Hamer Trading : Diversified Program

Year-to-Date
21.12%
Aug Performance
8.54%
Min Investment
$ 3,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
20.12%
Sharpe (RFR=1%)
0.44
CAROR
8.19%
Assets
$ 13.0M
Worst DD
-38.45
S&P Correlation
-0.15

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
9/1999
Diversified Program 8.54 15.20 21.12 16.11 11.31 23.60 94.33 383.15
S&P 500 -1.81 6.34 16.73 0.85 33.43 44.59 183.77 125.79
+/- S&P 500 10.35 8.87 4.39 15.25 -22.12 -20.99 -89.44 257.36

Strategy Description

Summary

Hamer Trading Inc. was founded in 1998 with the goal of producing significant long term investment returns through the development of systematic trading programs using historical research and statistical analysis. Our belief is that consistent long-term investment returns can be delivered... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 3,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$5.25
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
700 RT/YR/$M
Avg. Margin-to-Equity
17%
Targeted Worst DD
-16.00%
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
60.00%
1-3 Months
40.00%
1-30 Days
0%
Intraday
0%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Interest Rates
22.00%
Currency Futures
16.00%
Softs
16.00%
Industrial Metals
10.00%
Energy
10.00%
Grains
10.00%
Stock Indices
10.00%
Precious Metals
6.00%
Composition Pie Chart

Summary

Hamer Trading Inc. was founded in 1998 with the goal of producing significant long term investment returns through the development of systematic trading programs using historical research and statistical analysis. Our belief is that consistent long-term investment returns can be delivered regardless of economic conditions.

Investment Strategy

The trading method uses a unique trend following method to capture trends in a broadly diversified group of over 30 U.S. and international futures markets with an average holding period of 100 days. The program has been refined over the past thirteen years from a multi-system / multi-time frame trend approach to a focus on long term trend following with the constant goal to provide consistent returns while reducing volatility. The performance reported for the Diversified Systematic Program was "proprietary" until August 2012, when the performance reported changed to represent a composite performance of our client managed accounts.

Risk Management

Each market is allocated 0.3% of portfolio risk per entry with a maximum of three entries per market. All markets are allocated equally and risk is spread among seven sectors with the constant goal of providing diversification and low 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:
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
-38.45 41 26 2/1/2003 7/1/2006
-35.50 6 4 10/1/2001 4/1/2002
-26.41 22 18 9/1/2011 7/1/2013
-17.49 3 7 12/1/1999 3/1/2000
-17.42 7 11 1/1/2015 8/1/2015
-14.70 11 8 1/1/2018 12/1/2018
-13.59 2 3 9/1/2002 11/1/2002
-13.41 2 8 11/1/2009 1/1/2010
-12.25 1 2 9/1/1999 10/1/1999
-10.27 2 1 12/1/2000 2/1/2001
-7.60 3 10 7/1/2016 10/1/2016
-7.55 1 1 3/1/2001 4/1/2001
-7.31 1 3 8/1/2017 9/1/2017
-6.50 1 2 6/1/2001 7/1/2001
-4.73 1 1 2/1/2011 3/1/2011
-4.16 1 1 9/1/2009 10/1/2009
-3.93 4 1 12/1/2008 4/1/2009
-3.86 2 2 4/1/2011 6/1/2011
-3.36 2 1 5/1/2009 7/1/2009
-1.24 1 1 10/1/2010 11/1/2010
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
71.45 5 5/1/2002 9/1/2002
35.68 3 8/1/2001 10/1/2001
34.89 3 10/1/2000 12/1/2000
31.07 6 9/1/2007 2/1/2008
24.44 5 8/1/2008 12/1/2008
23.43 3 8/1/2010 10/1/2010
21.99 3 7/1/2011 9/1/2011
21.20 3 12/1/2002 2/1/2003
20.21 3 12/1/2010 2/1/2011
17.96 1 3/1/2001 3/1/2001
17.30 4 12/1/2003 3/1/2004
16.24 2 11/1/1999 12/1/1999
15.92 3 4/1/2000 6/1/2000
14.81 2 5/1/2001 6/1/2001
14.02 3 11/1/2014 1/1/2015
13.63 4 3/1/2019 6/1/2019
13.52 3 7/1/2014 9/1/2014
12.34 1 11/1/2009 11/1/2009
11.94 2 3/1/2007 4/1/2007
11.22 4 2/1/2014 5/1/2014
11.01 2 4/1/2003 5/1/2003
10.43 2 6/1/2016 7/1/2016
9.20 1 4/1/2011 4/1/2011
9.05 3 4/1/2008 6/1/2008
9.03 2 2/1/2010 3/1/2010
8.54 1 8/1/2019 8/1/2019
8.52 1 5/1/2009 5/1/2009
8.46 2 8/1/2006 9/1/2006
8.17 1 7/1/2012 7/1/2012
7.75 1 10/1/2017 10/1/2017
7.71 1 8/1/2000 8/1/2000
7.17 1 9/1/2015 9/1/2015
6.92 2 8/1/2009 9/1/2009
6.19 2 11/1/2016 12/1/2016
6.12 2 1/1/2016 2/1/2016
6.10 2 12/1/2006 1/1/2007
6.01 3 11/1/2012 1/1/2013
6.00 2 10/1/2005 11/1/2005
5.95 1 6/1/2010 6/1/2010
5.84 1 5/1/2012 5/1/2012
5.58 2 4/1/2018 5/1/2018
5.50 2 4/1/2017 5/1/2017
5.39 1 1/1/2006 1/1/2006
5.31 2 7/1/2017 8/1/2017
5.16 1 11/1/2011 11/1/2011
5.10 1 4/1/2016 4/1/2016
4.75 1 10/1/2013 10/1/2013
3.38 2 12/1/2017 1/1/2018
2.82 1 10/1/2003 10/1/2003
2.80 1 3/1/2013 3/1/2013
2.76 2 8/1/2018 9/1/2018
2.64 2 9/1/2004 10/1/2004
2.52 1 2/1/2012 2/1/2012
2.46 3 3/1/2006 5/1/2006
2.39 1 5/1/2005 5/1/2005
2.16 1 11/1/2015 11/1/2015
2.14 1 9/1/2016 9/1/2016
1.97 1 9/1/1999 9/1/1999
1.34 1 3/1/2015 3/1/2015
1.17 1 8/1/2013 8/1/2013
1.07 1 12/1/2004 12/1/2004
0.92 1 2/1/2005 2/1/2005
0.66 1 1/1/2019 1/1/2019
0.66 1 7/1/2005 7/1/2005
0.40 1 9/1/2012 9/1/2012
0.28 1 2/1/2009 2/1/2009
0.25 1 3/1/2002 3/1/2002
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-26.30 4 11/1/2001 2/1/2002
-19.18 5 4/1/2004 8/1/2004
-17.49 3 1/1/2000 3/1/2000
-16.39 5 4/1/2015 8/1/2015
-14.94 4 6/1/2003 9/1/2003
-13.59 2 10/1/2002 11/1/2002
-13.41 2 12/1/2009 1/1/2010
-13.21 4 5/1/2007 8/1/2007
-12.99 1 3/1/2003 3/1/2003
-12.70 2 6/1/2006 7/1/2006
-12.70 1 4/1/2002 4/1/2002
-12.45 4 4/1/2013 7/1/2013
-12.25 1 10/1/1999 10/1/1999
-10.65 1 10/1/2011 10/1/2011
-10.27 2 1/1/2001 2/1/2001
-9.48 2 6/1/2018 7/1/2018
-9.03 1 6/1/2012 6/1/2012
-8.75 2 3/1/2012 4/1/2012
-8.62 1 1/1/2005 1/1/2005
-8.11 2 4/1/2010 5/1/2010
-7.77 2 2/1/2018 3/1/2018
-7.55 1 4/1/2001 4/1/2001
-7.44 2 3/1/2005 4/1/2005
-7.31 1 9/1/2017 9/1/2017
-7.31 1 7/1/2000 7/1/2000
-6.78 1 10/1/2012 10/1/2012
-6.53 1 8/1/2016 8/1/2016
-6.50 1 7/1/2001 7/1/2001
-5.82 3 10/1/2018 12/1/2018
-5.17 3 1/1/2017 3/1/2017
-4.73 1 3/1/2011 3/1/2011
-4.65 2 10/1/2006 11/1/2006
-4.38 1 8/1/2012 8/1/2012
-4.18 1 2/1/2013 2/1/2013
-4.16 1 10/1/2009 10/1/2009
-4.14 1 5/1/2016 5/1/2016
-3.86 2 5/1/2011 6/1/2011
-3.85 2 3/1/2009 4/1/2009
-3.83 2 8/1/2005 9/1/2005
-3.59 1 10/1/2015 10/1/2015
-3.49 1 6/1/2005 6/1/2005
-3.36 2 6/1/2009 7/1/2009
-3.30 1 2/1/2006 2/1/2006
-3.28 1 12/1/2005 12/1/2005
-3.22 1 10/1/2016 10/1/2016
-3.18 1 6/1/2017 6/1/2017
-3.13 1 6/1/2014 6/1/2014
-2.88 3 11/1/2013 1/1/2014
-2.70 1 2/1/2007 2/1/2007
-2.55 1 11/1/2017 11/1/2017
-2.54 1 2/1/2015 2/1/2015
-2.47 1 9/1/2000 9/1/2000
-2.42 1 7/1/2010 7/1/2010
-2.37 1 11/1/2003 11/1/2003
-2.22 1 7/1/2019 7/1/2019
-2.05 1 3/1/2008 3/1/2008
-1.74 2 12/1/2011 1/1/2012
-1.27 1 12/1/2015 12/1/2015
-1.24 1 11/1/2010 11/1/2010
-1.21 1 7/1/2008 7/1/2008
-0.74 1 10/1/2014 10/1/2014
-0.61 1 9/1/2013 9/1/2013
-0.55 1 11/1/2004 11/1/2004
-0.51 1 3/1/2016 3/1/2016
-0.36 1 1/1/2009 1/1/2009
-0.22 1 2/1/2019 2/1/2019
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods240.00238.00235.00229.00223.00217.00205.00193.00181.00
Percent Profitable54.5858.8258.3058.9566.8268.2075.6179.2788.40
Average Period Return0.822.474.789.9515.2420.6031.5441.3951.79
Average Gain4.848.4713.5122.4828.4236.3546.4256.3460.33
Average Loss-4.01-6.11-7.42-8.03-11.29-13.17-14.57-15.78-13.29
Best Period21.7352.9562.7474.73115.76112.63126.81214.85206.14
Worst Period-12.99-20.88-35.50-27.33-31.92-28.41-31.34-34.28-32.02
Standard Deviation5.8110.2714.1821.0526.5431.6440.8150.1254.05
Gain Standard Deviation4.328.7211.6918.5422.4625.5835.4345.4451.59
Loss Standard Deviation3.014.755.916.057.148.2210.829.559.95
Sharpe Ratio (1%)0.130.220.300.430.520.590.700.740.86
Average Gain / Average Loss1.211.391.822.802.522.763.183.574.54
Profit / Loss Ratio1.451.982.544.025.075.929.8713.6534.58
Downside Deviation (10%)3.605.607.449.2511.7214.1416.5018.2716.13
Downside Deviation (5%)3.425.086.376.958.439.7210.1910.017.10
Downside Deviation (0%)3.374.966.126.437.688.738.938.375.61
Sortino Ratio (10%)0.120.220.310.540.650.730.961.091.50
Sortino Ratio (5%)0.220.440.671.291.631.912.803.736.57
Sortino Ratio (0%)0.240.500.781.551.982.363.534.949.24

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.