HB Capital Management Inc. : Diversified Program

Year-to-Date
10.00%
Jul Performance
-3.18%
Min Investment
$ 50k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
10.55%
Sharpe (RFR=1%)
0.33
CAROR
3.94%
Assets
$ 5.9M
Worst DD
-23.71
S&P Correlation
-0.06

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
3/2008
Diversified Program -3.18 3.71 10.00 10.74 1.57 14.70 - 43.92
S&P 500 1.93 3.45 10.17 13.48 27.75 78.82 - 86.45
+/- S&P 500 -5.11 0.26 -0.17 -2.74 -26.18 -64.12 - -42.53

Strategy Description

Summary

The trading program utilizes Howard Bernstein’s 25+ years experience trading in the futures markets in order to develop a multi-strategy and multi-market approach to trading both commodity futures and options on futures trading.... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 50k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
$25.00
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
1300 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
-12.00%
Worst Peak-to-Trough
23.70%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
80.00%
1-30 Days
15.00%
Intraday
0%

Decision-Making

Discretionary
20.00%
Systematic
80.00%

Composition

Grains
25.00%
Softs
15.00%
Energy
15.00%
Stock Indices
15.00%
Precious Metals
10.00%
Interest Rates
10.00%
Currency Futures
5.00%
Livestock
5.00%
Composition Pie Chart

Summary

The trading program utilizes Howard Bernstein’s 25+ years experience trading in the futures markets in order to develop a multi-strategy and multi-market approach to trading both commodity futures and options on futures trading.

Investment Strategy

The program uses a number of different options and futures strategies. The option strategies include a variety of different spreads such as verticals, calendars, ratios, strangles, and straddles amongst others. The program will also outright sell or buy an option in certain situations. In addition, the program may purchase or sell futures to offset an open option position. The program trades options and futures contracts in the crude oil, coffee, soybean, gold, natural gas and corn markets, among others. The implementation of this trading program depends on both technical and fundamental considerations. Technical analysis involves the study of charted prices, volume and momentum to determine the future course of prices. Other analysis may also be performed on the prices of various options, both in absolute terms in relation to their historic price level, and in relative terms comparing the prices of puts to the prices of similar calls. Implied and historical volatility of both the option and its underlying commodity are also studied. Fundamental considerations, utilized on a commodity by commodity basis, include supply and demand, seasonal movements as well as business and economic factors, governmental policies, weather, and other worldwide events, which can influence the commodity markets. A secondary strategy seeks to profit from seasonal patterns inherent in various commodity markets. The trades taken may be outright long (buy) and short (sell) positions or spread trades between two similar commodities. Seasonal trading may also employ the use of buying and/or selling options. A third strategy that HB Capital Management has developed is a proprietary program for trading the stock market. We may take a long position when a buy signal is generated for the stock market and may take a short position when a sell signal is generated.

Risk Management

We use historical data for different markets to place extremely low risk trades. Once in a trade, we reevaluate our positions daily based on a number of market factors such as technicals, fundamentals, etc.

   

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
-23.71 18 16 8/1/2014 2/1/2016
-21.22 40 9 6/1/2010 10/1/2013
-3.18 1 - 6/1/2017 7/1/2017
-2.80 1 1 4/1/2009 5/1/2009
-2.06 2 4 7/1/2008 9/1/2008
-0.79 2 1 3/1/2010 5/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
25.94 6 3/1/2014 8/1/2014
18.43 10 6/1/2009 3/1/2010
15.15 5 3/1/2016 7/1/2016
13.61 6 1/1/2017 6/1/2017
12.84 5 3/1/2008 7/1/2008
9.95 2 11/1/2013 12/1/2013
9.52 2 11/1/2015 12/1/2015
8.31 4 1/1/2009 4/1/2009
8.25 2 8/1/2015 9/1/2015
5.41 4 11/1/2010 2/1/2011
4.61 1 4/1/2011 4/1/2011
4.53 2 9/1/2016 10/1/2016
4.18 1 10/1/2012 10/1/2012
3.53 2 12/1/2011 1/1/2012
3.22 2 7/1/2012 8/1/2012
2.43 1 8/1/2010 8/1/2010
2.16 1 2/1/2013 2/1/2013
2.03 2 10/1/2008 11/1/2008
1.90 2 1/1/2015 2/1/2015
1.63 1 11/1/2014 11/1/2014
1.05 1 4/1/2015 4/1/2015
0.96 1 6/1/2010 6/1/2010
0.88 1 9/1/2013 9/1/2013
0.88 1 3/1/2012 3/1/2012
0.76 2 7/1/2011 8/1/2011
0.75 1 7/1/2013 7/1/2013
0.67 1 5/1/2013 5/1/2013
0.45 1 5/1/2012 5/1/2012
0.20 1 10/1/2011 10/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.43 3 5/1/2015 7/1/2015
-11.72 2 9/1/2010 10/1/2010
-11.53 2 1/1/2016 2/1/2016
-10.42 2 9/1/2014 10/1/2014
-9.73 3 11/1/2012 1/1/2013
-7.55 2 3/1/2013 4/1/2013
-5.16 1 10/1/2015 10/1/2015
-4.67 1 7/1/2010 7/1/2010
-4.25 1 12/1/2014 12/1/2014
-3.95 1 9/1/2011 9/1/2011
-3.53 2 1/1/2014 2/1/2014
-3.18 1 7/1/2017 7/1/2017
-2.80 1 5/1/2009 5/1/2009
-2.71 1 4/1/2012 4/1/2012
-2.59 2 11/1/2016 12/1/2016
-2.39 1 8/1/2013 8/1/2013
-2.06 2 8/1/2008 9/1/2008
-1.87 1 10/1/2013 10/1/2013
-1.85 1 3/1/2011 3/1/2011
-1.29 1 3/1/2015 3/1/2015
-1.13 1 8/1/2016 8/1/2016
-1.11 1 6/1/2012 6/1/2012
-0.99 2 5/1/2011 6/1/2011
-0.98 1 6/1/2013 6/1/2013
-0.87 1 2/1/2012 2/1/2012
-0.79 2 4/1/2010 5/1/2010
-0.75 1 11/1/2011 11/1/2011
-0.46 1 9/1/2012 9/1/2012
-0.18 1 12/1/2008 12/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods113.00111.00108.00102.0096.0090.0078.0066.0054.00
Percent Profitable62.8362.1660.1955.8852.0853.3365.3854.5559.26
Average Period Return0.371.071.873.263.512.963.002.621.83
Average Gain2.224.347.0311.9513.1211.379.4611.307.54
Average Loss-2.76-4.31-5.93-7.75-6.94-6.66-9.21-7.79-6.48
Best Period7.7914.1325.9432.2427.2039.3827.7330.6723.44
Worst Period-9.56-13.43-14.74-19.92-23.71-14.49-19.07-15.73-15.33
Standard Deviation3.055.307.7111.5912.5011.7211.0411.878.71
Gain Standard Deviation1.633.164.707.119.079.637.008.575.78
Loss Standard Deviation2.213.353.784.745.123.755.474.644.46
Sharpe Ratio (1%)0.110.180.210.240.220.170.130.05-0.08
Average Gain / Average Loss0.801.011.191.541.891.711.031.451.16
Profit / Loss Ratio1.361.651.791.952.051.951.941.741.69
Downside Deviation (10%)2.343.985.829.0810.9212.2016.7022.2427.20
Downside Deviation (5%)2.163.404.566.306.385.827.067.306.39
Downside Deviation (0%)2.143.344.426.015.955.216.276.094.98
Sortino Ratio (10%)-0.02-0.04-0.10-0.19-0.37-0.60-0.76-0.85-0.95
Sortino Ratio (5%)0.150.280.360.440.430.340.210.08-0.11
Sortino Ratio (0%)0.170.320.420.540.590.570.480.430.37

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 7 5.21 6/2014
Discretionary Trader Index Month 10 5.25 5/2014
Discretionary Trader Index Month 6 4.89 3/2014
Diversified Trader Index Month 9 4.89 3/2014
Discretionary Trader Index Month 4 7.79 11/2013
Systematic Trader Index Month 8 4.18 10/2012
Discretionary Trader Index Month 10 4.18 10/2012
Systematic Trader Index Month 9 4.48 6/2009
Diversified Trader Index Month 10 4.48 6/2009
Discretionary Trader Index Month 6 4.11 1/2009
Discretionary Trader Index Month 8 4.03 7/2008
Diversified Trader Index Month 10 4.03 7/2008

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