H T Funds CTA : Investment Program

archived programs
Year-to-Date
N / A
Dec Performance
5.40%
Min Investment
$ 75k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
22.13%
Sharpe (RFR=1%)
0.94
CAROR
20.87%
Assets
$ 300k
Worst DD
-33.69
S&P Correlation
0.69

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

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

Program / Index Dec Qtr YTD 1yr 3yr 5yr 10yr Since
7/2006
Investment Program 5.40 - - - - - - 60.63
S&P 500 0.78 - - - - - - 153.49
+/- S&P 500 4.62 - - - - - - -92.85

Strategy Description

Summary

-Please note:  Posted returns through August 2007 represent proprietary trading and are presented net of standard 2/20 fees.   Results from August 2007 to present  represent returns from client accounts and are net of fees.TRADING PROGRAM:&The trading program employed is almost entirely... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 75k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $27.00
Available to US Investors

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 40%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-Please note:  Posted returns through August 2007 represent proprietary trading and are presented net of standard 2/20 fees.   Results from August 2007 to present  represent returns from client accounts and are net of fees.TRADING PROGRAM:&The trading program employed is almost entirely composed of trading options on the S&P 500 futures contracts traded at the CME. Unlike many trading advisors, H T Funds does not use fundamental or technical analysis to predict market direction. No trades are executed on the basis of a predicted market direction. Rather, H T Funds? strategy involves selling, or ?writing?, put and call options, and seeks to profit when the options? time value decays. H T Funds? objective is to generate profits by collecting option premium on a regular basis. The option sales are coordinated at monthly intervals with the established goal of selling options with approximately thirty (30) days remaining to expiration, although at times positions may be initiated with up to forty-five (45) days remaining. H T Funds also employs rigorously designed money management techniques in order to reduce the possible risk associated with each trade. For instance, during times of increased volatility, the underlying futures contract may be purchased or sold in order ?cover? or hedge against loss when changes in the delta of an option position occur. The only limitations on the trading done by the Advisor will be the limitations of the amount of equity in each account traded and the speculative position limits of each commodity traded.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
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Risk
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Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-33.69 2 - 8/1/2008 10/1/2008
-8.65 1 3 6/1/2007 7/1/2007
-2.80 1 1 3/1/2007 4/1/2007
-0.05 1 1 1/1/2008 2/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
41.59 9 7/1/2006 3/1/2007
29.63 6 3/1/2008 8/1/2008
21.93 6 8/1/2007 1/1/2008
12.50 2 5/1/2007 6/1/2007
8.41 2 11/1/2008 12/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-33.69 2 9/1/2008 10/1/2008
-8.65 1 7/1/2007 7/1/2007
-2.80 1 4/1/2007 4/1/2007
-0.05 1 2/1/2008 2/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable83.3378.5788.0084.21100.00
Average Period Return1.815.2113.7129.7747.74
Average Gain4.1110.7318.3836.0847.74
Average Loss-9.72-15.02-20.52-3.86
Best Period8.7016.2129.6455.2669.73
Worst Period-20.75-31.80-20.74-4.541.87
Standard Deviation6.3912.4614.9617.2626.37
Gain Standard Deviation1.813.248.089.4126.37
Loss Standard Deviation8.7713.010.300.72
Sharpe Ratio (1%)0.270.400.881.671.75
Average Gain / Average Loss0.420.710.909.34
Profit / Loss Ratio2.122.626.5749.84
Downside Deviation (10%)5.239.327.973.531.91
Downside Deviation (5%)5.138.957.281.95
Downside Deviation (0%)5.108.867.111.55
Sortino Ratio (10%)0.270.431.417.0221.00
Sortino Ratio (5%)0.340.551.8114.79
Sortino Ratio (0%)0.350.591.9319.18

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.