Hansen Capital : Managed Account Program

archived programs
Year-to-Date
N / A
Mar Performance
-4.53%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
12.04%
Sharpe (RFR=1%)
0.53
CAROR
6.91%
Assets
$ 9.6M
Worst DD
-17.12
S&P Correlation
0.09

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
4/1994
Managed Account Program -4.53 - - - - - 6.11 280.73
S&P 500 0.69 - - - - - 66.22 694.92
+/- S&P 500 -5.22 - - - - - -60.11 -414.19

Strategy Description

Summary

Peter J. Hansen, President of Hansen Capital Management, Inc., is a graduate of Harvard College, where he received a B.A. Magna cum laude in Government. He also studied economics, computer science, and statistics. We have striven to build a program which is (1) statistically robust,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
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

Peter J. Hansen, President of Hansen Capital Management, Inc., is a graduate of Harvard College, where he received a B.A. Magna cum laude in Government. He also studied economics, computer science, and statistics. 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. Our program is systematic, employing multiple proprietary technical systems. Most of these systems are short-term in nature, with average holding periods of one week or less. We currently trade 23 markets, including both physical commodities and financial instruments. (The exact number of markets traded varies over time.) Our short-term systems contain both reversal and momentum indicators, and are unlike the systems of long-term trend-following traders, so our performance is NOT highly correlated with those of most other CTAs. We believe our program provides unusual diversification for a CTA portfolio. We invite people to look especially closely at our results since late 1998, when we made significant changes to our program and concentrated on short-term trading.

Investment Strategy

HCM has had five overarching aims in developing the Managed Account Program in futures. We have striven to build a program, which is:

* Statistically robust
*Logical
*Original
*Uncorrelated with most of the industry

Employs cautious risk management, partly through extensive diversification. The program has evolved over time, and our research effort is ongoing. Our Managed Account Program is based on systematic, primarily short-term trading. The program employs multiple systems, and currently trades 19 markets. (The exact number of markets traded varies over time.) Our short-term systems, most of which contain reversal and momentum indicators, are unlike the systems of long-term trend-following traders, so our performance is NOT highly correlated with those of most other CTAs.

HCM believes our systematic short-term focus provides unusual diversification for a CTA portfolio. Our program has changed significantly since late 1998, so we invite people to look especially closely at our results since then.

   

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
-17.12 3 5 7/1/1995 10/1/1995
-16.94 11 18 6/1/2001 5/1/2002
-16.34 7 9 3/1/1998 10/1/1998
-13.13 17 - 2/1/2012 7/1/2013
-12.26 16 12 12/1/2004 4/1/2006
-11.24 2 4 7/1/1999 9/1/1999
-8.34 3 2 3/1/1997 6/1/1997
-6.94 1 3 10/1/2010 11/1/2010
-6.57 1 1 1/1/1997 2/1/1997
-6.41 2 3 8/1/2007 10/1/2007
-6.13 8 2 7/1/2009 3/1/2010
-5.56 3 1 3/1/2008 6/1/2008
-5.39 3 1 4/1/1996 7/1/1996
-5.33 1 3 9/1/2008 10/1/2008
-5.02 3 4 3/1/2000 6/1/2000
-4.12 2 2 6/1/2010 8/1/2010
-3.88 2 2 2/1/1995 4/1/1995
-3.82 2 1 1/1/2004 3/1/2004
-3.02 3 1 1/1/2001 4/1/2001
-3.00 1 1 10/1/2000 11/1/2000
-2.66 3 1 3/1/2011 6/1/2011
-2.63 1 3 9/1/1997 10/1/1997
-1.21 1 1 1/1/1998 2/1/1998
-1.18 1 1 9/1/1996 10/1/1996
-0.99 1 1 6/1/1994 7/1/1994
-0.99 1 1 8/1/1994 9/1/1994
-0.98 1 1 5/1/2007 6/1/2007
-0.86 2 1 7/1/2004 9/1/2004
-0.56 2 1 7/1/2011 9/1/2011
-0.06 1 1 10/1/2011 11/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
31.96 5 10/1/1994 2/1/1995
20.69 6 10/1/1999 3/1/2000
20.61 9 11/1/2008 7/1/2009
20.51 3 11/1/1995 1/1/1996
17.94 5 9/1/2003 1/1/2004
14.03 4 12/1/2010 3/1/2011
13.08 3 7/1/1997 9/1/1997
12.65 3 10/1/2004 12/1/2004
12.55 2 8/1/1996 9/1/1996
12.53 2 3/1/1996 4/1/1996
10.84 5 5/1/2006 9/1/2006
10.35 3 7/1/2008 9/1/2008
9.87 3 1/1/2008 3/1/2008
9.63 4 4/1/2004 7/1/2004
9.23 2 10/1/2005 11/1/2005
9.09 3 5/1/1995 7/1/1995
8.89 3 11/1/1998 1/1/1999
8.75 2 3/1/1999 4/1/1999
8.57 2 7/1/2007 8/1/2007
8.53 2 1/1/2014 2/1/2014
8.37 1 9/1/1998 9/1/1998
8.19 2 5/1/2001 6/1/2001
7.37 3 4/1/2010 6/1/2010
7.25 1 3/1/1997 3/1/1997
7.01 4 7/1/2000 10/1/2000
6.35 1 6/1/2002 6/1/2002
5.96 3 4/1/2003 6/1/2003
5.80 1 6/1/2005 6/1/2005
5.54 2 9/1/2010 10/1/2010
5.42 3 12/1/2002 2/1/2003
5.08 2 6/1/1999 7/1/1999
4.99 2 12/1/2000 1/1/2001
4.98 3 11/1/1996 1/1/1997
4.80 1 11/1/2007 11/1/2007
4.55 3 12/1/2012 2/1/2013
4.49 3 11/1/2006 1/1/2007
4.39 3 3/1/2007 5/1/2007
4.38 1 8/1/2013 8/1/2013
3.64 3 4/1/1994 6/1/1994
3.29 3 11/1/1997 1/1/1998
3.28 1 3/1/1998 3/1/1998
3.04 1 8/1/1994 8/1/1994
2.83 1 7/1/2011 7/1/2011
2.81 2 8/1/2002 9/1/2002
2.45 1 4/1/2005 4/1/2005
2.25 1 4/1/2013 4/1/2013
1.80 1 3/1/2001 3/1/2001
1.71 1 11/1/2013 11/1/2013
1.41 2 5/1/2012 6/1/2012
1.35 1 12/1/2009 12/1/2009
1.24 1 10/1/2011 10/1/2011
0.59 3 12/1/2011 2/1/2012
0.30 1 2/1/2002 2/1/2002
0.06 1 4/1/2002 4/1/2002
0.04 1 5/1/2011 5/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.12 3 8/1/1995 10/1/1995
-15.20 5 4/1/1998 8/1/1998
-13.70 7 7/1/2001 1/1/2002
-11.61 5 12/1/2005 4/1/2006
-11.24 2 8/1/1999 9/1/1999
-9.14 3 1/1/2005 3/1/2005
-8.96 1 10/1/1998 10/1/1998
-8.34 3 4/1/1997 6/1/1997
-7.69 5 7/1/2012 11/1/2012
-7.48 3 5/1/2013 7/1/2013
-7.45 3 7/1/2005 9/1/2005
-6.94 1 11/1/2010 11/1/2010
-6.57 1 2/1/1997 2/1/1997
-6.41 2 9/1/2007 10/1/2007
-6.27 1 3/1/2003 3/1/2003
-5.56 3 4/1/2008 6/1/2008
-5.39 3 5/1/1996 7/1/1996
-5.33 1 10/1/2008 10/1/2008
-5.02 3 4/1/2000 6/1/2000
-4.58 3 1/1/2010 3/1/2010
-4.53 1 3/1/2014 3/1/2014
-4.40 1 10/1/2006 10/1/2006
-4.24 2 3/1/2012 4/1/2012
-4.12 2 7/1/2010 8/1/2010
-3.88 2 3/1/1995 4/1/1995
-3.82 2 2/1/2004 3/1/2004
-3.74 2 9/1/2013 10/1/2013
-3.46 2 7/1/2003 8/1/2003
-3.00 1 11/1/2000 11/1/2000
-2.94 4 8/1/2009 11/1/2009
-2.83 1 2/1/1996 2/1/1996
-2.76 1 5/1/1999 5/1/1999
-2.63 1 10/1/1997 10/1/1997
-2.49 1 5/1/2002 5/1/2002
-2.44 1 4/1/2001 4/1/2001
-2.35 1 2/1/2001 2/1/2001
-2.27 1 6/1/2011 6/1/2011
-2.02 1 3/1/2013 3/1/2013
-1.66 1 3/1/2002 3/1/2002
-1.21 1 2/1/1998 2/1/1998
-1.18 1 10/1/1996 10/1/1996
-1.12 2 10/1/2002 11/1/2002
-1.09 1 12/1/2007 12/1/2007
-0.99 1 9/1/1994 9/1/1994
-0.99 1 7/1/1994 7/1/1994
-0.98 1 6/1/2007 6/1/2007
-0.86 2 8/1/2004 9/1/2004
-0.67 1 2/1/2007 2/1/2007
-0.56 2 8/1/2011 9/1/2011
-0.44 1 4/1/2011 4/1/2011
-0.29 1 5/1/2005 5/1/2005
-0.23 1 2/1/1999 2/1/1999
-0.19 1 7/1/2002 7/1/2002
-0.14 1 12/1/2013 12/1/2013
-0.06 1 11/1/2011 11/1/2011
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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 Profitable56.2563.0369.7975.5575.7879.7294.1597.41100.00
Average Period Return0.621.863.657.0410.3814.3421.5728.8038.05
Average Gain2.925.207.2611.1915.5519.4423.0829.6238.05
Average Loss-2.34-3.84-4.69-5.79-5.80-5.68-2.65-1.95
Best Period11.1220.5131.7641.1742.3760.9075.0986.2383.28
Worst Period-11.23-17.12-13.49-15.69-13.00-12.25-6.94-4.754.05
Standard Deviation3.475.757.7410.3312.3115.1415.8514.9117.21
Gain Standard Deviation2.464.116.088.169.2812.5215.1014.2217.21
Loss Standard Deviation2.073.043.653.493.093.232.101.69
Sharpe Ratio (1%)0.150.280.410.580.720.811.171.661.91
Average Gain / Average Loss1.251.351.551.932.683.428.7115.20
Profit / Loss Ratio1.602.313.575.978.3913.45140.11571.69
Downside Deviation (10%)2.273.594.455.737.027.706.666.696.70
Downside Deviation (5%)2.103.093.483.773.903.751.481.150.08
Downside Deviation (0%)2.062.973.263.343.232.930.800.40
Sortino Ratio (10%)0.090.180.260.360.400.530.871.081.56
Sortino Ratio (5%)0.250.520.901.602.283.2912.4921.59419.99
Sortino Ratio (0%)0.300.631.122.113.224.8926.8072.59

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.