HASAFUMA : La Cucaracha

Closed to new investments
Year-to-Date
1.41%
May Performance
-3.45%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
21.97%
Sharpe (RFR=1%)
-0.13
CAROR
-4.07%
Assets
$ 50k
Worst DD
-64.01
S&P Correlation
-0.04

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
9/2013
La Cucaracha -3.45 2.72 1.41 -1.03 -13.81 -42.99 - -27.52
S&P 500 0.55 10.31 15.56 42.58 60.44 104.89 - 161.18
+/- S&P 500 -4.00 -7.59 -14.15 -43.61 -74.25 -147.88 - -188.70

Strategy Description

Summary

La Cucaracha A Universal trend-following Algorithm La Cucaracha is a trend following systematic global macro strategy, which trade a large number of markets with a limited risk. All markets trades are chosen to have low mutual correlation. The program seeks to profit from long term... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 500 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 33.00%
1-3 Months 33.00%
1-30 Days 34.00%
Intraday 0%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency Futures
12.00%
Industrial Metals
11.00%
Precious Metals
11.00%
Energy
11.00%
Grains
11.00%
Interest Rates
11.00%
Livestock
11.00%
Softs
11.00%
Stock Indices
11.00%
Composition Pie Chart

Summary

La Cucaracha A Universal trend-following Algorithm La Cucaracha is a trend following systematic global macro strategy, which trade a large number of markets with a limited risk. All markets trades are chosen to have low mutual correlation. The program seeks to profit from long term trends in commodities, currencies and stocks, both up and down. Therefore both long and short position till be taken. The model has no correlation with any market index; the outcome depends entirely on the manager’s ability to take advantage of uptrends and downtrends in commodities, currencies and equities.

   

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
-64.01 70 - 3/1/2015 1/1/2021
-6.97 5 7 1/1/0001 1/1/2014
-3.11 1 1 12/1/2014 1/1/2015
-0.28 1 1 10/1/2014 11/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
36.02 1 12/1/2014 12/1/2014
29.36 2 2/1/2015 3/1/2015
18.70 2 4/1/2016 5/1/2016
12.71 1 2/1/2021 2/1/2021
9.20 1 11/1/2016 11/1/2016
8.01 1 9/1/2020 9/1/2020
7.84 4 7/1/2014 10/1/2014
7.32 3 2/1/2014 4/1/2014
6.39 1 4/1/2021 4/1/2021
6.15 2 7/1/2017 8/1/2017
4.30 2 3/1/2018 4/1/2018
3.71 1 1/1/2016 1/1/2016
3.46 1 4/1/2017 4/1/2017
2.97 1 5/1/2019 5/1/2019
2.83 1 9/1/2015 9/1/2015
2.64 1 2/1/2019 2/1/2019
2.24 1 12/1/2018 12/1/2018
1.43 1 9/1/2016 9/1/2016
1.13 1 11/1/2015 11/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.57 5 4/1/2015 8/1/2015
-18.38 4 12/1/2016 3/1/2017
-16.77 2 3/1/2019 4/1/2019
-15.35 6 9/1/2017 2/1/2018
-12.14 4 10/1/2020 1/1/2021
-11.30 3 6/1/2016 8/1/2016
-10.35 2 2/1/2016 3/1/2016
-9.98 15 6/1/2019 8/1/2020
-9.71 1 10/1/2015 10/1/2015
-9.36 2 5/1/2017 6/1/2017
-6.97 5 9/1/2013 1/1/2014
-5.22 1 12/1/2015 12/1/2015
-5.12 1 10/1/2016 10/1/2016
-3.45 1 5/1/2021 5/1/2021
-3.37 7 5/1/2018 11/1/2018
-3.11 1 1/1/2015 1/1/2015
-2.72 2 5/1/2014 6/1/2014
-2.32 1 3/1/2021 3/1/2021
-0.79 1 1/1/2019 1/1/2019
-0.28 1 11/1/2014 11/1/2014
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Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 2 8.00 9/2020
Diversified Trader Index Month 3 8.00 9/2020
IASG CTA Index Month 4 8.00 9/2020
Systematic Trader Index Month 4 8.00 9/2020

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