DDA Absolute Return Multi Strategy
The DDA Absolute Return Multi Strategy is designed to generate returns regardless of market direction.
Product details
| Data as of: | 31.01.2024 |
| Minimum Investment: | $100,000 |
| Liquidity | instant via API |
| Management Fees | 2% annually |
| Performance Fees | 20% with HWM |
| Structure | Separately Managed Accounts (SMAs) – DDA Alpha AG |
Performance Data (Back-tested)*
| Strategy Returns / Risk Indicators | Time | Strategy |
| Cumulative Returns | YTD | -2.15% |
| 3M | 2.64% | |
| 6M | 2.70% | |
| BTD | 648.08% | |
| Annualized Returns | 1Y | -3.84% |
| BTD | 48.57% | |
| Annualized Volatility | 1Y | 10.87% |
| BTD | 19.08% | |
| Sharpe Ratio | 1Y | -0.35 |
| BTD | 2.54 | |
| Maximum Drawdown | 1Y | -9.10% |
| BTD | -15.42% | |
| Winning Months | 1Y | 33.33% |
| BTD | 57.38% |
General Information
Summary
- Performance in up and down markets
- Significantly reducing drawdowns
- Constant 30% portfolio volatility target
- Delivering sustainable risk-adjusted returns
Investment Objective
The DDA Absolute Return Multi Strategy is designed to generate returns regardless of market direction. The investment objective is to capture both upside and downside moves while reducing volatility and drawdowns, therefore delivering sustainable risk- adjusted returns in bull and bear markets. The portfolio is built using many uncorrelated trading models enabling the strategy to adapt well in any market environment and provide steady performance over time. Strong risk management is implemented with a constant portfolio risk budget achieved via isoVol delta hedging and automated deleveraging to keep maximum drawdowns on track. The strategy has a very low correlation to traditional global Indices which makes it a useful hedge in a diversified portfolio.
Investment Strategy
The strategy employs an actively managed allocation across four families of proprietary trading algorithms, following an Equal Risk Contribution (ERC) methodology and bringing maximum portfolio diversification and decorrelation.
- Long-Term Trend Follow : Long Only models capturing market upsides over longer time horizons with a rather low latency and rebalancing frequency.
- Short-Term Trend Follow : Long/Short models capturing uptrends and downtrends with a short to medium-term exposure and higher portfolio turnover.
- Mean-Reverting : Trading models identifying market dislocations and temporary abnormal moves with a directional long/short exposure over shorter timeframes.
- Relative Value : Decorrelated market neutral models trading the convergence of spreads across autocorrelated trading pairs and spot/futures markets.
Performance Calendar (Back-tested)*
| Calendar | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 |
| Jan | 2.45% | 6.19% | 29.93% | -6.85% | 11.70% | -2.15% |
| Feb | 2.40% | 12.43% | 30.13% | 3.24% | -4.56% | |
| Mar | 3.25% | 7.80% | 2.11% | 0.70% | 0.96% | |
| Apr | 9.66% | 6.50% | 11.89% | -4.36% | -1.35% | |
| May | 23.99% | -0.70% | 16.81% | 6.97% | -2.36% | |
| Jun | 11.02% | -3.12% | -5.49% | -1.16% | 3.85% | |
| Jul | -1.34% | 11.58% | 3.58% | -0.47% | 2.87% | |
| Aug | -1.37% | 7.27% | 8.32% | -2.44% | 1.24% | |
| Sep | 1.57% | -2.90% | -0.16% | -1.72% | -0.69% | |
| Oct | 3.12% | 1.93% | 2.61% | 4.24% | 2.02% | |
| Nov | -4.84% | 16.34% | 0.48% | -6.58% | -0.05% | |
| Dec | -0.57% | 12.33% | -2.67% | -0.76% | 4.95% | |
| Year | 57.67% | 104.19% | 139.69% | -9.69% | 9.77% | -2.15% |
* Live Performance Results: The strategy was launched at DDA on 1st August 2022 with real AUM and has been trading live ever since on proprietary trading accounts and across the same trading venues used for our investors under separately managed accounts (SMAs). The performance figures shown are net of global execution costs based on our trading accounts’ investment results and are calculated net of 2% annual management fees (paid quarterly) and 20% performance fees (paid annually with HHM). These investment results are not audited nor verified by a third-party administrator.
DDA Absolute Return Multi Strategy Performance
The adjacent chart shows the investment performance of the minimum subscription amount of $100,000 into the strategy on a logarithmic scale. The returns presented herein for the period 1st January 2019 through 31th July 2022 represent back-tested performance and do not reflect trading in actual accounts. The strategy was launched at DDA on 1st August 2022 with real AUM and has been trading live ever since on proprietary trading accounts. The performance track shown uses daily points, calculated at 0h00 UTC net of all fees and global trading costs based on our trading accounts’ investment results. Please refer to the previous page for more details.
DDA Absolute Return Multi Strategy Drawdowns vs. Bitcoin
The adjacent chart shows the evolution of the strategy’s drawdowns over time since 1st January 2019, relative to Bitcoin. The chart clearly shows the strong emphasis of the strategy to preserve capital and significantly reduce drawdowns vs the underlying core market, while providing steady returns regardless of market direction. This risk management is achieved by calibrating the portfolio volatility to a constant target level and with an additional automated deleveraging process to keep Max DD targets on track. Drawdowns are calculated daily at 0h00 UTC and based on our trading accounts’ investment results, net of all fees as per above.
DDA Absolute Return Multi Strategy Metrics Comparison Dashboard
DDA Alpha AG is a subsidiary of Deutsche Digital Assets GmbH which is the holding company of a series of subsidiaries that issue and manage crypto asset investment vehicles and strategies. Collectively, Deutsche Digital Assets GmbH and its subsidiaries are branded as “Deutsche Digital Assets”. The Quantitative Solutions’ Team is the latest addition to the Group and brings trading technology expertise, specialized in quantitative strategies and execution with dedicated infrastructure for the cryptocurrency market. The team brings a wealth of experience from both traditional and crypto markets and will supervise the development of investable alpha-seeking strategies, while providing tailor-made solutions for institutional and qualified professional investors.
Crypto Market Risks
The crypto markets are extremely volatile and subject to additional investment risks relative to traditional investments including, but not limited to inherent technological risks in the blockchain, severe and sudden volatility and market manipulation. The strategy is designed as a long- term investment and investing in the strategy involves the risk that you may receive little or no return from your investment or that you may lose part of even all your investment. The strategy seeks to provide steady returns over time while reducing risks, therefore the strategy’s performance may over-or underperform the overall crypto asset market.