: 10/31/2017
Perf: $2,888.05 Date: 9/30/2017
Perf: $2,822.29 Date: 8/31/2017
Perf: $2,765.33 Date: 7/31/2017
Perf: $2,756.78 Date: 6/30/2017
Perf: $2,701.14 Date: 5/31/2017
Perf: $2,684.49 Date: 4/30/2017
Perf: $2,647.17 Date: 3/31/2017
Perf: $2,620.18 Date: 2/28/2017
Perf: $2,617.04 Date: 1/31/2017
Perf: $2,517.11 Date: 12/31/2016
Perf: $2,470.18 Date: 11/30/2016
Perf: $2,422.22 Date: 10/31/2016
Perf: $2,335.79 Date: 9/30/2016
Perf: $2,379.09 Date: 8/31/2016
Perf: $2,378.62 Date: 7/31/2016
Perf: $2,375.29 Date: 6/30/2016
Perf: $2,290.76 Date: 5/31/2016
Perf: $2,284.82 Date: 4/30/2016
Perf: $2,244.42 Date: 3/31/2016
Perf: $2,235.70 Date: 2/29/2016
Perf: $2,093.75 Date: 1/31/2016
Perf: $2,096.47 Date: 12/31/2015
Perf: $2,205.88 Date: 11/30/2015
Perf: $2,241.30 Date: 10/31/2015
Perf: $2,234.59 Date: 9/30/2015
Perf: $2,060.67 Date: 8/31/2015
Perf: $2,112.86 Date: 7/31/2015
Perf: $2,248.44 Date: 6/30/2015
Perf: $2,202.19 Date: 5/31/2015
Perf: $2,245.76 Date: 4/30/2015
Perf: $2,217.16 Date: 3/31/2015
Perf: $2,196.08 Date: 2/28/2015
Perf: $2,231.33 Date: 1/31/2015
Perf: $2,110.01 Date: 12/31/2014
Perf: $2,175.27 Date: 11/30/2014
Perf: $2,180.72 Date: 10/31/2014
Perf: $2,123.59 Date: 9/30/2014
Perf: $2,073.01 Date: 8/31/2014
Perf: $2,102.45 Date: 7/31/2014
Perf: $2,021.58 Date: 6/30/2014
Perf: $2,049.87 Date: 5/31/2014
Perf: $2,008.30 Date: 4/30/2014
Perf: $1,962.19 Date: 3/31/2014
Perf: $1,947.77 Date: 2/28/2014
Perf: $1,931.55 Date: 1/31/2014
Perf: $1,847.14 Date: 12/31/2013
Perf: $1,913.34 Date: 11/30/2013
Perf: $1,866.12 Date: 10/31/2013
Perf: $1,810.89 Date: 9/30/2013
Perf: $1,731.25 Date: 8/31/2013
Perf: $1,678.55 Date: 7/31/2013
Perf: $1,728.68 Date: 6/30/2013
Perf: $1,644.95 Date: 5/31/2013
Perf: $1,667.29 Date: 4/30/2013
Perf: $1,629.17 Date: 3/31/2013
Perf: $1,598.32 Date: 2/28/2013
Perf: $1,540.55 Date: 1/31/2013
Perf: $1,519.88 Date: 12/31/2012
Perf: $1,445.03 Date: 11/30/2012
Perf: $1,432.00 Date: 10/31/2012
Perf: $1,423.74 Date: 9/30/2012
Perf: $1,450.58 Date: 8/31/2012
Perf: $1,414.09 Date: 7/31/2012
Perf: $1,382.98 Date: 6/30/2012
Perf: $1,364.02 Date: 5/31/2012
Perf: $1,310.04 Date: 4/30/2012
Perf: $1,393.81 Date: 3/31/2012
Perf: $1,402.65 Date: 2/29/2012
Perf: $1,357.97 Date: 1/31/2012
Perf: $1,301.73 Date: 12/31/2011
Perf: $1,245.92 Date: 11/30/2011
Perf: $1,233.34 Date: 10/31/2011
Perf: $1,236.06 Date: 9/30/2011
Perf: $1,114.27 Date: 8/31/2011
Perf: $1,198.52 Date: 7/31/2011
Perf: $1,267.34 Date: 6/30/2011
Perf: $1,293.60 Date: 5/31/2011
Perf: $1,315.57 Date: 4/30/2011
Perf: $1,330.61 Date: 3/31/2011
Perf: $1,292.35 Date: 2/28/2011
Perf: $1,291.84 Date: 1/31/2011
Perf: $1,249.00 Date: 12/31/2010
Perf: $1,220.08 Date: 11/30/2010
Perf: $1,143.68 Date: 10/31/2010
Perf: $1,143.57 Date: 9/30/2010
Perf: $1,101.60 Date: 8/31/2010
Perf: $1,011.38 Date: 7/31/2010
Perf: $1,059.15 Date: 6/30/2010
Perf: $989.77 Date: 5/31/2010
Perf: $1,044.39 Date: 4/30/2010
Perf: $1,135.08 Date: 3/31/2010
Perf: $1,117.43 Date: 2/28/2010
Perf: $1,053.88 Date: 1/31/2010
Perf: $1,022.19 Date: 12/31/2009
Perf: $1,060.36 Date: 11/30/2009
Perf: $1,040.28 Date: 10/31/2009
Perf: $981.40 Date: 9/30/2009
Perf: $1,000.00 Date: 7/31/2018
Perf: $3,098.00 Date: 6/30/2018
Perf: $3,025.69 Date: 5/31/2018
Perf: $2,989.52 Date: 4/30/2018
Perf: $2,940.99 Date: 3/31/2018
Perf: $2,899.24 Date: 2/28/2018
Perf: $2,876.23 Date: 1/31/2018
Perf: $3,036.56 Date: 12/31/2017
Perf: $2,905.24 Date: 11/30/2017
Perf: $2,873.35 Date: 10/31/2017
Perf: $2,804.91 Date: 9/30/2017
Perf: $2,754.77 Date: 8/31/2017
Perf: $2,711.12 Date: 7/31/2017
Perf: $2,695.76 Date: 6/30/2017
Perf: $2,647.83 Date: 5/31/2017
Perf: $2,632.04 Date: 4/30/2017
Perf: $2,634.15 Date: 3/31/2017
Perf: $2,619.74 Date: 2/28/2017
Perf: $2,608.26 Date: 1/31/2017
Perf: $2,545.14 Date: 12/31/2016
Perf: $2,510.50 Date: 11/30/2016
Perf: $2,493.54 Date: 10/31/2016
Perf: $2,489.06 Date: 9/30/2016
Perf: $2,510.91 Date: 8/31/2016
Perf: $2,490.49 Date: 7/31/2016
Perf: $2,482.54 Date: 6/30/2016
Perf: $2,415.63 Date: 5/31/2016
Perf: $2,373.15 Date: 4/30/2016
Perf: $2,320.25 Date: 3/31/2016
Perf: $2,307.10 Date: 2/29/2016
Perf: $2,224.78 Date: 1/31/2016
Perf: $2,225.89 Date: 12/31/2015
Perf: $2,485.36 Date: 11/30/2015
Perf: $2,458.08 Date: 10/31/2015
Perf: $2,431.34 Date: 9/30/2015
Perf: $2,357.77 Date: 8/31/2015
Perf: $2,331.66 Date: 7/31/2015
Perf: $2,462.93 Date: 6/30/2015
Perf: $2,420.33 Date: 5/31/2015
Perf: $2,435.92 Date: 4/30/2015
Perf: $2,428.64 Date: 3/31/2015
Perf: $2,381.72 Date: 2/28/2015
Perf: $2,398.75 Date: 1/31/2015
Perf: $2,260.63 Date: 12/31/2014
Perf: $2,309.59 Date: 11/30/2014
Perf: $2,328.21 Date: 10/31/2014
Perf: $2,278.77 Date: 9/30/2014
Perf: $2,317.00 Date: 8/31/2014
Perf: $2,307.31 Date: 7/31/2014
Perf: $2,191.38 Date: 6/30/2014
Perf: $2,223.17 Date: 5/31/2014
Perf: $2,182.58 Date: 4/30/2014
Perf: $2,127.89 Date: 3/31/2014
Perf: $2,090.68 Date: 2/28/2014
Perf: $2,051.49 Date: 1/31/2014
Perf: $1,955.85 Date: 12/31/2013
Perf: $2,031.21 Date: 11/30/2013
Perf: $1,987.10 Date: 10/31/2013
Perf: $1,965.67 Date: 9/30/2013
Perf: $1,908.60 Date: 8/31/2013
Perf: $1,827.64 Date: 7/31/2013
Perf: $1,854.15 Date: 6/30/2013
Perf: $1,767.04 Date: 5/31/2013
Perf: $1,780.57 Date: 4/30/2013
Perf: $1,754.77 Date: 3/31/2013
Perf: $1,714.15 Date: 2/28/2013
Perf: $1,681.53 Date: 1/31/2013
Perf: $1,671.67 Date: 12/31/2012
Perf: $1,606.91 Date: 11/30/2012
Perf: $1,609.16 Date: 10/31/2012
Perf: $1,586.00 Date: 9/30/2012
Perf: $1,558.11 Date: 8/31/2012
Perf: $1,528.76 Date: 7/31/2012
Perf: $1,511.23 Date: 6/30/2012
Perf: $1,505.51 Date: 5/31/2012
Perf: $1,449.00 Date: 4/30/2012
Perf: $1,457.89 Date: 3/31/2012
Perf: $1,443.74 Date: 2/29/2012
Perf: $1,389.68 Date: 1/31/2012
Perf: $1,330.73 Date: 12/31/2011
Perf: $1,294.49 Date: 11/30/2011
Perf: $1,298.51 Date: 10/31/2011
Perf: $1,303.73 Date: 9/30/2011
Perf: $1,233.31 Date: 8/31/2011
Perf: $1,199.36 Date: 7/31/2011
Perf: $1,248.04 Date: 6/30/2011
Perf: $1,277.94 Date: 5/31/2011
Perf: $1,311.11 Date: 4/30/2011
Perf: $1,310.46 Date: 3/31/2011
Perf: $1,279.62 Date: 2/28/2011
Perf: $1,245.25 Date: 1/31/2011
Perf: $1,211.45 Date: 12/31/2010
Perf: $1,194.37 Date: 11/30/2010
Perf: $1,150.65 Date: 10/31/2010
Perf: $1,137.90 Date: 9/30/2010
Perf: $1,100.91 Date: 8/31/2010
Perf: $1,085.28 Date: 7/31/2010
Perf: $1,085.72 Date: 6/30/2010
Perf: $1,026.49 Date: 5/31/2010
Perf: $1,066.15 Date: 4/30/2010
Perf: $1,150.98 Date: 3/31/2010
Perf: $1,146.62 Date: 2/28/2010
Perf: $1,067.62 Date: 1/31/2010
Perf: $1,067.94 Date: 12/31/2009
Perf: $1,064.64 Date: 11/30/2009
Perf: $1,046.12 Date: 10/31/2009
Perf: $1,023.20 Date: 9/30/2009
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns

Date Range: 09/09 - 07/18
Date: 7/31/2018
Return: 2.39 % Date: 6/30/2018
Return: 1.21 % Date: 5/31/2018
Return: 1.65 % Date: 4/30/2018
Return: 1.44 % Date: 3/31/2018
Return: 0.80 % Date: 2/28/2018
Return: -5.28 % Date: 1/31/2018
Return: 4.52 % Date: 12/31/2017
Return: 1.11 % Date: 11/30/2017
Return: 2.44 % Date: 10/31/2017
Return: 1.82 % Date: 9/30/2017
Return: 1.61 % Date: 8/31/2017
Return: 0.57 % Date: 7/31/2017
Return: 1.81 % Date: 6/30/2017
Return: 0.60 % Date: 5/31/2017
Return: -0.08 % Date: 4/30/2017
Return: 0.55 % Date: 3/31/2017
Return: 0.44 % Date: 2/28/2017
Return: 2.48 % Date: 1/31/2017
Return: 1.38 % Date: 12/31/2016
Return: 0.68 % Date: 11/30/2016
Return: 0.18 % Date: 10/31/2016
Return: -0.87 % Date: 9/30/2016
Return: 0.82 % Date: 8/31/2016
Return: 0.32 % Date: 7/31/2016
Return: 2.77 % Date: 6/30/2016
Return: 1.79 % Date: 5/31/2016
Return: 2.28 % Date: 4/30/2016
Return: 0.57 % Date: 3/31/2016
Return: 3.70 % Date: 2/29/2016
Return: -0.05 % Date: 1/31/2016
Return: -10.44 % Date: 12/31/2015
Return: 1.11 % Date: 11/30/2015
Return: 1.10 % Date: 10/31/2015
Return: 3.12 % Date: 9/30/2015
Return: 1.12 % Date: 8/31/2015
Return: -5.33 % Date: 7/31/2015
Return: 1.76 % Date: 6/30/2015
Return: -0.64 % Date: 5/31/2015
Return: 0.30 % Date: 4/30/2015
Return: 1.97 % Date: 3/31/2015
Return: -0.71 % Date: 2/28/2015
Return: 6.11 % Date: 1/31/2015
Return: -2.12 % Date: 12/31/2014
Return: -0.80 % Date: 11/30/2014
Return: 2.17 % Date: 10/31/2014
Return: -1.65 % Date: 9/30/2014
Return: 0.42 % Date: 8/31/2014
Return: 5.29 % Date: 7/31/2014
Return: -1.43 % Date: 6/30/2014
Return: 1.86 % Date: 5/31/2014
Return: 2.57 % Date: 4/30/2014
Return: 1.78 % Date: 3/31/2014
Return: 1.91 % Date: 2/28/2014
Return: 4.89 % Date: 1/31/2014
Return: -3.71 % Date: 12/31/2013
Return: 2.22 % Date: 11/30/2013
Return: 1.09 % Date: 10/31/2013
Return: 2.99 % Date: 9/30/2013
Return: 4.43 % Date: 8/31/2013
Return: -1.43 % Date: 7/31/2013
Return: 4.93 % Date: 6/30/2013
Return: -0.76 % Date: 5/31/2013
Return: 1.47 % Date: 4/30/2013
Return: 2.37 % Date: 3/31/2013
Return: 1.94 % Date: 2/28/2013
Return: 0.59 % Date: 1/31/2013
Return: 4.03 % Date: 12/31/2012
Return: -0.14 % Date: 11/30/2012
Return: 1.46 % Date: 10/31/2012
Return: 1.79 % Date: 9/30/2012
Return: 1.92 % Date: 8/31/2012
Return: 1.16 % Date: 7/31/2012
Return: 0.38 % Date: 6/30/2012
Return: 3.90 % Date: 5/31/2012
Return: -0.61 % Date: 4/30/2012
Return: 0.98 % Date: 3/31/2012
Return: 3.89 % Date: 2/29/2012
Return: 4.43 % Date: 1/31/2012
Return: 2.80 % Date: 12/31/2011
Return: -0.31 % Date: 11/30/2011
Return: -0.40 % Date: 10/31/2011
Return: 5.71 % Date: 9/30/2011
Return: 2.83 % Date: 8/31/2011
Return: -3.90 % Date: 7/31/2011
Return: -2.34 % Date: 6/30/2011
Return: -2.53 % Date: 5/31/2011
Return: 0.05 % Date: 4/30/2011
Return: 2.41 % Date: 3/31/2011
Return: 2.76 % Date: 2/28/2011
Return: 2.79 % Date: 1/31/2011
Return: 1.43 % Date: 12/31/2010
Return: 3.80 % Date: 11/30/2010
Return: 1.12 % Date: 10/31/2010
Return: 3.36 % Date: 9/30/2010
Return: 1.44 % Date: 8/31/2010
Return: -0.04 % Date: 7/31/2010
Return: 5.77 % Date: 6/30/2010
Return: -3.72 % Date: 5/31/2010
Return: -7.37 % Date: 4/30/2010
Return: 0.38 % Date: 3/31/2010
Return: 7.40 % Date: 2/28/2010
Return: -0.03 % Date: 1/31/2010
Return: 0.31 % Date: 12/31/2009
Return: 1.77 % Date: 11/30/2009
Return: 2.24 % Date: 10/31/2009
Return: 2.32 % Date: 9/30/2009
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 09/09 - 07/18
Return: -10.00 %
Count: 1 Return: -5.00 %
Count: 2 Return: 5.00 %
Count: 4 Return: -1.00 %
Count: 8 Return: -2.00 %
Count: 3 Return: -3.00 %
Count: 1 Return: 4.00 %
Count: 7 Return: 3.00 %
Count: 9 Return: 1.00 %
Count: 23 Return: 6.00 %
Count: 3 Return: -4.00 %
Count: 3 Return: -7.00 %
Count: 1 Return: 7.00 %
Count: 1 Return: 2.00 %
Count: 24 Return: 0.00 %
Count: 17
Note: All performance data is since program inception.

Underwater Curve

Date Range: 09/09 - 07/18
Date: 7/31/2018
Drawdown: 0.00 % Date: 6/30/2018
Drawdown: -0.36 % Date: 5/31/2018
Drawdown: -1.55 % Date: 4/30/2018
Drawdown: -3.15 % Date: 3/31/2018
Drawdown: -4.52 % Date: 2/28/2018
Drawdown: -5.28 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: 0.00 % Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: 0.00 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: 0.00 % Date: 5/31/2017
Drawdown: -0.08 % Date: 4/30/2017
Drawdown: 0.00 % Date: 3/31/2017
Drawdown: 0.00 % Date: 2/28/2017
Drawdown: 0.00 % Date: 1/31/2017
Drawdown: 0.00 % Date: 12/31/2016
Drawdown: -0.02 % Date: 11/30/2016
Drawdown: -0.69 % Date: 10/31/2016
Drawdown: -0.87 % Date: 9/30/2016
Drawdown: 0.00 % Date: 8/31/2016
Drawdown: 0.00 % Date: 7/31/2016
Drawdown: -0.11 % Date: 6/30/2016
Drawdown: -2.81 % Date: 5/31/2016
Drawdown: -4.52 % Date: 4/30/2016
Drawdown: -6.64 % Date: 3/31/2016
Drawdown: -7.17 % Date: 2/29/2016
Drawdown: -10.48 % Date: 1/31/2016
Drawdown: -10.44 % Date: 12/31/2015
Drawdown: 0.00 % Date: 11/30/2015
Drawdown: -0.20 % Date: 10/31/2015
Drawdown: -1.28 % Date: 9/30/2015
Drawdown: -4.27 % Date: 8/31/2015
Drawdown: -5.33 % Date: 7/31/2015
Drawdown: 0.00 % Date: 6/30/2015
Drawdown: -0.64 % Date: 5/31/2015
Drawdown: 0.00 % Date: 4/30/2015
Drawdown: 0.00 % Date: 3/31/2015
Drawdown: -0.71 % Date: 2/28/2015
Drawdown: 0.00 % Date: 1/31/2015
Drawdown: -2.90 % Date: 12/31/2014
Drawdown: -0.80 % Date: 11/30/2014
Drawdown: 0.00 % Date: 10/31/2014
Drawdown: -1.65 % Date: 9/30/2014
Drawdown: 0.00 % Date: 8/31/2014
Drawdown: 0.00 % Date: 7/31/2014
Drawdown: -1.43 % Date: 6/30/2014
Drawdown: 0.00 % Date: 5/31/2014
Drawdown: 0.00 % Date: 4/30/2014
Drawdown: 0.00 % Date: 3/31/2014
Drawdown: 0.00 % Date: 2/28/2014
Drawdown: 0.00 % Date: 1/31/2014
Drawdown: -3.71 % Date: 12/31/2013
Drawdown: 0.00 % Date: 11/30/2013
Drawdown: 0.00 % Date: 10/31/2013
Drawdown: 0.00 % Date: 9/30/2013
Drawdown: 0.00 % Date: 8/31/2013
Drawdown: -1.43 % Date: 7/31/2013
Drawdown: 0.00 % Date: 6/30/2013
Drawdown: -0.76 % Date: 5/31/2013
Drawdown: 0.00 % Date: 4/30/2013
Drawdown: 0.00 % Date: 3/31/2013
Drawdown: 0.00 % Date: 2/28/2013
Drawdown: 0.00 % Date: 1/31/2013
Drawdown: 0.00 % Date: 12/31/2012
Drawdown: -0.14 % Date: 11/30/2012
Drawdown: 0.00 % Date: 10/31/2012
Drawdown: 0.00 % Date: 9/30/2012
Drawdown: 0.00 % Date: 8/31/2012
Drawdown: 0.00 % Date: 7/31/2012
Drawdown: 0.00 % Date: 6/30/2012
Drawdown: 0.00 % Date: 5/31/2012
Drawdown: -0.61 % Date: 4/30/2012
Drawdown: 0.00 % Date: 3/31/2012
Drawdown: 0.00 % Date: 2/29/2012
Drawdown: 0.00 % Date: 1/31/2012
Drawdown: 0.00 % Date: 12/31/2011
Drawdown: -1.27 % Date: 11/30/2011
Drawdown: -0.96 % Date: 10/31/2011
Drawdown: -0.56 % Date: 9/30/2011
Drawdown: -5.93 % Date: 8/31/2011
Drawdown: -8.52 % Date: 7/31/2011
Drawdown: -4.81 % Date: 6/30/2011
Drawdown: -2.53 % Date: 5/31/2011
Drawdown: 0.00 % Date: 4/30/2011
Drawdown: 0.00 % Date: 3/31/2011
Drawdown: 0.00 % Date: 2/28/2011
Drawdown: 0.00 % Date: 1/31/2011
Drawdown: 0.00 % Date: 12/31/2010
Drawdown: 0.00 % Date: 11/30/2010
Drawdown: -0.03 % Date: 10/31/2010
Drawdown: -1.14 % Date: 9/30/2010
Drawdown: -4.35 % Date: 8/31/2010
Drawdown: -5.71 % Date: 7/31/2010
Drawdown: -5.67 % Date: 6/30/2010
Drawdown: -10.82 % Date: 5/31/2010
Drawdown: -7.37 % Date: 4/30/2010
Drawdown: 0.00 % Date: 3/31/2010
Drawdown: 0.00 % Date: 2/28/2010
Drawdown: -0.03 % Date: 1/31/2010
Drawdown: 0.00 % Date: 12/31/2009
Drawdown: 0.00 % Date: 11/30/2009
Drawdown: 0.00 % Date: 10/31/2009
Drawdown: 0.00 %
Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:  Diamond Capital Management LLC
Address: W252N4915 Aberdeen Drive
City: Pewaukee
State: WI
Zip: 53072
Country: USA

Key People

Name:  M. Kelly Farrell
Position:  Principal
Biography: 

M. Kelly Farrell has over 19 years of investment experience. In 1987, she began her career with Prudential Bache Securities in Milwaukee, Wisconsin as a sales assistant. Ms. Farrell joined the Institutional Custody Department at Firstar Bank, N.A. in 1989, where she assumed a management position in 1992, supervising Institutional Custody Service Representatives who had the responsibilities of interfacing with over 200 Registered Investment Advisors. Ms. Farrell became the Trading Desk Manager and General Securities Principal for Firstar Investment Services in May of 1997, where she supervised Registered Representatives on both the fixed income institutional sales and trading desk, as well as the retail brokerage-trading desk. Ms. Farrell assumed the lead trading position as the Fixed Income Product Manager for Firstar Bank’s Fixed Income Department in February of 1998 and moved directly into institutional sales in January of 1999 where she remained until January 2001. During this time, from January of 2000 through December of 2000 Ms. Farrell also acted as a General Securities Principal for Quasar Distributors LLC (division of Firstar), in a consultative capacity, and to provide managerial and principal back up. In connection with her registration as a Registered Representative and General Securities Principal, Ms. Farrell passed the Series 7, Series 24 and Series 63 licensing examinations. In July 2001 Ms. Farrell passed the Series 3 and was registered as a NFA Associated Member. Ms. Farrell became registered as an Associated Person (“AP”) and became listed as a principal of the Lochlan Capital Management on August 10, 2001. In addition, Ms. Farrell became registered as AP and principal of R&S Investment Services L.L.C., a registered CPO, and Inlet Asset Management Inc, also a registered CPO, in August of 2001. Ms. Farrell remained a NFA Associated Member until January 2002 at which time she withdrew to form Diamond Capital Management. Ms. Farrell became registered as an Associated Person (“AP”) and became listed as a principal of Diamond Capital Management on November 12, 2002. Ms. Farrell has utilized the trading strategies described in this document for her own account since October 2001.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Mini-Futures Yes 
 Investment Methodology
 Technical Yes 
 Trend Following Yes 
 Systematic Yes 
 Mean-reversion Yes 
 Options Writing Yes 
 Instruments Traded
 Futures Yes 
 Listed Options Yes 
 Geographical Focus
 United States Yes 
 Holding Period
 Medium Term Yes 
 Short Term Yes 
 Investment Terms & Information
 Managed Account Minimum: $150,000 
 Margin / Equity Ratio: 28% 
 Managed Account Availability: Open