HASAFUMA : Micro Macro

archived programs
Year-to-Date
14.70%
Jul Performance
9.35%
Min Investment
$ 25k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
12.12%
Sharpe (RFR=1%)
-0.79
CAROR
-8.95%
Assets
$ 50k
Worst DD
-48.73
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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
6/2013
Micro Macro 9.35 0.00 14.70 14.74 0.52 -9.78 - -41.06
S&P 500 5.51 12.32 1.25 9.76 31.27 53.90 - 101.50
+/- S&P 500 3.84 -12.32 13.46 4.98 -30.75 -63.68 - -142.56

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, commodities,... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25k
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 1-7 Days
Redemption Frequency 1-7 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 5000 RT/YR/$M
Avg. Margin-to-Equity
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Momentum
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Currency Futures
10.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Interest Rates
10.00%
Livestock
10.00%
Softs
10.00%
Stock Indices
10.00%
Other
10.00%
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

Micro Macro – Micro trends in Macro instruments Micro Macro is a systematic trend following program that follow short term momentum moves up and down in a wide range of financial markets, correlated and uncorrelated. The trend this strategy follow normally last between 1-3 days. It is a model that seeks to profit from micro trends in macro instruments. The model has no correlation to any market indices; the performance depends entirely on the manager’s ability to follow a trend, regardless of market conditions. Micro Macro is for investors who are seeking to diversify a long term trend following portfolio with an uncorrelated short term model. The program can also be a standalone investment that has no correlation with any other investment vehicle.

   

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
-48.73 -1 - 1/1/0001 11/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
24.04 4 10/1/2013 1/1/2014
15.42 6 1/1/2016 6/1/2016
13.52 1 2/1/2020 2/1/2020
9.35 1 7/1/2020 7/1/2020
5.29 1 4/1/2015 4/1/2015
3.55 1 8/1/2016 8/1/2016
3.51 2 12/1/2014 1/1/2015
1.63 1 9/1/2014 9/1/2014
1.15 2 2/1/2018 3/1/2018
1.04 1 6/1/2019 6/1/2019
0.64 1 4/1/2014 4/1/2014
0.30 2 11/1/2017 12/1/2017
0.23 1 12/1/2019 12/1/2019
0.22 3 11/1/2018 1/1/2019
0.21 2 3/1/2017 4/1/2017
0.18 2 6/1/2017 7/1/2017
0.10 1 7/1/2015 7/1/2015
0.06 1 7/1/2018 7/1/2018
0.03 1 9/1/2018 9/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.52 4 6/1/2013 9/1/2013
-16.35 4 5/1/2014 8/1/2014
-16.25 5 8/1/2015 12/1/2015
-11.31 6 9/1/2016 2/1/2017
-10.24 2 10/1/2014 11/1/2014
-9.53 5 7/1/2019 11/1/2019
-7.51 4 3/1/2020 6/1/2020
-6.16 2 5/1/2015 6/1/2015
-6.08 2 2/1/2014 3/1/2014
-5.10 2 2/1/2015 3/1/2015
-4.05 4 2/1/2019 5/1/2019
-2.33 3 8/1/2017 10/1/2017
-1.63 3 4/1/2018 6/1/2018
-1.29 1 5/1/2017 5/1/2017
-1.23 1 7/1/2016 7/1/2016
-0.24 1 10/1/2018 10/1/2018
-0.11 1 1/1/2018 1/1/2018
-0.09 1 1/1/2020 1/1/2020
-0.07 1 8/1/2018 8/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods86.0084.0081.0075.0069.0063.0051.0039.0027.00
Percent Profitable39.5332.1420.998.007.254.761.960.000.00
Average Period Return-0.54-1.58-2.81-7.41-10.52-13.17-17.79-23.36-30.17
Average Gain2.295.259.693.621.710.900.88
Average Loss-2.40-4.82-6.13-8.37-11.48-13.87-18.17-23.36-30.17
Best Period13.5223.1816.506.523.651.640.88-2.25-14.69
Worst Period-11.25-18.73-20.51-25.34-30.65-39.76-38.53-40.41-41.50
Standard Deviation3.756.988.477.438.729.509.619.046.93
Gain Standard Deviation3.326.025.922.461.280.69
Loss Standard Deviation2.734.715.386.928.319.189.339.046.93
Sharpe Ratio (1%)-0.17-0.26-0.39-1.13-1.38-1.60-2.17-3.03-5.09
Average Gain / Average Loss0.961.091.580.430.150.060.05
Profit / Loss Ratio0.630.520.420.040.010.000.00
Downside Deviation (10%)3.036.309.0014.4320.0825.2534.8845.7958.20
Downside Deviation (5%)2.855.677.5611.1414.8117.8722.8928.8435.92
Downside Deviation (0%)2.815.537.2210.3813.6116.1920.1825.0130.93
Sortino Ratio (10%)-0.31-0.45-0.59-0.86-0.90-0.93-0.96-0.98-0.99
Sortino Ratio (5%)-0.22-0.32-0.44-0.75-0.81-0.85-0.91-0.95-0.98
Sortino Ratio (0%)-0.19-0.29-0.39-0.71-0.77-0.81-0.88-0.93-0.98

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 9.35 7/2020

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