HASAFUMA : FX Momentum

archived programs
Year-to-Date
16.49%
Mar Performance
-7.85%
Min Investment
$ 20k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.76%
Sharpe (RFR=1%)
0.02
CAROR
-0.26%
Assets
$ 220k
Worst DD
-46.24
S&P Correlation
-0.02

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
7/2012
FX Momentum -7.85 -16.49 -16.49 -38.85 4.23 -34.73 - -1.76
S&P 500 1.79 13.07 13.07 7.33 36.22 49.85 - 103.42
+/- S&P 500 -9.64 -29.55 -29.55 -46.18 -31.99 -84.58 - -105.18

Strategy Description

Summary

BE REALISTIC: PLAN FOR A MIRACLE An Alternative Asset Manager Hallenborg & Sandström Fund Management AB (HASAFUMA.com) is an alternative wealth management company specializing in quant trading, trend following trading with global financial instruments, such as stocks, bonds,... 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
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Currency Futures
100.00%
Composition Pie Chart

Summary

BE REALISTIC: PLAN FOR A MIRACLE An Alternative Asset Manager Hallenborg & Sandström Fund Management AB (HASAFUMA.com) is an alternative wealth management company specializing in quant trading, trend following trading with global financial instruments, such as stocks, bonds, commodities, currencies, and indices. Founded in 2011 by Thomas Sandström and Henrik Hallenborg HASAFUMA addresses well-informed, risk-conscious investors. HASAFUMAs investment models are active in more than 50 international futures markets. To handle the large trading volumes the trading process is mainly computerized. The systems track the markets 24 hours to determine opportunities. By employing sophisticated systematic models based on algorithms rather than a fund managers belief about the future movements of the markets, we seek to profit from a statistically proven edge. By charting the actions of the market participants, detecting the psychology of the crowd, we seek to find situation where similar patterns tend to repeat themselves and thus gives us an edge to place our calculated “bets” in favorable situations. The trading models has been developed by statistical analysis of historical data of the futures markets. In applying the strategies to real trading a key aspect of the operation is the system’s ability to manage risk. The level of risk varies in HASAFUMAs programs and thus gives each investor the possibility to choose his own comfortable level. In general, the more risk, the higher is the possible return.

Investment Strategy

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
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
3.30 2 7/1/2015 8/1/2015
1.99 2 3/1/2014 4/1/2014
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
-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
-2.26 1 12/1/2013 12/1/2013
-1.97 1 9/1/2016 9/1/2016
-1.90 1 2/1/2014 2/1/2014
-1.62 1 2/1/2017 2/1/2017
-1.52 1 11/1/2016 11/1/2016
-1.43 1 3/1/2016 3/1/2016
-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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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods81.0079.0076.0070.0064.0058.0046.0034.00
Percent Profitable51.8558.2359.2155.7156.2551.7254.3588.24
Average Period Return0.110.571.814.337.748.849.007.79
Average Gain3.937.7513.6122.8931.9337.6630.669.37
Average Loss-4.01-9.44-15.33-19.03-23.37-22.04-16.77-4.03
Best Period16.7121.5538.0455.1983.3289.8256.9216.68
Worst Period-12.47-20.92-29.39-38.85-40.92-43.46-32.07-10.80
Standard Deviation5.1310.2916.8824.3032.2935.4427.946.01
Gain Standard Deviation3.525.499.2914.0820.4023.9417.914.13
Loss Standard Deviation2.916.188.559.7610.4311.149.384.58
Sharpe Ratio (1%)0.000.030.080.140.190.190.210.62
Average Gain / Average Loss0.980.820.891.201.371.711.832.33
Profit / Loss Ratio1.061.151.291.511.761.832.1817.45
Downside Deviation (10%)3.657.9412.5817.2421.5823.7123.1414.98
Downside Deviation (5%)3.477.3911.4514.7817.7918.3614.743.14
Downside Deviation (0%)3.427.2611.1714.1816.8817.1012.911.94
Sortino Ratio (10%)-0.08-0.08-0.05-0.040.01-0.06-0.29-0.92
Sortino Ratio (5%)0.010.040.110.230.350.370.411.19
Sortino Ratio (0%)0.030.080.160.310.460.520.704.02

Top Performer Badges

Index Award Type Rank Performance Period
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.