HedgeForward LLC : Directional Trading System (DTS)

archived programs
Year-to-Date
N / A
Mar Performance
-2.17%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.06%
Sharpe (RFR=1%)
-1.83
CAROR
-
Assets
$ 73k
Worst DD
-9.79
S&P Correlation
0.59

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
9/2012
Directional Trading System (DTS) -2.17 - - - - - - -9.79
S&P 500 0.69 - - - - - - 140.49
+/- S&P 500 -2.86 - - - - - - -150.28

Strategy Description

Summary

HedgeForward LLC offers the Directional Trading System (DTS) managed accounts program. The overall goal of this Long/Short trading program is to obtain relatively high risk-adjusted returns while striving to protect investor capital under management against adverse market moves.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 5.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $12.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 2000 RT/YR/$M
Avg. Margin-to-Equity 8%
Targeted Worst DD
Worst Peak-to-Trough 2.21%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 10.00%
Systematic 90.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
90.00%
Currency Futures
10.00%
Composition Pie Chart

Summary

HedgeForward LLC offers the Directional Trading System (DTS) managed accounts program. The overall goal of this Long/Short trading program is to obtain relatively high risk-adjusted returns while striving to protect investor capital under management against adverse market moves.

Investment Strategy

The Directional Trading System is a technical trading strategy that takes a systematic approach to trading US exchange listed futures contracts. Utilizing our proprietary models we attempt to differentiate market conditions based on our “Behavior Flow Analysis” indicators. Our algorithms then seek to position accordingly in trends while remaining flexible enough to adjust to counter-trend moves. The primary futures contracts traded are equity indices.

Risk Management

Risk management includes: I) Low leverage II) Systematic process & III) Adaptability of our proprietary models to changing market conditions. HedgeForward LLC is a CFTC Registrant CTA and listed NFA member (#426505).

   

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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Risk
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Loss Frequency:
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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:
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Sharpe Ratio: (RF=1%)
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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
-9.79 -1 - 1/1/0001 3/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
0.38 3 3/1/2013 5/1/2013
0.38 1 2/1/2014 2/1/2014
0.25 1 11/1/2013 11/1/2013
0.13 1 7/1/2013 7/1/2013
0.07 1 12/1/2012 12/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.43 2 12/1/2013 1/1/2014
-2.17 1 3/1/2014 3/1/2014
-1.49 3 9/1/2012 11/1/2012
-1.13 3 8/1/2013 10/1/2013
-0.80 2 1/1/2013 2/1/2013
-0.29 1 6/1/2013 6/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable36.8417.657.140.00
Average Period Return-0.53-1.47-2.11-3.85
Average Gain0.170.160.02
Average Loss-0.95-1.82-2.27-3.85
Best Period0.380.380.02-1.39
Worst Period-4.72-6.43-6.94-7.82
Standard Deviation1.172.042.292.39
Gain Standard Deviation0.110.20
Loss Standard Deviation1.322.092.302.39
Sharpe Ratio (1%)-0.53-0.84-1.14-2.03
Average Gain / Average Loss0.180.090.01
Profit / Loss Ratio0.110.020.00
Downside Deviation (10%)1.483.345.099.13
Downside Deviation (5%)1.292.623.425.34
Downside Deviation (0%)1.252.463.064.45
Sortino Ratio (10%)-0.64-0.81-0.90-0.97
Sortino Ratio (5%)-0.48-0.66-0.76-0.91
Sortino Ratio (0%)-0.43-0.60-0.69-0.87

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.