Altegris Clearing Solutions DeltaHedge DH NIX Alpha Program
Monthly Performance (%)
Date Range: 10/15 - 05/17
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2017 -0.51 -0.05 -0.31 -1.24 -0.83 -2.91
2016 -0.19 1.53 0.10 -1.26 -0.04 -0.04 -0.13 -0.05 -0.82 0.11 3.84 0.45 3.46
2015 0.99 -1.03 -0.05
Note: Estimates appear in italics. All performance data is since program inception.
Strategy Description

DH NIX Alpha Program is based upon a proprietary trading method of DeltaHedge and seeks to generate attractive absolute returns through investments in just one market: E-mini 5$ Dow Jones Industrial Average Futures at CME. The founding idea of the Program is to decline the diversification concept in Automatic Trading Systems portfolios, trading only on a single Futures with a multi-strategy approach. Designed as institutional version of DH Nix Program, with a customized Money Management algorithm.

Performance Statistics
Date Range: 10/15 - 05/17
  Program SP500 TR Altegris 40
Total Return 0.40% 30.27% -4.81%
Annualized Return 0.25% 17.20% -2.92%
Annualized Std. Deviation 3.91% 10.02% 7.75%
Correlation 0.20 0.21
Sharpe Ratio (rf=2.5%) -0.57 1.47 -0.70
Worst Month -1.26% -4.96% -2.87%
Date of Worst Month 04/2016 01/2016 03/2016
Worst Drawdown -2.91% -6.58% -9.81%
Date of Worst Drawdown 12/16 - 5/17 11/15 - 2/16 2/16 - 1/17
Note: Estimates appear in italics. All performance data is since program inception.
Annual Performance (%)
Date Range: 10/15 - 05/17
Year or YTD Program SP500 TR Altegris 40
2017 -2.91 8.68 -1.02
2016 3.46 11.98 -3.13
2015 -0.05 -1.28 1.03
Note: Estimates appear in italics. All performance data is since program inception.
Performance Comparison
Date Range: 10/15 - 05/17
Date: 5/31/2017
Perf: $968.72 Date: 4/30/2017
Perf: $966.88 Date: 3/31/2017
Perf: $972.72 Date: 2/28/2017
Perf: $987.13 Date: 1/31/2017
Perf: $966.07 Date: 12/31/2016
Perf: $978.70 Date: 11/30/2016
Perf: $971.32 Date: 10/31/2016
Perf: $982.12 Date: 9/30/2016
Perf: $1,008.13 Date: 8/31/2016
Perf: $1,021.30 Date: 7/31/2016
Perf: $1,049.54 Date: 6/30/2016
Perf: $1,038.94 Date: 5/31/2016
Perf: $996.58 Date: 4/30/2016
Perf: $1,014.33 Date: 3/31/2016
Perf: $1,040.45 Date: 2/29/2016
Perf: $1,071.19 Date: 1/31/2016
Perf: $1,045.47 Date: 12/31/2015
Perf: $1,010.32 Date: 11/30/2015
Perf: $1,034.10 Date: 10/31/2015
Perf: $1,000.00 Date: 5/31/2017
Perf: $1,201.33 Date: 4/30/2017
Perf: $1,184.63 Date: 3/31/2017
Perf: $1,172.55 Date: 2/28/2017
Perf: $1,171.15 Date: 1/31/2017
Perf: $1,126.43 Date: 12/31/2016
Perf: $1,105.43 Date: 11/30/2016
Perf: $1,083.96 Date: 10/31/2016
Perf: $1,045.29 Date: 9/30/2016
Perf: $1,064.66 Date: 8/31/2016
Perf: $1,064.45 Date: 7/31/2016
Perf: $1,062.96 Date: 6/30/2016
Perf: $1,025.14 Date: 5/31/2016
Perf: $1,022.48 Date: 4/30/2016
Perf: $1,004.40 Date: 3/31/2016
Perf: $1,000.50 Date: 2/29/2016
Perf: $936.97 Date: 1/31/2016
Perf: $938.19 Date: 12/31/2015
Perf: $987.15 Date: 11/30/2015
Perf: $1,003.00 Date: 10/31/2015
Perf: $1,000.00 Date: 5/31/2017
Perf: $1,004.01 Date: 4/30/2017
Perf: $1,012.42 Date: 3/31/2017
Perf: $1,025.13 Date: 2/28/2017
Perf: $1,028.32 Date: 1/31/2017
Perf: $1,028.83 Date: 12/31/2016
Perf: $1,034.10 Date: 11/30/2016
Perf: $1,029.47 Date: 10/31/2016
Perf: $991.40 Date: 9/30/2016
Perf: $990.31 Date: 8/31/2016
Perf: $998.50 Date: 7/31/2016
Perf: $999.00 Date: 6/30/2016
Perf: $1,000.30 Date: 5/31/2016
Perf: $1,000.70 Date: 4/30/2016
Perf: $1,001.10 Date: 3/31/2016
Perf: $1,013.88 Date: 2/29/2016
Perf: $1,012.86 Date: 1/31/2016
Perf: $997.60 Date: 12/31/2015
Perf: $999.50 Date: 11/30/2015
Perf: $1,009.90 Date: 10/31/2015
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns
Date Range: 10/15 - 05/17
Date: 5/31/2017
Return: -0.83 % Date: 4/30/2017
Return: -1.24 % Date: 3/31/2017
Return: -0.31 % Date: 2/28/2017
Return: -0.05 % Date: 1/31/2017
Return: -0.51 % Date: 12/31/2016
Return: 0.45 % Date: 11/30/2016
Return: 3.84 % Date: 10/31/2016
Return: 0.11 % Date: 9/30/2016
Return: -0.82 % Date: 8/31/2016
Return: -0.05 % Date: 7/31/2016
Return: -0.13 % Date: 6/30/2016
Return: -0.04 % Date: 5/31/2016
Return: -0.04 % Date: 4/30/2016
Return: -1.26 % Date: 3/31/2016
Return: 0.10 % Date: 2/29/2016
Return: 1.53 % Date: 1/31/2016
Return: -0.19 % Date: 12/31/2015
Return: -1.03 % Date: 11/30/2015
Return: 0.99 % Date: 10/31/2015
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns
Date Range: 10/15 - 05/17
Return: 4.00 %
Count: 1 Return: 2.00 %
Count: 1 Return: -1.00 %
Count: 6 Return: 1.00 %
Count: 1 Return: 0.00 %
Count: 11
Note: All performance data is since program inception.

Underwater Curve
Date Range: 10/15 - 05/17
Date: 5/31/2017
Drawdown: -2.91 % Date: 4/30/2017
Drawdown: -2.10 % Date: 3/31/2017
Drawdown: -0.87 % Date: 2/28/2017
Drawdown: -0.56 % Date: 1/31/2017
Drawdown: -0.51 % Date: 12/31/2016
Drawdown: 0.00 % Date: 11/30/2016
Drawdown: 0.00 % Date: 10/31/2016
Drawdown: -2.22 % Date: 9/30/2016
Drawdown: -2.32 % Date: 8/31/2016
Drawdown: -1.52 % Date: 7/31/2016
Drawdown: -1.47 % Date: 6/30/2016
Drawdown: -1.34 % Date: 5/31/2016
Drawdown: -1.30 % Date: 4/30/2016
Drawdown: -1.26 % Date: 3/31/2016
Drawdown: 0.00 % Date: 2/29/2016
Drawdown: 0.00 % Date: 1/31/2016
Drawdown: -1.22 % Date: 12/31/2015
Drawdown: -1.03 % Date: 11/30/2015
Drawdown: 0.00 %
Note: All performance data is since program inception.
Notes to Performance

Manager Information
Manager Name:  DeltaHedge
Address: Via del vescovado 21
City: Padova
State:
Zip: 35141
Country: Italy
Key People
Name:  Umberto Loschi
Position:  Principal
Biography: 

Head of Technical research and Managing Director - Umberto Loschi, graduated from Venice University with a degree in economics in July 2001. Mr. Loschi is actively conducting research in Artificial Intelligence and in its interactions with finance. The most recent publication of his research activity is “Hybrid Automatic Trading Systems: Technical Analysis & Group Method of Data Handling” published by Springer-Verlag. Upon graduation, Mr. Loschi was Head of Technical Research at T4T (an Italian CTA company) since 2001 to 2008. He was external advisor on several hedge funds and ucits funds before to fund with mr. Robert Baron DeltaHedge. He was also advisor for Veneto Agricoltura an Italian Government Agency for Agricultural Problems, columnist for Libero Mercato an Italian Economic daily newspaper. Visiting P at the Master CLAA for University of Parma and Officina finanziaria for Venice University, orator in several international hedge symposium. Mr. Loschi is a NFA associated member since June 2005, NFA ID NR. 0320770 since September 2002.


Name:  Robert Baron
Position:  Principal
Biography: 

Strategist and President – Charts analysis, forecasting and trading in financial markets with the support of self-made Trading Systems have always been his main interest for more than 20 years. In 1990 he founded, with his brother Giuseppe, Delta Forex, an advisory office skilled in foreign exchange, commodities and precious metals risk consulting. Since 1999 he has been Delta Forex Managing Director and Chief Analyst of the Research Department. He is one of the Italian maximum experts in Foreign Exchange Currency and domestic equity. He takes part to technical analysis diffusion thanks to seminaries and conferences all around Italy. He is often interviewed by financial press, such as Corriere Economia, Panorama Economy, Il Sole 24 Ore and financial portals such as www.trend-online.com Since 2000 he is invited by the main TV and Radio financial channels such as Class Financial Network CNBC, RadioRai, Radio Classica, SKY TV. Mr. Baron NFA ID 0439046 since 27 February 2012 – NFA Associated Member since October 2012.


Additional Information

The Program Performance information presented in this and other areas of the www.managedfutures.com website was prepared by Altegris Clearing Solutions, LLC, an affiliate within the Altegris Group of Companies, based upon information provided by each respective manager of commodity futures and foreign currency trading programs tracked by Altegris Clearing Solutions and its affiliates. The Program Performance information does not contain opinion or analysis of Altegris Clearing Solutions or any of its affiliates, and the completeness and accuracy of performance information reported to Altegris Clearing Solutions cannot in all cases be independently verified. See “Additional Information” at the end of this page for further details regarding the presentation of performance. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.