Halkin Asset Management Limited : Halkin Accurate Fixed Income Index

archived programs
Year-to-Date
N / A
Feb Performance
2.09%
Min Investment
$ 5,000k
Mgmt. Fee
1.15%
Perf. Fee
15.00%
Annualized Vol
6.05%
Sharpe (RFR=1%)
0.42
CAROR
3.40%
Assets
$ 46.0M
Worst DD
-7.95
S&P Correlation
-0.39

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
1/2008
Halkin Accurate Fixed Income Index 2.09 - - - - 0.64 7.20 31.39
S&P 500 -0.41 - - - - 45.56 50.85 141.43
+/- S&P 500 2.50 - - - - -44.92 -43.65 -110.04

Strategy Description

Summary

Halkin Accurate Fixed Income Index employs sophisticated mathematical and statistically-derived algorithms on a widely diversified government fixed income futures portfolio. The program invests only in the main G4 Government Bond Listed Futures. The objective is long-term capital appreciation... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 1.15%
Performance Fee 15.00%
Average Commission $0
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 7285 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD 2.24%
Worst Peak-to-Trough -5.68%
Sector Focus Financial & Metals Traders

Holding Periods

Over 12 Months 0%
4-12 Months 20.00%
1-3 Months 30.00%
1-30 Days 40.00%
Intraday 10.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Pattern Recognition
70.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

Halkin Accurate Fixed Income Index employs sophisticated mathematical and statistically-derived algorithms on a widely diversified government fixed income futures portfolio. The program invests only in the main G4 Government Bond Listed Futures. The objective is long-term capital appreciation uncorrelated to markets and peers, as well as focusing on risk control.

Investment Strategy

The Index has been constructed to be able to generate alpha in most market environments, as we apply six highly uncorrelated models on G4 fixed income government futures to form one strategy. By developing six unique models, which are uncorrelated to each other, we are able to achieve diversification in a highly correlated space, despite focusing on one asset class - fixed income. This way, the models compensate the performance of one model in a possible negative scenario with the rest, therefore minimising the possibility of a negative scenario as a whole. Due to the method in which the models are formulated, the strategy achieves a low level of volatility, as well as daily liquidity as it only trades the most liquid underlyings. Proven track record since 2006, verified by Mercer; low volatility and daily liquidity; 100% systematic and highly diversified; flexible duration (long/short): takes advantages of bearish and bullish markets; invests in US, Germany, UK and Japan government listed futures: does NOT invest in corporates; uncorrelated to markets, credit and government fixed income portfolios and fixed income funds; uncorrelated to systematic global macro and long short fixed income; Enhances risk/return relationships of credit and government fixed income portfolios; enhances risk/return relationships of fixed income funds portfolios; fund performance is not affected by subscriptions or redemptions of any amount; proprietary trading systems based on probability analysis; high capacity $1.5 billion. The strategy has ranked #1 on DB Select platform in 2013 and has earned several awards since 2006 (Standard&Poors, Lipper, etc). The Halkin Accurate Fixed Income Index is currently accessible through multiple formats, such as a capital protected note, a swap, etc on the db Select platform. Returns from January 2008 through December 2012, when returns were from a sub-strategy of Accurate Global Assets Fund, are available from the manager upon request. Proforma adjusted returns from Jan 2013 through March 2013 are also available upon request. Fees and minimum investment amount varies as per db Select.

The index has been designed to be able to generate alpha in most market environments, as we apply six strategies on G4 listed government futures. This way, systems compensate the performance of one strategy in possible negative scenarios with the rest, therefore minimising possibility of negative scenario as a whole. The weight that each instrument has in the portfolio at any given time is determined by the strategies. Each instrument is allocated to different strategies and depending on the market moment, the weight of each instrument in the total portfolio will first be determined by the weight in the underlying strategies and then the total weight of each strategies on that underlying.

Risk Management

The multiple positions of the portfolio allow the portfolio to keep a very close control of the concentration limits: Continuous monitoring of any discrepancies between real track record and back testing. Position weight allocations are determined by a mathematical algorithm.

Each position has a limit in the portfolio (this limit can be consumed or not, according to the strategy). The limit is checked in the execution moment and on a real time basis, so in the case of a mismatch, the system requires us to adjust it. The model already incorporates stops-losses and profit taking limits. New stop-loss and profit takings are calculated on a daily basis depending on behaviour of each strategy, on every single underlying and volatility.

   

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:
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Risk
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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:
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Reward/Risk
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
-7.95 30 - 6/1/2013 12/1/2015
-5.67 7 4 8/1/2010 3/1/2011
-5.54 1 6 9/1/2011 10/1/2011
-4.60 14 4 1/1/2009 3/1/2010
-4.28 3 2 6/1/2008 9/1/2008
-3.80 6 6 5/1/2012 11/1/2012
-0.38 1 1 1/1/2008 2/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
17.39 4 10/1/2008 1/1/2009
10.08 6 4/1/2011 9/1/2011
6.65 2 4/1/2012 5/1/2012
6.57 5 4/1/2010 8/1/2010
5.83 7 12/1/2012 6/1/2013
5.38 3 11/1/2011 1/1/2012
5.04 1 1/1/2008 1/1/2008
4.97 4 3/1/2008 6/1/2008
3.34 2 1/1/2016 2/1/2016
1.78 3 8/1/2014 10/1/2014
1.74 1 7/1/2012 7/1/2012
1.04 2 4/1/2015 5/1/2015
0.95 1 5/1/2009 5/1/2009
0.77 1 2/1/2011 2/1/2011
0.70 1 8/1/2008 8/1/2008
0.67 1 1/1/2010 1/1/2010
0.64 1 11/1/2015 11/1/2015
0.48 1 11/1/2009 11/1/2009
0.14 2 8/1/2015 9/1/2015
0.11 2 7/1/2009 8/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.87 13 7/1/2013 7/1/2014
-5.66 5 9/1/2010 1/1/2011
-5.54 1 10/1/2011 10/1/2011
-3.67 4 8/1/2012 11/1/2012
-3.48 1 9/1/2008 9/1/2008
-2.48 3 2/1/2009 4/1/2009
-2.41 1 12/1/2015 12/1/2015
-1.92 2 2/1/2012 3/1/2012
-1.85 5 11/1/2014 3/1/2015
-1.84 1 6/1/2012 6/1/2012
-1.76 1 12/1/2009 12/1/2009
-1.52 1 7/1/2008 7/1/2008
-1.40 2 9/1/2009 10/1/2009
-1.13 2 2/1/2010 3/1/2010
-0.84 1 10/1/2015 10/1/2015
-0.78 1 3/1/2011 3/1/2011
-0.65 2 6/1/2015 7/1/2015
-0.38 1 2/1/2008 2/1/2008
-0.08 1 6/1/2009 6/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods98.0096.0093.0087.0081.0075.0063.0051.0039.00
Percent Profitable51.0246.8854.8468.9760.4966.6784.1396.08100.00
Average Period Return0.290.751.472.893.664.657.8511.7013.96
Average Gain1.453.124.265.357.438.649.7712.2313.96
Average Loss-0.91-1.34-1.92-2.56-2.12-3.34-2.34-1.26
Best Period7.1416.6715.6322.6621.4118.3023.9329.4031.81
Worst Period-5.54-4.28-4.93-5.74-5.46-5.78-3.78-1.743.93
Standard Deviation1.753.244.265.796.086.766.507.628.93
Gain Standard Deviation1.533.263.815.304.794.395.137.308.93
Loss Standard Deviation0.991.001.251.591.691.471.190.69
Sharpe Ratio (1%)0.120.160.230.330.350.390.741.000.99
Average Gain / Average Loss1.592.332.222.093.502.594.189.73
Profit / Loss Ratio1.662.052.694.655.365.1822.14238.40
Downside Deviation (10%)1.152.033.164.836.678.5810.1412.3116.24
Downside Deviation (5%)0.981.371.832.172.523.212.291.330.19
Downside Deviation (0%)0.931.221.531.671.702.101.040.27
Sortino Ratio (10%)-0.10-0.23-0.32-0.44-0.59-0.65-0.78-0.80-0.84
Sortino Ratio (5%)0.220.370.530.870.850.822.115.7247.07
Sortino Ratio (0%)0.310.620.961.732.162.217.5843.86

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.