Hansen Capital : Comprehensive Program

archived programs
Year-to-Date
N / A
Mar Performance
-4.01%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
9.58%
Sharpe (RFR=1%)
0.36
CAROR
4.11%
Assets
$ 1.4M
Worst DD
-15.34
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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
1/2007
Comprehensive Program -4.01 - - - - - 5.16 33.91
S&P 500 0.69 - - - - - 66.22 140.86
+/- S&P 500 -4.70 - - - - - -61.06 -106.95

Strategy Description

Summary

Our Comprehensive Program is the product of many years of independent research. We have striven to build a program which is (1) statistically robust, (2) logical, (3) original, (4) uncorrelated with most of the industry, and (5) which employs cautious risk management, partly through... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 3500 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

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

Decision-Making

Discretionary 1.00%
Systematic 99.00%

Strategy

Composition

Summary

Our Comprehensive Program is the product of many years of independent research. We have striven to build a program which is (1) statistically robust, (2) logical, (3) original, (4) uncorrelated with most of the industry, and (5) which employs cautious risk management, partly through extensive diversification. The program is systematic, employing multiple proprietary technical systems. It is diversified across many markets, sectors, and time frames, with substantial exposure to physical commodities.

It employs eleven different trading systems, the majority of which are short-term in duration (average holding period of 10 days or less), and many of which employ counter-trend elements. (The number of trading systems may vary over time.) Stopout rules are applied to all trades.

   

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
-15.34 17 - 2/1/2012 7/1/2013
-11.17 2 7 8/1/2008 10/1/2008
-7.03 1 3 10/1/2010 11/1/2010
-5.17 2 4 8/1/2007 10/1/2007
-4.40 3 2 12/1/2009 3/1/2010
-4.38 3 2 5/1/2010 8/1/2010
-3.62 3 1 3/1/2008 6/1/2008
-2.70 2 1 4/1/2011 6/1/2011
-1.83 3 2 7/1/2009 10/1/2009
-0.69 1 1 1/1/2007 2/1/2007
-0.46 2 1 7/1/2011 9/1/2011
-0.03 1 1 12/1/2011 1/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
21.96 9 11/1/2008 7/1/2009
15.75 5 12/1/2010 4/1/2011
10.71 6 3/1/2007 8/1/2007
7.67 3 1/1/2008 3/1/2008
7.56 2 1/1/2014 2/1/2014
6.97 2 4/1/2010 5/1/2010
6.47 2 7/1/2008 8/1/2008
6.46 2 9/1/2010 10/1/2010
4.95 3 12/1/2012 2/1/2013
4.73 1 8/1/2013 8/1/2013
3.27 1 7/1/2011 7/1/2011
3.17 3 10/1/2011 12/1/2011
2.81 1 4/1/2013 4/1/2013
2.62 1 11/1/2007 11/1/2007
2.26 1 1/1/2007 1/1/2007
2.24 2 11/1/2009 12/1/2009
1.26 1 11/1/2013 11/1/2013
1.05 2 5/1/2012 6/1/2012
0.33 1 9/1/2009 9/1/2009
0.12 1 2/1/2012 2/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.17 2 9/1/2008 10/1/2008
-9.36 3 5/1/2013 7/1/2013
-7.88 5 7/1/2012 11/1/2012
-7.03 1 11/1/2010 11/1/2010
-5.17 2 9/1/2007 10/1/2007
-4.88 2 3/1/2012 4/1/2012
-4.40 3 1/1/2010 3/1/2010
-4.38 3 6/1/2010 8/1/2010
-4.01 1 3/1/2014 3/1/2014
-3.68 2 9/1/2013 10/1/2013
-3.62 3 4/1/2008 6/1/2008
-2.70 2 5/1/2011 6/1/2011
-2.23 1 3/1/2013 3/1/2013
-1.77 1 10/1/2009 10/1/2009
-0.93 1 12/1/2007 12/1/2007
-0.69 1 2/1/2007 2/1/2007
-0.47 1 12/1/2013 12/1/2013
-0.46 2 8/1/2011 9/1/2011
-0.39 1 8/1/2009 8/1/2009
-0.03 1 1/1/2012 1/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods87.0085.0082.0076.0070.0064.0052.0040.0028.00
Percent Profitable56.3258.8260.9861.8471.4378.1386.5495.00100.00
Average Period Return0.371.111.953.796.038.8915.8921.8225.40
Average Gain2.224.165.638.9011.3913.9118.7723.0225.40
Average Loss-2.00-3.24-3.79-4.49-7.36-9.04-2.59-1.04
Best Period6.7312.5215.6919.7221.0427.4239.2439.9350.54
Worst Period-10.25-10.20-8.56-10.75-15.24-13.84-8.04-1.687.68
Standard Deviation2.774.565.887.929.9310.8511.9913.1111.37
Gain Standard Deviation1.592.924.305.075.505.4110.1412.3111.37
Loss Standard Deviation2.042.422.283.304.014.092.880.90
Sharpe Ratio (1%)0.110.190.250.350.460.631.071.351.78
Average Gain / Average Loss1.111.281.491.981.551.547.2522.10
Profit / Loss Ratio1.431.832.323.213.875.4946.61419.94
Downside Deviation (10%)2.083.254.206.298.519.388.529.828.29
Downside Deviation (5%)1.922.713.023.945.185.492.331.50
Downside Deviation (0%)1.882.582.753.424.454.611.360.27
Sortino Ratio (10%)-0.02-0.04-0.12-0.19-0.18-0.150.020.03-0.27
Sortino Ratio (5%)0.150.320.480.710.871.255.5211.84
Sortino Ratio (0%)0.200.430.711.111.351.9311.6679.85

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.