Hartswell Capital Ltd : MP-1

archived programs
Year-to-Date
2.67%
Jan Performance
2.67%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.31%
Sharpe (RFR=1%)
1.23
CAROR
25.64%
Assets
$ 12.5M
Worst DD
-20.09
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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
1/2014
MP-1 2.67 5.28 2.67 -8.77 37.72 223.49 - 219.03
S&P 500 7.87 -0.28 7.87 -4.24 37.96 50.16 - 50.16
+/- S&P 500 -5.20 5.56 -5.20 -4.53 -0.25 173.33 - 168.86

Strategy Description

Summary

Hartswell Capital is a boutique absolute return strategy developer led by a multiple Award Winning Portfolio Manager specializing in systematic, technical and quantitative investment strategies in a Global Macro setting focused on currencies in major markets with dynamic risk-management... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
5.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$30.00
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
30000 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
-12.24%
Sector Focus
Currency Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
5.00%
Intraday
95.00%

Decision-Making

Discretionary
1.00%
Systematic
99.00%

Strategy

Counter-trend
5.00%
Momentum
25.00%
Technical
10.00%
Trend-following
25.00%
Other
35.00%
Strategy Pie Chart

Composition

Currency FX
100.00%
Composition Pie Chart

Summary

Hartswell Capital is a boutique absolute return strategy developer led by a multiple Award Winning Portfolio Manager specializing in systematic, technical and quantitative investment strategies in a Global Macro setting focused on currencies in major markets with dynamic risk-management being the foundation of all strategies.

Investment Strategy

MP – 1 looks to recognize naturally evolving price movements which are present in most market conditions, whether that is volatile, nonvolatile or trending, the three important components of a market environment we look for. These price movements are composed of numerous proprietary formulations in which we identify through the use of a proprietary blend using, but not limited to the following: Moving Averages (MA5, 10, 20, 50, 100, 200), Relative Strength Index, Stochastic oscillators, and MACD, with filters such as ADX, Time of Day, News Impact, Fibonacci, Pivot Points, Support/Resistance, Candlestick patterns amongst others which we consider to be proprietary formulas we developed strictly for the use of the MP – 1 strategy. MP – 1 is primarily based on strategies where volatility exists in multiple currencies, with this comes very strict parameters to control our risk with respect to maximum allowed leverage in our system, trades, closures, break even levels etc in which works well when a strong trend is evident, to compensate for periods of non-volatility, the system uses strategies with less weight such as reversion, “scalping” etc and thus enables our system to maintain a respectable DD during all market conditions Hartswell Capital’s MP – 1 is traded on Major FX pairs and cross pairs of the G10 currencies. Hartswell Capital reserves the right to add and remove any currency pair we deem to be either beneficial or harmful to the strategy without notice to client. The algorithm trades 24 hours a day to ensure that all possible market moves are captured within the allotted parameters and the active strategies in the MP – 1. The risk exposure can be adjusted to investor specifications and risk desire to accommodate each individual specifically. Position sizing is between 1/10th to 3/10th of acct value per trade, 100K acct takes on orders of 10K-30K contract sizes, aggregate of total position sizing will be no more than 2000K for the MP – 1

Risk Management

Hartswell Capital has established a strong and cohesive risk management unit for the Hartswell Capital MP – 1 Program. Complete accountability and supervision of risk management lies with the Hartswell Capital Risk Committee (HARC), overseen by the Portfolio Manager for Hartswell Capital Management Inc. Hartswell Capital Risk Committee – Complete accountability and oversight of the MP – 1 program, sets internal investment strategies and risk parameters. The Hartswell Capital Risk Committee is responsible for the implementation of risk and investment strategies. HARC meets weekly to review performance, risk levels and strategy within Hartswell Capital. HARC is accountable for ensuring compliance with the appropriate risk parameters set forth and also to enforce action in case these guidelines are breached as set forth by Hartswell Capital. Portfolio Manager – MP – 1 manager makes certain the system adheres to the investment strategies and stop loss levels of positions taken by the algorithm. The Portfolio Manager for the MP – 1 is individually accountable for ensuring the implementation of their principal strategies within their parameters as deemed necessary by the Hartswell Capital Risk Committee. Research Strategist – Detailed risk analysis, monthly review of performance with Managing Members. The Research Strategists analyze the overall function of the portfolio, risk absorptions and other fundamental and technical factors given the market setting employing an extensive series of analytical and quantitative methodologies.

   

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
-20.09 5 - 4/1/2018 9/1/2018
-6.88 2 3 11/1/2017 1/1/2018
-6.45 3 6 1/1/0001 3/1/2014
-6.34 1 2 11/1/2014 12/1/2014
-4.97 3 6 6/1/2016 9/1/2016
-3.68 1 2 8/1/2017 9/1/2017
-2.08 2 1 7/1/2015 9/1/2015
-1.79 2 2 3/1/2017 5/1/2017
-0.74 1 1 12/1/2015 1/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
66.89 7 1/1/2015 7/1/2015
45.94 5 2/1/2016 6/1/2016
38.82 8 4/1/2014 11/1/2014
17.41 3 10/1/2015 12/1/2015
10.64 3 6/1/2017 8/1/2017
7.99 3 2/1/2018 4/1/2018
6.61 2 10/1/2018 11/1/2018
4.41 2 10/1/2017 11/1/2017
3.69 2 2/1/2017 3/1/2017
3.02 1 12/1/2016 12/1/2016
2.67 1 1/1/2019 1/1/2019
1.35 1 8/1/2016 8/1/2016
0.18 1 10/1/2016 10/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.09 5 5/1/2018 9/1/2018
-6.88 2 12/1/2017 1/1/2018
-6.45 3 1/1/2014 3/1/2014
-6.34 1 12/1/2014 12/1/2014
-3.83 1 9/1/2016 9/1/2016
-3.68 1 9/1/2017 9/1/2017
-3.42 1 12/1/2018 12/1/2018
-2.50 1 7/1/2016 7/1/2016
-2.08 2 8/1/2015 9/1/2015
-1.79 2 4/1/2017 5/1/2017
-0.74 1 1/1/2016 1/1/2016
-0.03 1 11/1/2016 11/1/2016
-0.02 1 1/1/2017 1/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods61.0059.0056.0050.0044.0038.0026.0014.00
Percent Profitable63.9374.5873.2186.0086.3684.21100.00100.00
Average Period Return2.066.8515.4638.7167.76100.84163.84229.59
Average Gain4.7611.1723.6147.1579.81120.45163.84229.59
Average Loss-2.71-5.84-6.83-13.15-8.51-3.76
Best Period21.3042.6361.04104.41194.01251.64275.48301.93
Worst Period-9.06-16.77-19.76-18.82-14.44-6.2633.14147.74
Standard Deviation5.5712.5521.9738.9361.8685.2187.1457.50
Gain Standard Deviation5.0411.4219.8635.2957.8978.4387.1457.50
Loss Standard Deviation2.314.626.543.745.202.81
Sharpe Ratio (1%)0.360.530.680.971.071.161.853.92
Average Gain / Average Loss1.751.913.463.599.3832.01
Profit / Loss Ratio3.115.619.4522.0359.38170.75
Downside Deviation (10%)2.314.225.846.976.255.80
Downside Deviation (5%)2.163.815.015.454.092.51
Downside Deviation (0%)2.123.714.815.093.601.81
Sortino Ratio (10%)0.721.332.234.849.6215.61
Sortino Ratio (5%)0.921.732.996.9216.1939.36
Sortino Ratio (0%)0.971.853.217.6118.8355.71

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index 5 Year Rolling 3 210.73 2013 - 2018
Systematic Trader Index Month 6 6.17 11/2018
IASG CTA Index Month 7 6.17 11/2018
IASG CTA Index Sharpe 10 1.70 2016 - 2017
IASG CTA Index 3 Year Rolling 2 196.92 2014 - 2017

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