Hamer Trading : Diversified Systematic Program

Year-to-Date: 6.07%
Dec Performance: 8.78%

Min Investment: $ 3,000k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 20.13%
Sharpe (RFR=1%): 0.42
CAROR: 7.69%

Assets: $ 12.5M
Worst DD: -38.45
S&P Correlation: -0.15

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Growth of 1,000 - VAMI

Monthly Performance

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	2020	1yr	3yr	5yr	10yr	Since 9/1999
Diversified Systematic Program	8.78	13.07	6.07	6.07	2.59	21.13	46.86	385.86
S&P 500	3.71	11.69	16.26	16.26	40.48	81.90	195.57	189.80
+/- S&P 500	5.07	1.38	-10.19	-10.19	-37.89	-60.77	-148.71	196.07

Strategy Description

Summary

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

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%

Summary

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. NOTE: Performance reported from July, 2011 through November, 2013 represents actual client performance. The last client account ceased trading at the beginning of December, 2013. The performance reported beginning in December, 2013 to present reverted back to the proprietary trading performance of the Diversified Systematic Program.

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.

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Index: Chart Type:

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

Compare to:

Index:

Monthly Annual

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
-27.78	22	18	9/1/2011	7/1/2013
-17.65	6	-	8/1/2019	2/1/2020
-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

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
26.13	3	7/1/2011	9/1/2011
24.44	5	8/1/2008	12/1/2008
23.43	3	8/1/2010	10/1/2010
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
8.78	1	12/1/2020	12/1/2020
8.72	2	11/1/2011	12/1/2011
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
6.89	2	3/1/2020	4/1/2020
6.69	2	7/1/2020	8/1/2020
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
5.98	1	5/1/2012	5/1/2012
5.95	1	6/1/2010	6/1/2010
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
5.10	1	4/1/2016	4/1/2016
4.75	1	10/1/2013	10/1/2013
4.28	1	10/1/2020	10/1/2020
3.38	2	12/1/2017	1/1/2018
3.01	1	2/1/2012	2/1/2012
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
2.46	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

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
-17.65	6	9/1/2019	2/1/2020
-17.49	3	1/1/2000	3/1/2000
-17.17	1	10/1/2011	10/1/2011
-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
-10.27	2	1/1/2001	2/1/2001
-9.48	2	6/1/2018	7/1/2018
-9.21	1	6/1/2012	6/1/2012
-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
-6.85	2	3/1/2012	4/1/2012
-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
-5.03	2	5/1/2020	6/1/2020
-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
-1.84	1	1/1/2012	1/1/2012
-1.72	1	9/1/2020	9/1/2020
-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
-0.32	1	11/1/2020	11/1/2020
-0.22	1	2/1/2019	2/1/2019

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	256.00	254.00	251.00	245.00	239.00	233.00	221.00	209.00	197.00
Percent Profitable	53.91	59.06	58.96	58.37	67.36	66.95	72.85	78.47	85.79
Average Period Return	0.78	2.32	4.58	9.44	14.54	19.34	29.32	38.84	48.67
Average Gain	4.84	8.18	13.03	21.67	26.71	34.91	45.16	53.55	58.65
Average Loss	-3.96	-6.12	-7.58	-7.70	-10.59	-12.20	-13.19	-14.77	-11.54
Best Period	21.73	52.95	62.74	74.73	115.76	112.63	126.81	225.52	216.52
Worst Period	-17.17	-20.88	-35.50	-27.33	-31.92	-28.41	-31.34	-34.28	-32.02
Standard Deviation	5.81	10.12	14.00	20.55	25.73	31.00	40.35	49.34	53.74
Gain Standard Deviation	4.28	8.60	11.54	18.40	22.41	25.83	35.62	45.51	51.49
Loss Standard Deviation	3.16	4.72	5.93	5.92	7.26	8.20	10.43	9.52	9.23
Sharpe Ratio (1%)	0.12	0.21	0.29	0.41	0.51	0.56	0.65	0.70	0.81
Average Gain / Average Loss	1.22	1.34	1.72	2.81	2.52	2.86	3.42	3.63	5.08
Profit / Loss Ratio	1.43	1.93	2.47	3.94	5.21	5.79	9.18	13.21	30.69
Downside Deviation (10%)	3.66	5.58	7.48	9.08	11.30	13.93	16.67	18.41	16.90
Downside Deviation (5%)	3.48	5.07	6.41	6.78	8.04	9.42	10.04	9.78	7.15
Downside Deviation (0%)	3.43	4.94	6.15	6.26	7.32	8.44	8.74	8.13	5.53
Sortino Ratio (10%)	0.10	0.20	0.28	0.49	0.62	0.65	0.81	0.94	1.25
Sortino Ratio (5%)	0.20	0.41	0.64	1.25	1.62	1.84	2.62	3.56	6.09
Sortino Ratio (0%)	0.23	0.47	0.74	1.51	1.99	2.29	3.36	4.78	8.80

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.

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Program Name	CAROR
Diversified Systematic Program	7.69%

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Blends 62
Portfolios 17
Watchlists 38

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Hamer Trading : Diversified Systematic Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Find the right managed futures programs for you with our comprehensive free CTA database.

Hamer Trading : Diversified Systematic Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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