Rehn Capital Management LLC : ULTREND (Proprietary Account)
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Year-to-Date
9.93%
Apr 3.19%
|
Min. Investment
|
$ 50k
|
Inception
|
Jan 2010
|
Assets
|
$ 182k
|
|
Mgmt Fee
|
2.00%
|
Sharpe (RFR=1%)
|
0.23
|
Worst DD
|
-39.66
|
|
Perf Fee
|
20.00%
|
CAROR
|
3.15%
|
S&P Correlation
|
-0.11
|
Growth of 1,000 - VAMI
Monthly Performance
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | DD |
| 2013 | 8.09 | -4.11 | 2.78 | 3.19 | | | | | | | | | 9.93 | -4.11 |
| 2012 | -6.72 | -3.43 | -1.97 | 2.14 | 12.31 | -10.65 | 9.51 | -1.08 | -2.34 | -6.40 | -0.86 | -3.30 | -14.08 | -15.18 |
| 2011 | 4.65 | 8.64 | -6.79 | -0.87 | -12.79 | -15.48 | -2.53 | 7.72 | 13.50 | -18.30 | 5.24 | 0.63 | -20.16 | -33.69 |
| 2010 | -4.43 | -3.40 | 6.20 | -14.31 | 6.90 | 5.89 | -16.18 | 10.05 | 21.27 | 29.37 | -10.81 | 19.81 | 47.07 | -20.29 |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS
IN TRADING COMMODITY FUTURES, OPTIONS, AND FOREIGN EXCHANGE ("FOREX") IS SUBSTANTIAL.
Period Returns
|
|
Apr
|
Qtr
|
YTD
|
1yr
|
3yr
|
5yr
|
10yr
|
Since
1/2010
|
|
ULTREND (Proprietary Account)
|
3.19
|
1.70
|
9.93
|
4.72
|
32.01
|
-
|
-
|
10.90
|
|
S&P 500
|
1.81
|
6.64
|
12.02
|
14.28
|
34.60
|
-
|
-
|
46.10
|
|
+/- S&P 500
|
1.38
|
-4.94
|
-2.09
|
-9.56
|
-2.60
|
-
|
-
|
-35.20
|
Strategy Description
Summary
ULTREND is a privately offered, high return targeting investment program.
ULTREND's target and best performing markets are those which are experiencing long term directional price breakouts. Such market moves may be considered unexpected or exceptional...
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Strategy Description
Summary
ULTREND is a privately offered, high return targeting investment program.
ULTREND's target and best performing markets are those which are experiencing long term directional price breakouts. Such market moves may be considered unexpected or exceptional by the wider investing public primarily viewing the shorter term, but the manager believes that such higher volatility moves are to be expected over longer cycles and offer a robust source of high returns, uncorrelated to most other asset classes and strategies.
Given its focus of long term breakouts and their infrequent nature, the strategy may experience choppy performance for longer periods of time to make a high or very high return over a shorter period of time. The month to month returns of the strategy will be asymmetrical and are expected to have positive skew. In addition to the primary objective of high compound returns over a 5 year cycle, additional objectives are to have a low or negative monthly return series correlation to other asset classes.
Investment Strategy
The program utilizes 2 developed trend trading models: a long-term trend filter and a medium term trend model to attempt to locate and invest in large long-term trends across a diversified range of futures markets. Total holding time for winning positions can be a few months to several years, losers from a 0 days to a few months. Losses of capital may be incurred, particularly after a large run up in profits, when trading is range bound, or when trends in prices are changing. Suggested minimum investment is 5 years. The entire portfolio can be liquidated within 1 average trading day.
Risk Management
Pre-determined fixed stop losses as a function of equity capital, security volatility and overall portfolio exposures and correlations, with additional focus on management of total portfolio exposure to adverse directional moves and shocks.