This looks like a flat line for me. I think as more Darwins are in such an index it needs a kind of leverage. Maybe running it at 5% VaR? 10% would be to much i guess
Edit: ok i just realised there have been ~ 5-6% month, so if so maybe 10% VaR would be good. But still its hard to build a good portfolio I think it 59 Darwins are to much by the way. I would never invest into so many different ones. Performance fees would eat all your earnings, even with the new Rebates i guess.