Halkin Asset Management Limited : Halkin Accurate Global Diversified Index

archived programs
Year-to-Date
N / A
Feb Performance
0.24%
Min Investment
$ 5,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
5.77%
Sharpe (RFR=1%)
0.61
CAROR
4.41%
Assets
$ 29.0M
Worst DD
-13.01
S&P Correlation
0.06

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 Global Diversified Index 0.24 - - - - -0.28 12.33 42.31
S&P 500 -0.41 - - - - 45.56 50.85 160.00
+/- S&P 500 0.65 - - - - -45.85 -38.53 -117.69

Strategy Description

Summary

Global Diversified Index employs sophisticated mathematical and statistically-derived algorithms on a widely diversified G10 Listed Equity and Government Futures and OECD FX Forwards portfolio. The program invests just in main G10 Listed Equity & Government Futures and OECD FX Forwards.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 1.50%
Performance Fee 20.00%
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 8224 RT/YR/$M
Avg. Margin-to-Equity 2%
Targeted Worst DD 4.04%
Worst Peak-to-Trough -5.89%
Sector Focus Diversified 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

Currency FX
40.00%
Stock Indices
40.00%
Interest Rates
20.00%
Composition Pie Chart

Summary

Global Diversified Index employs sophisticated mathematical and statistically-derived algorithms on a widely diversified G10 Listed Equity and Government Futures and OECD FX Forwards portfolio. The program invests just in main G10 Listed Equity & Government Futures and OECD FX Forwards. The objective is long-term capital appreciation uncorrelated to markets and peers, as well as focusing on risk control.

Investment Strategy

The Global Diversified Index targets absolute returns through investments in G10 Listed Equity Index Futures, G10 Fixed Income Futures and OECD FX Forwards traded with main global banks. The main stability driver is to apply different uncorrelated strategies over many underlyings. The product has been designed to be able to generate alpha in most market environments, as we apply eight different strategies uncorrelated to each other. 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 strategy is accessible through multiple formats, such as a capital protected note, a swap, etc. on the db Select platform.
• Proven track record since 2008 with 55% cumulative return as per DB select
• Low volatility and daily liquidity
• 100% systematic and highly diversified (3 Assets Classes , 8 strategies, 65 underlyings and 437 possible positions) • Focus on portfolio construction vs. Asset Class Correlation as most Systematic / CTAs funds, therefore avoiding the trend following bias
• Flexible portfolio (Net long/Net short/Neutral on every position)
• Invests just in the main global futures and FX: does NOT invest in corporate or equity single names
• Uncorrelated to Systematic Global Macro funds
• Uncorrelated to financial markets
• Enhance risk/return of CTA portfolios
• Enhance risk/return of multi asset portfolios
• Fund performance is not affected by subscriptions or redemptions of any amount
• Proprietary trading systems based on probability analysis

Risk Management

The multiple positions of the portfolio let the portfolio 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). This limit is controlled in the execution moment and in a real time basis, so in the case of a mismatch, the system requires 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. Halkin Capital has conducted an extensive review of its operational risk framework in 2008/2009 with the assistance of an external consultant specialized in asset management in general and alternative asset management in particular. The consultant, Paris-based Asset Alpha (see www.asset-alpha.fr) issued a report containing a number of recommendations regarding the improvement of operational processes and risk management. These recommendations have been implemented. Halkin Capital checks these procedures on an on-going basis and adjusts them when warranted. Neither an SAS70 Nor an AAF01/06 audit or certification have been conducted within the firm nor is one contemplated in the near future. However, Halkin Capital works with a number of firms – Ernst & Young or KPMG, for example – which have been audited and certified.

   

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:
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%)
Skewness:
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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
-13.01 26 - 10/1/2013 12/1/2015
-5.89 3 3 7/1/2008 10/1/2008
-1.66 3 1 4/1/2011 7/1/2011
-1.64 2 6 1/1/2012 3/1/2012
-1.50 9 2 11/1/2012 8/1/2013
-1.09 1 1 8/1/2011 9/1/2011
-0.73 1 1 2/1/2008 3/1/2008
-0.41 1 1 8/1/2010 9/1/2010
-0.32 1 1 5/1/2010 6/1/2010
-0.30 1 1 11/1/2010 12/1/2010
-0.23 1 1 11/1/2011 12/1/2011
-0.07 1 1 3/1/2009 4/1/2009
-0.01 1 1 2/1/2010 3/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
10.69 4 1/1/2011 4/1/2011
8.83 3 1/1/2009 3/1/2009
7.88 10 5/1/2009 2/1/2010
7.28 1 8/1/2011 8/1/2011
6.23 2 10/1/2011 11/1/2011
4.76 4 4/1/2008 7/1/2008
4.00 1 11/1/2008 11/1/2008
3.99 4 2/1/2015 5/1/2015
3.17 2 1/1/2008 2/1/2008
3.09 2 1/1/2016 2/1/2016
2.92 4 8/1/2012 11/1/2012
2.23 2 7/1/2010 8/1/2010
2.02 1 10/1/2014 10/1/2014
2.00 2 9/1/2013 10/1/2013
1.38 1 6/1/2012 6/1/2012
0.98 2 4/1/2010 5/1/2010
0.82 1 4/1/2012 4/1/2012
0.81 1 2/1/2014 2/1/2014
0.72 2 10/1/2010 11/1/2010
0.60 3 2/1/2013 4/1/2013
0.39 1 9/1/2008 9/1/2008
0.39 1 1/1/2012 1/1/2012
0.36 1 6/1/2011 6/1/2011
0.24 1 8/1/2014 8/1/2014
0.08 1 7/1/2013 7/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.44 7 6/1/2015 12/1/2015
-6.00 3 11/1/2014 1/1/2015
-5.59 1 10/1/2008 10/1/2008
-1.87 5 3/1/2014 7/1/2014
-1.64 2 2/1/2012 3/1/2012
-1.58 3 11/1/2013 1/1/2014
-1.45 1 7/1/2011 7/1/2011
-1.25 2 12/1/2012 1/1/2013
-1.11 1 7/1/2012 7/1/2012
-1.09 1 9/1/2011 9/1/2011
-0.73 1 3/1/2008 3/1/2008
-0.71 1 8/1/2008 8/1/2008
-0.57 1 5/1/2012 5/1/2012
-0.57 1 5/1/2011 5/1/2011
-0.57 2 5/1/2013 6/1/2013
-0.41 1 9/1/2010 9/1/2010
-0.37 1 12/1/2008 12/1/2008
-0.36 1 8/1/2013 8/1/2013
-0.32 1 6/1/2010 6/1/2010
-0.30 1 12/1/2010 12/1/2010
-0.23 1 12/1/2011 12/1/2011
-0.19 1 9/1/2014 9/1/2014
-0.07 1 4/1/2009 4/1/2009
-0.01 1 3/1/2010 3/1/2010
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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 Profitable58.1660.4266.6772.4172.8476.0076.1988.24100.00
Average Period Return0.371.062.215.068.1211.3419.1727.0633.31
Average Gain1.312.824.478.2612.7616.5626.7331.5633.31
Average Loss-0.93-1.63-2.30-3.35-4.31-5.21-5.04-6.65
Best Period7.2810.5612.9022.4225.1627.1150.5455.7857.86
Worst Period-5.59-6.00-7.87-9.88-11.34-12.01-12.55-10.737.49
Standard Deviation1.673.064.527.409.9412.1216.7818.3114.87
Gain Standard Deviation1.362.453.675.957.238.6311.0214.2814.87
Loss Standard Deviation1.081.591.972.743.113.513.963.55
Sharpe Ratio (1%)0.170.260.380.550.670.770.961.261.90
Average Gain / Average Loss1.411.731.942.472.963.185.314.74
Profit / Loss Ratio1.962.643.896.477.9410.0816.9835.58
Downside Deviation (10%)1.112.073.064.916.848.4510.8011.007.13
Downside Deviation (5%)0.951.541.972.693.433.934.373.88
Downside Deviation (0%)0.921.421.742.262.753.053.092.54
Sortino Ratio (10%)-0.03-0.08-0.080.010.080.130.320.500.80
Sortino Ratio (5%)0.310.530.871.511.932.383.705.93
Sortino Ratio (0%)0.410.741.272.242.963.726.2110.66

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.