Hawksbill Capital Management : GDP Low Vol (Pro Forma) Program

archived programs
Year-to-Date
N / A
Jun Performance
-3.30%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.16%
Sharpe (RFR=1%)
0.67
CAROR
12.99%
Assets
$ 2.6M
Worst DD
-13.11
S&P Correlation
-0.18

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
10/2000
GDP Low Vol (Pro Forma) Program -3.30 - - - 3.97 53.09 128.35 188.30
S&P 500 0.02 - - - -27.62 -19.42 -33.03 -2.22
+/- S&P 500 -3.32 - - - 31.60 72.51 161.38 190.52

Strategy Description

Summary

-Hawksbill is a systematic, technically-based futures money manager that trades a diversified portfolio of over 50 worldwide financial and commodity futures markets. Tom Shanks, Hawksbill's president and sole principal, has managed client capital in the futures markets since 1985.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
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
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
1625 RT/YR/$M
Avg. Margin-to-Equity
9%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Not Specified

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
0%

Strategy

Composition

Summary

-Hawksbill is a systematic, technically-based futures money manager that trades a diversified portfolio of over 50 worldwide financial and commodity futures markets. Tom Shanks, Hawksbill's president and sole principal, has managed client capital in the futures markets since 1985. From January 1985 to May 1988, he managed capital for Richard Dennis in the successful and well-known Turtle Program. In November 1988 he began managing client assets through Hawksbill Capital Management, a U.S. registered Commodity Trading Advisor and Commodity Pool Operator, offering its original Global Diversified Program. In October 2000 Hawksbill launched GDP Low Vol, a program that mirrors the original Global Diversified Program, except positions are sized approximately 50% smaller. The minimum account size for both programs is $2 million. Hawksbill's trading approach comprises a number of technical, primarily trend-following trading systems, money management rules and Hawksbill's overall trading experience and judgment regarding various market factors and conditions. The trading systems, which are internally researched and developed, rely upon the research and analysis of patterns of daily, weekly and monthly historical price fluctuations - they are not based on analysis of fundamental supply and demand factors. Although the preponderance of Hawksbill's trading is strictly mechanical, discretion is currently employed between 10% and 15% of the time, on average. The trading approach emphasizes risk control through proprietary money management rules and diversification of systems and markets within each portfolio. Hawksbill's methodology involves active, aggressive trading. In the GDP Low Vol program, generally between 10% and 30% of an account's equity is committed to margin, but commitment may occasionally exceed 30%. Therefore an account with Hawksbill should be considered a highly speculative investment. Currently, the market groups or contracts traded in Hawksbill's two programs include: Currencies (U.S. Dollar Index, British Pound, Euro, Swiss Franc, Japanese Yen, Canadian Dollar, Australian Dollar, Mexican Peso), Interest Rates (U.S., European, Japanese, Australian, Canadian), Stock Indices (NIKKEI), Metals (Gold, Silver, Copper), Energy (Crude Oil, Heating Oil, Gas Oil, Natural Gas, Unleaded Gasoline, Brent Crude Oil), Grains (Soybeans, Soybean Oil, Soybean Meal, Corn, Wheat), Softs (coffee, cotton, sugar, cocoa and orange juice). The programs are not invested in all markets at all times. Hawksbill may add or delete markets and/or exchanges from the portfolio at its discretion.

   

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:
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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
-13.11 4 4 10/1/2001 2/1/2002
-12.96 25 9 2/1/2004 3/1/2006
-12.73 4 - 12/1/2008 4/1/2009
-8.91 3 4 1/1/2001 4/1/2001
-8.36 1 2 2/1/2003 3/1/2003
-7.06 3 4 12/1/2006 3/1/2007
-6.45 2 3 9/1/2002 11/1/2002
-6.22 1 3 9/1/2007 10/1/2007
-6.12 2 1 5/1/2008 7/1/2008
-5.20 2 2 9/1/2003 11/1/2003
-4.79 1 1 1/1/0001 10/1/2000
-1.30 1 1 7/1/2007 8/1/2007
-0.37 1 1 10/1/2008 11/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
28.98 5 5/1/2002 9/1/2002
28.53 3 11/1/2000 1/1/2001
27.24 7 11/1/2007 5/1/2008
25.76 6 5/1/2001 10/1/2001
22.21 2 11/1/2006 12/1/2006
22.13 3 8/1/2008 10/1/2008
19.25 6 4/1/2003 9/1/2003
12.39 1 9/1/2007 9/1/2007
12.19 1 4/1/2006 4/1/2006
9.86 4 4/1/2007 7/1/2007
9.48 3 12/1/2002 2/1/2003
8.69 3 12/1/2003 2/1/2004
8.37 1 3/1/2002 3/1/2002
7.78 1 2/1/2005 2/1/2005
7.64 4 5/1/2005 8/1/2005
7.52 1 5/1/2009 5/1/2009
6.66 3 11/1/2005 1/1/2006
5.48 2 10/1/2004 11/1/2004
2.93 1 12/1/2008 12/1/2008
1.99 1 8/1/2004 8/1/2004
1.59 1 3/1/2001 3/1/2001
1.13 1 8/1/2006 8/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.11 4 11/1/2001 2/1/2002
-12.73 4 1/1/2009 4/1/2009
-11.03 5 3/1/2004 7/1/2004
-8.90 2 2/1/2006 3/1/2006
-8.51 1 4/1/2001 4/1/2001
-8.36 1 3/1/2003 3/1/2003
-7.06 3 1/1/2007 3/1/2007
-7.04 3 5/1/2006 7/1/2006
-6.71 2 9/1/2005 10/1/2005
-6.45 2 10/1/2002 11/1/2002
-6.22 2 3/1/2005 4/1/2005
-6.22 1 10/1/2007 10/1/2007
-6.21 2 12/1/2004 1/1/2005
-6.12 2 6/1/2008 7/1/2008
-5.20 2 10/1/2003 11/1/2003
-5.08 2 9/1/2006 10/1/2006
-4.79 1 10/1/2000 10/1/2000
-4.35 1 4/1/2002 4/1/2002
-3.30 1 6/1/2009 6/1/2009
-2.00 1 2/1/2001 2/1/2001
-1.67 1 9/1/2004 9/1/2004
-1.30 1 8/1/2007 8/1/2007
-0.37 1 11/1/2008 11/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods104.00103.00100.0094.0088.0082.0070.0058.0046.00
Percent Profitable56.7359.2273.0078.7281.8286.5990.0098.2897.83
Average Period Return1.043.837.0814.5221.8628.2633.9440.1650.83
Average Gain4.3010.0912.1620.2728.1833.9038.8341.5252.51
Average Loss-3.23-5.26-6.64-6.75-6.59-8.11-10.13-37.09-24.70
Best Period18.4885.8493.07122.02162.80217.7490.0191.4978.68
Worst Period-8.51-39.22-44.49-43.95-42.65-42.34-44.81-37.09-24.70
Standard Deviation4.9512.6214.3119.4426.0132.9728.5425.2319.25
Gain Standard Deviation3.8712.1412.6417.4024.2031.5725.2723.2215.69
Loss Standard Deviation2.206.148.309.039.8212.0615.78
Sharpe Ratio (1%)0.190.280.460.700.780.801.081.432.38
Average Gain / Average Loss1.331.921.833.004.284.183.831.122.13
Profit / Loss Ratio1.752.794.9511.1119.2526.9734.4963.8195.66
Downside Deviation (10%)2.795.676.376.817.478.5110.179.127.90
Downside Deviation (5%)2.605.235.635.415.335.626.225.424.39
Downside Deviation (0%)2.565.135.465.114.935.165.624.873.64
Sortino Ratio (10%)0.230.460.721.401.912.121.792.042.94
Sortino Ratio (5%)0.370.691.172.503.824.674.976.6610.41
Sortino Ratio (0%)0.410.751.302.844.435.486.048.2513.96

Top Performer Badges

Index Award Type Rank Performance Period

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