Hamer Trading : Diversified Systematic Program

Year-to-Date
4.55%
Aug Performance
0.19%
Min Investment
$ 3,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
20.19%
Sharpe (RFR=1%)
0.40
CAROR
7.28%
Assets
$ 11.3M
Worst DD
-38.45
S&P Correlation
-0.16

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 Systematic Program 0.19 5.79 -4.55 -10.81 -7.29 13.59 63.97 337.21
S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 230.13 170.06
+/- S&P 500 -6.82 -9.19 -12.90 -30.42 -47.68 -62.09 -166.15 167.15

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%
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 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 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. 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.

   

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
-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
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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
8.72 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
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
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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
-1.27 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods252.00250.00247.00241.00235.00229.00217.00205.00193.00
Percent Profitable53.9758.4058.3058.9266.8166.8173.7379.0285.49
Average Period Return0.752.274.529.6514.6919.5429.8939.6049.43
Average Gain4.828.2513.1821.7827.2535.3845.4354.1659.78
Average Loss-4.01-6.12-7.58-7.77-10.59-12.37-13.73-15.28-11.54
Best Period21.7352.9562.7474.73115.76112.63126.81225.52216.52
Worst Period-17.17-20.88-35.50-27.33-31.92-28.41-31.34-34.28-32.02
Standard Deviation5.8310.1714.0820.6425.9231.2240.5049.5254.02
Gain Standard Deviation4.308.6811.6218.4222.4425.8535.5745.4651.58
Loss Standard Deviation3.164.725.935.987.268.1410.439.439.23
Sharpe Ratio (1%)0.110.200.290.420.510.560.660.720.82
Average Gain / Average Loss1.201.351.742.812.572.863.313.555.18
Profit / Loss Ratio1.411.892.434.025.185.769.2913.3630.54
Downside Deviation (10%)3.685.637.549.0711.3914.0316.6518.3416.90
Downside Deviation (5%)3.505.116.466.798.119.5010.109.847.22
Downside Deviation (0%)3.464.986.206.277.388.518.818.205.59
Sortino Ratio (10%)0.090.190.270.510.620.660.850.981.29
Sortino Ratio (5%)0.190.400.621.271.631.842.663.616.14
Sortino Ratio (0%)0.220.460.731.541.992.303.394.838.85

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.