Haar Capital Management : Discretionary Commodity Trading Program

archived programs
Year-to-Date
N / A
May Performance
3.69%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.21%
Sharpe (RFR=1%)
0.46
CAROR
5.63%
Assets
$ 59.7M
Worst DD
-17.67
S&P Correlation
0.03

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
12/2005
Discretionary Commodity Trading Program 3.69 3.56 - 1.46 5.37 23.53 - 68.27
S&P 500 1.05 0.14 - 9.56 60.83 93.41 - 65.25
+/- S&P 500 2.64 3.42 - -8.10 -55.46 -69.88 - 3.02

Strategy Description

Summary

HAAR CAPITAL'S APPROACH: In managing the accounts of customers, Haar Capital uses a primarily fundamental strategy although technical analysis may also be employed to help determine specific entry and exit points and the placement of stop-loss orders. The advisor believes that commodity... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$12.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
750 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
N/A
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Fundamental
100.00%
Strategy Pie Chart

Composition

Grains
50.00%
Softs
30.00%
Currency Futures
5.00%
Precious Metals
5.00%
Interest Rates
3.00%
Livestock
3.00%
Energy
2.00%
Stock Indices
2.00%
Composition Pie Chart

Summary

HAAR CAPITAL'S APPROACH: In managing the accounts of customers, Haar Capital uses a primarily fundamental strategy although technical analysis may also be employed to help determine specific entry and exit points and the placement of stop-loss orders. The advisor believes that commodity price changes occur due to a combination of changing fundamental factors and short-term noise resulting from normal market volatility. Haar Capital seeks to filter out the short-term noise and profit from longer-term trends. Among the fundamental factors to be analyzed will be product supply and demand outlook, projected carryout stocks as a percentage of consumption, weather developments and forecasts, economic trends, and government policies. Based on his extensive experience in managing commercial and speculative trading positions, and recognizing that future states of the world cannot be known with certainty, the advisor seeks to identify skewed risk-reward opportunities; i.e., situations in which the probability of a large gain is seen as being approximately equal to the probability of a small loss. The advisor may refrain from trading most markets at any given time, based on his assessment of neutral or unattractive risk-reward conditions. In addition to outright long and short positions, trading strategies may include inter and intra-market spread positions and the use of commodity options.

Investment Strategy

The market sectors that will be traded in this program include, without limitation, Currencies, Metals, Financials, Energies, Softs, Livestock, Grains, and Equity Indices.

Risk Management

Various risk management tools will be used by Haar Capital, including stop-loss orders. Stop-loss orders may not necessarily limit losses, since they become market orders when triggered; as a result, a stop-loss order may not be executed at the stop-loss price. Additionally, risk may be managed by varying the size of positions based in part on an assessment of market volatility. Another tool which will be used is portfolio diversification. This technique attempts to take into account the volatility and correlation across multiple markets, as well as projected price behavior in response to specific market-moving events. However, no assurances can be made that historical market correlations will occur or persist in all market conditions. Consistent with the advisor's market approach, portfolios will be managed to meet longer-term risk and volatility tolerances, rather than trading on the basis of short-term trends.

   

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
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

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
-17.67 24 10 7/1/2008 7/1/2010
-12.60 2 7 2/1/2007 4/1/2007
-11.27 30 - 8/1/2012 2/1/2015
-6.30 3 2 6/1/2006 9/1/2006
-6.07 9 3 8/1/2011 5/1/2012
-3.07 1 2 2/1/2008 3/1/2008
-2.26 1 1 1/1/2006 2/1/2006
-0.77 1 1 12/1/2006 1/1/2007
-0.04 1 2 5/1/2011 6/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
30.55 6 9/1/2007 2/1/2008
17.87 3 10/1/2006 12/1/2006
15.35 3 8/1/2010 10/1/2010
10.60 2 12/1/2005 1/1/2006
9.46 3 6/1/2012 8/1/2012
8.36 4 4/1/2008 7/1/2008
8.20 2 12/1/2010 1/1/2011
7.79 4 3/1/2006 6/1/2006
7.56 2 5/1/2007 6/1/2007
6.60 3 3/1/2009 5/1/2009
5.85 2 4/1/2011 5/1/2011
5.05 2 8/1/2014 9/1/2014
4.90 1 3/1/2015 3/1/2015
4.55 1 2/1/2007 2/1/2007
3.69 1 5/1/2015 5/1/2015
3.48 4 10/1/2013 1/1/2014
3.45 1 1/1/2015 1/1/2015
2.31 2 7/1/2011 8/1/2011
2.26 3 4/1/2014 6/1/2014
1.53 2 12/1/2009 1/1/2010
1.48 1 6/1/2013 6/1/2013
1.39 3 7/1/2009 9/1/2009
1.33 1 4/1/2013 4/1/2013
0.93 1 8/1/2013 8/1/2013
0.90 2 2/1/2012 3/1/2012
0.90 1 5/1/2010 5/1/2010
0.56 1 8/1/2006 8/1/2006
0.55 1 12/1/2011 12/1/2011
0.50 1 2/1/2013 2/1/2013
0.28 1 10/1/2011 10/1/2011
0.04 1 12/1/2008 12/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.60 2 3/1/2007 4/1/2007
-9.60 3 10/1/2014 12/1/2014
-6.49 4 8/1/2008 11/1/2008
-5.95 2 10/1/2009 11/1/2009
-5.48 2 7/1/2007 8/1/2007
-5.36 3 2/1/2010 4/1/2010
-4.77 1 2/1/2015 2/1/2015
-4.53 2 6/1/2010 7/1/2010
-4.22 5 9/1/2012 1/1/2013
-4.06 1 9/1/2006 9/1/2006
-3.95 1 9/1/2011 9/1/2011
-3.86 1 11/1/2010 11/1/2010
-3.50 2 1/1/2009 2/1/2009
-3.09 1 5/1/2013 5/1/2013
-3.08 1 6/1/2009 6/1/2009
-3.07 1 3/1/2008 3/1/2008
-3.03 2 2/1/2014 3/1/2014
-2.88 1 7/1/2006 7/1/2006
-2.39 2 2/1/2011 3/1/2011
-2.26 1 2/1/2006 2/1/2006
-2.09 1 7/1/2013 7/1/2013
-1.96 2 4/1/2012 5/1/2012
-1.37 1 1/1/2012 1/1/2012
-1.21 1 3/1/2013 3/1/2013
-1.14 1 9/1/2013 9/1/2013
-0.77 1 1/1/2007 1/1/2007
-0.59 1 11/1/2011 11/1/2011
-0.17 1 7/1/2014 7/1/2014
-0.13 1 4/1/2015 4/1/2015
-0.04 1 6/1/2011 6/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods114.00112.00109.00103.0097.0091.0079.0067.0055.00
Percent Profitable57.0254.4655.0562.1470.1071.4388.6195.5298.18
Average Period Return0.511.392.585.217.4210.2312.7716.6222.45
Average Gain2.505.047.7310.9212.6816.5714.6417.4522.87
Average Loss-2.14-2.98-3.74-4.16-4.93-5.62-1.78-1.05-0.42
Best Period10.1217.8730.5535.3737.4847.9852.1145.3054.55
Worst Period-10.05-11.70-11.15-11.86-11.63-17.67-4.75-1.67-0.42
Standard Deviation3.245.617.8310.8612.2815.4212.6212.2216.46
Gain Standard Deviation2.524.826.789.9110.7813.5112.1811.8716.31
Loss Standard Deviation1.912.492.732.953.664.751.640.86
Sharpe Ratio (1%)0.130.200.270.390.480.530.771.031.05
Average Gain / Average Loss1.171.692.072.622.572.958.2216.6055.08
Profit / Loss Ratio1.552.022.534.316.037.3763.91354.152974.11
Downside Deviation (10%)2.083.304.586.107.739.479.2311.0814.17
Downside Deviation (5%)1.912.743.373.654.044.781.791.320.98
Downside Deviation (0%)1.872.613.103.123.343.900.800.270.06
Sortino Ratio (10%)0.050.050.020.03-0.020.00-0.32-0.45-0.37
Sortino Ratio (5%)0.220.420.621.151.461.725.459.5417.66
Sortino Ratio (0%)0.270.530.831.672.222.6216.0562.21400.89

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 7 4.90 3/2015
Diversified Trader Index Month 5 5.90 8/2012
Discretionary Trader Index Month 9 8.36 12/2007
Discretionary Trader Index Month 2 6.23 11/2007
Discretionary Trader Index Month 5 6.45 6/2007
Discretionary Trader Index Month 6 4.55 2/2007
Diversified Trader Index Month 9 4.55 2/2007
Discretionary Trader Index Month 9 1.88 12/2006
IASG CTA Index Month 9 10.12 11/2006
Discretionary Trader Index Month 6 10.12 11/2006
Diversified Trader Index Month 6 10.12 11/2006
Discretionary Trader Index Month 8 5.06 10/2006
Discretionary Trader Index Month 9 1.49 6/2006
Diversified Trader Index Month 10 1.49 6/2006
Discretionary Trader Index Month 5 3.28 5/2006
Discretionary Trader Index Month 4 9.47 1/2006

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