HASAFUMA : FX Momentum

Closed to new investments
Year-to-Date
3.69%
May Performance
8.79%
Min Investment
$ 20k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.10%
Sharpe (RFR=1%)
0.07
CAROR
0.88%
Assets
$ 80k
Worst DD
-46.24
S&P Correlation
0.00

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
7/2012
FX Momentum 8.79 7.34 3.69 7.78 -33.18 -3.59 - 8.10
S&P 500 0.55 10.31 15.56 42.58 60.44 104.89 - 211.49
+/- S&P 500 8.24 -2.97 -11.87 -34.80 -93.61 -108.48 - -203.39

Strategy Description

Summary

FX Momentum A Currency Futures Strategy The FX Momentum strategy tries to take advantage of short term trends. The model follows impulse moves in the markets by buying high to sell even higher, and selling short at low levels, to buy back even lower. FX Momentum has no correlation... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 20k
Trading Level Incremental Increase $ 20k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency 7-14 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1650 RT/YR/$M
Avg. Margin-to-Equity 20%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Currency Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 15.00%
Intraday 85.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Momentum
100.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

FX Momentum A Currency Futures Strategy The FX Momentum strategy tries to take advantage of short term trends. The model follows impulse moves in the markets by buying high to sell even higher, and selling short at low levels, to buy back even lower. FX Momentum has no correlation to any indices. The results of the model are totally dependent on the manager’s ability to take advantage of short-term fluctuations in the currency market. With a minimum capital requirement of $20.000, FX Momentum is suitable for small and large investors, who would like to profit from short-term trends up or down.

   

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
-46.24 20 19 4/1/2014 12/1/2015
-41.34 11 - 4/1/2018 3/1/2019
-6.99 4 3 4/1/2013 8/1/2013
-4.05 1 2 10/1/2017 11/1/2017
-3.96 2 1 1/1/2018 3/1/2018
-2.26 1 1 11/1/2013 12/1/2013
-1.90 1 2 1/1/2014 2/1/2014
-0.27 1 1 11/1/2012 12/1/2012
-0.01 1 1 8/1/2017 9/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
28.77 5 4/1/2016 8/1/2016
23.19 4 1/1/2013 4/1/2013
17.29 5 7/1/2012 11/1/2012
17.28 2 1/1/2016 2/1/2016
12.16 4 1/1/2015 4/1/2015
10.28 2 12/1/2016 1/1/2017
10.08 3 9/1/2013 11/1/2013
9.49 3 4/1/2019 6/1/2019
8.79 1 5/1/2021 5/1/2021
8.68 2 12/1/2017 1/1/2018
7.85 1 3/1/2017 3/1/2017
7.82 4 5/1/2017 8/1/2017
5.11 1 1/1/2014 1/1/2014
4.53 1 10/1/2017 10/1/2017
4.24 1 4/1/2018 4/1/2018
4.11 1 10/1/2016 10/1/2016
3.96 1 7/1/2013 7/1/2013
3.45 1 7/1/2020 7/1/2020
3.30 2 7/1/2015 8/1/2015
2.67 1 3/1/2020 3/1/2020
2.30 1 12/1/2020 12/1/2020
1.99 2 3/1/2014 4/1/2014
1.05 1 3/1/2021 3/1/2021
0.83 1 9/1/2020 9/1/2020
0.60 1 9/1/2019 9/1/2019
0.51 1 9/1/2014 9/1/2014
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Consecutive Losses

Run-up Length (Mos.) Start End
-41.34 11 5/1/2018 3/1/2019
-24.98 4 9/1/2015 12/1/2015
-18.91 3 10/1/2014 12/1/2014
-15.88 4 5/1/2014 8/1/2014
-9.78 2 5/1/2015 6/1/2015
-6.14 1 8/1/2013 8/1/2013
-5.41 5 10/1/2019 2/1/2020
-4.68 2 5/1/2013 6/1/2013
-4.05 1 11/1/2017 11/1/2017
-3.96 2 2/1/2018 3/1/2018
-3.40 2 1/1/2021 2/1/2021
-3.22 2 7/1/2019 8/1/2019
-2.36 1 4/1/2021 4/1/2021
-2.26 1 12/1/2013 12/1/2013
-1.97 1 9/1/2016 9/1/2016
-1.93 2 10/1/2020 11/1/2020
-1.90 1 2/1/2014 2/1/2014
-1.62 1 2/1/2017 2/1/2017
-1.54 3 4/1/2020 6/1/2020
-1.52 1 11/1/2016 11/1/2016
-1.43 1 3/1/2016 3/1/2016
-0.50 1 8/1/2020 8/1/2020
-0.27 1 4/1/2017 4/1/2017
-0.27 1 12/1/2012 12/1/2012
-0.01 1 9/1/2017 9/1/2017
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Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 5 0.80 9/2020
Trend Following Strategy Index Month 6 5.11 1/2014
Trend Following Strategy Index Month 10 7.32 11/2013
Systematic Trader Index Month 6 12.67 1/2013
Trend Following Strategy Index Month 5 12.67 1/2013
Trend Following Strategy Index Month 3 4.79 11/2012
Trend Following Strategy Index Month 10 0.70 10/2012
Trend Following Strategy Index Month 4 6.86 8/2012
Systematic Trader Index Month 5 6.86 8/2012

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