Dragonfly EMN Performance
“Opportunities don’t happen. You create them.”
~Chris Grosser
Dragonfly EMN vs HFRXEMN
| Dragonfly EMN | HFRXEMN | S&P500 | |
|---|---|---|---|
| Annualized Return | 12.95 | 0.36 | 7.62 |
| Standard Deviation (monthly) | 3.68 | 1.13 | 4.42 |
| Sharpe ratio (excluding risk free rate) | 1.02 | -0.37 | 0.44 |
| High Month | 10.33 | 2.92 | 12.81 |
| Low Month | -8.09 | -5.93 | -16.79 |
| % of Winning Months | 80.76 | 55.68 | 64.84 |
| Maximum Drawdown | 9.98 | 20.10 | 50.92 |
Dragonfly EMN monthly returns vs HFRXEMN
| Year | January | February | March | April | May | June | July | August | September | October | November | December | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2017 | Dragonfly EMN | – | – | – | 0.26% | 0.04% | -4.73% | 4.87% | 2.18% | 0.15% | 10.33% | -1.37% | -1.61% | 10.12% |
| HFRXEMN | 0.75% | 0.01% | 0.74% | 0.12% | -1.50% | 0.60% | 0.51% | 0.91% | 0.63% | -0.34% | 0.04% | -0.72% | 1.73% | |
| 2018 | Dragonfly EMN | 8.62% | 6.57% | -0.99% | 1.99% | 1.06% | -1.18% | -1.45% | 2.15% | -2.60% | -6.00% | -1.16% | 1.13% | 8.14% |
| HFRXEMN | 1.19% | -0.30% | -0.16% | -0.07% | 0.14% | -0.61% | -0.15% | 0.29% | -0.83% | -0.72% | -1.54% | -0.43% | -3.16% | |
| 2019 | Dragonfly EMN | 4.79% | 2.80% | -0.03% | -1.10% | -1.62% | 1.18% | -2.19% | 1.54% | -2.43% | 4.41% | 2.60% | -0.18% | 9.77% |
| HFRXEMN | 0.13% | -1.43% | 0.75% | -0.50% | -0.15% | 0.15% | -0.71% | -0.12% | 1.65% | 0.54% | -0.32% | -0.82% | -1.87% | |
| 2020 | Dragonfly EMN | 5.91% | 1.66% | 4.28% | -8.09% | 4.00% | 5.85% | 1.54% | – | – | – | – | – | 15,15% |
| HFRXEMN | -1.54% | -0.45% | -5.93% | -0.91% | 2.01% | 1.92% | -1.77% | 0.66% | -0.83% | 0.54% | 2.30% | 0.28% | -3.92% | |
Disclaimer: Dragonfly monthly returns shown are the returns of a carve out, sub-portfolio of Eveliktos Fund
Calendar Year Returns (%)
| 2017 | 2018 | 2019 | 2020 | Cumulative Returns 2017-2020 | |
|---|---|---|---|---|---|
| Dragonfly EMN | 9,80* | 7.54 | 9.85 | 15.15 | 42.34 |
| HFRXEMN | 1.73 | -3.16 | -1.87 | -3.92 | -7.22 |
Disclaimer: Dragonfly returns as audited by PWC.
Market Comparables**
| Returns % | ||||
|---|---|---|---|---|
| 3M | 6M | 1YR | 3YR | |
| HFRXEMN | -1.94 | 1.03 | -7.42 | -4.31 |
| HFRX Global Hedge Fund Index | 2.74 | 9.10 | 4.23 | 1.48 |
| S&P 500 (with dividends) | 8.92 | 31.27 | 15.13 | 12.26 |
| MSCI Indices US$ World Index | 7.52 | 27.77 | 8.59 | 5.77 |
| CALAMOS Market Neutral Income (CVSIX)*** |
2.14 | 7.28 | 4.26 | 4.04 |
| JPMorgan Research Market Neutral (JMNAX)**** |
3.10 | 3.51 | 13.02 | 5.09 |
| 3-Month LIBOR USD | 1.03 | 0.16 | 1.06 | 1.88 |
| Barclays Capital Govt/Credit Bond Index | 0.81 | 4.70 | 8.36 | 6.10 |
| Intl Markets YTD Returns | Interest Rates | |||
|---|---|---|---|---|
| 10yr Govt bonds % ** | ||||
| in local currency | 28/10/2020 | YTD % | in local currency | |
| S&P 500 | 3271 | 1.20 | US | 0.80 |
| NASDAQ | 11005 | 22.60 | Japan | nil |
| NIKKEI 225 | 23418 | -1.00 | Euro area | -0.60 |
| FTSE 100 | 5582 | -26.00 | Germany | -0.60 |
| EURO STOXX 50 | 2963 | -20.90 | Switzerland | -0.50 |
| DAX | 11560 | -12.70 | Greece | 1.20 |
** as of 28/10/2020
*** CVSIX is listed as #1 in Market Neutral by U.S. News Rankings
**** JMNAX is listed #6 in Market Neutral and Highest Trailing Total Returns for 1-Year in Market Neutral by U.S. News Rankings
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