Hehmeyer Capital Management, LLC : Hehmeyer Systematic Treasury & Equity Strategy

archived programs
Year-to-Date
0.26%
Apr Performance
0.37%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
4.44%
Sharpe (RFR=1%)
0.37
CAROR
2.55%
Assets
$ 21.0M
Worst DD
-9.07
S&P Correlation
-0.08

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
3/2010
Hehmeyer Systematic Treasury & Equity Strategy 0.37 -0.27 0.26 -0.45 1.30 19.28 - 26.02
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 - 149.32
+/- S&P 500 -3.56 -9.21 -17.25 -11.69 -39.89 -35.51 - -123.30

Strategy Description

Summary

The Kottke - R Best program utilizes short term, systematic technical models to capitalize on directional moves in the Treasury and Equity Futures markets. Our models are designed to establish intraday trading positions when the markets exhibit a high probability of developing a sustained... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
5.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
4000 RT/YR/$M
Avg. Margin-to-Equity
2%
Targeted Worst DD
-6.00%
Worst Peak-to-Trough
9.00%
Sector Focus
Financial & Metals 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
0%
Systematic
100.00%

Strategy

Counter-trend
25.00%
Technical
50.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Interest Rates
50.00%
Stock Indices
50.00%
Composition Pie Chart

Summary

The Kottke - R Best program utilizes short term, systematic technical models to capitalize on directional moves in the Treasury and Equity Futures markets. Our models are designed to establish intraday trading positions when the markets exhibit a high probability of developing a sustained trending move or a sustained reversion move. The programs use machine learning to intelligently select profitable opportunity, and use specific profit targets and stops to limit market exposure. Proprietary indicators and strict risk management policies reduce trading in volatile conditions to protect risk capital.

   

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
-9.07 17 20 9/1/2011 2/1/2013
-2.96 4 6 4/1/2018 8/1/2018
-2.66 2 14 4/1/2016 6/1/2016
-2.58 2 3 10/1/2014 12/1/2014
-1.95 5 1 8/1/2017 1/1/2018
-1.65 2 2 7/1/2015 9/1/2015
-1.39 1 1 7/1/2010 8/1/2010
-1.39 1 1 7/1/2011 8/1/2011
-1.32 1 3 12/1/2010 1/1/2011
-0.92 1 - 2/1/2019 3/1/2019
-0.30 1 1 4/1/2011 5/1/2011
-0.27 1 1 2/1/2018 3/1/2018
-0.12 1 1 10/1/2010 11/1/2010
-0.12 1 1 2/1/2016 3/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
10.88 7 1/1/2015 7/1/2015
5.71 2 2/1/2014 3/1/2014
5.03 5 10/1/2015 2/1/2016
4.89 2 9/1/2014 10/1/2014
4.07 5 3/1/2010 7/1/2010
3.96 2 5/1/2013 6/1/2013
3.49 2 9/1/2010 10/1/2010
3.02 1 2/1/2018 2/1/2018
2.72 3 9/1/2018 11/1/2018
2.44 1 8/1/2013 8/1/2013
2.43 3 2/1/2011 4/1/2011
2.02 1 5/1/2017 5/1/2017
2.00 1 9/1/2011 9/1/2011
1.70 1 8/1/2017 8/1/2017
1.61 2 6/1/2011 7/1/2011
1.51 1 5/1/2014 5/1/2014
1.13 1 3/1/2012 3/1/2012
0.98 1 7/1/2014 7/1/2014
0.91 1 3/1/2013 3/1/2013
0.82 2 1/1/2019 2/1/2019
0.78 1 4/1/2018 4/1/2018
0.59 2 11/1/2011 12/1/2011
0.50 1 4/1/2016 4/1/2016
0.47 1 10/1/2016 10/1/2016
0.46 1 7/1/2016 7/1/2016
0.40 1 7/1/2012 7/1/2012
0.37 1 4/1/2019 4/1/2019
0.33 1 1/1/2013 1/1/2013
0.27 3 1/1/2017 3/1/2017
0.21 1 12/1/2010 12/1/2010
0.07 1 10/1/2017 10/1/2017
0.06 1 12/1/2017 12/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-3.71 5 8/1/2012 12/1/2012
-3.65 1 10/1/2011 10/1/2011
-2.96 4 5/1/2018 8/1/2018
-2.66 2 5/1/2016 6/1/2016
-2.62 5 9/1/2013 1/1/2014
-2.58 2 11/1/2014 12/1/2014
-2.23 1 2/1/2013 2/1/2013
-2.00 1 4/1/2014 4/1/2014
-1.65 2 8/1/2015 9/1/2015
-1.62 1 6/1/2014 6/1/2014
-1.41 1 7/1/2013 7/1/2013
-1.39 1 8/1/2011 8/1/2011
-1.39 1 8/1/2010 8/1/2010
-1.33 2 1/1/2012 2/1/2012
-1.32 1 1/1/2011 1/1/2011
-1.27 1 11/1/2017 11/1/2017
-0.95 2 6/1/2017 7/1/2017
-0.92 1 3/1/2019 3/1/2019
-0.86 3 4/1/2012 6/1/2012
-0.71 1 4/1/2013 4/1/2013
-0.61 1 8/1/2014 8/1/2014
-0.50 1 9/1/2017 9/1/2017
-0.50 1 4/1/2017 4/1/2017
-0.38 1 12/1/2018 12/1/2018
-0.37 2 8/1/2016 9/1/2016
-0.32 1 1/1/2018 1/1/2018
-0.30 1 5/1/2011 5/1/2011
-0.27 1 3/1/2018 3/1/2018
-0.13 2 11/1/2016 12/1/2016
-0.12 1 3/1/2016 3/1/2016
-0.12 1 11/1/2010 11/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods110.00108.00105.0099.0093.0087.0075.0063.0051.00
Percent Profitable53.6458.3366.6764.6575.2777.0181.33100.00100.00
Average Period Return0.220.651.262.403.604.998.5213.5617.31
Average Gain1.102.012.794.735.777.4910.9713.5617.31
Average Loss-0.82-1.25-1.80-1.87-3.00-3.38-2.15
Best Period4.235.729.5513.4117.6420.4324.7122.4326.91
Worst Period-3.65-3.22-4.64-5.78-8.25-7.17-4.031.4910.69
Standard Deviation1.282.022.794.415.917.038.256.263.99
Gain Standard Deviation0.971.421.983.625.055.987.146.263.99
Loss Standard Deviation0.700.831.161.652.351.981.05
Sharpe Ratio (1%)0.110.200.270.320.350.420.671.523.06
Average Gain / Average Loss1.341.601.552.531.922.225.09
Profit / Loss Ratio1.592.253.104.625.857.4322.19
Downside Deviation (10%)0.961.722.674.626.568.3010.7310.1211.05
Downside Deviation (5%)0.771.101.491.972.542.772.400.57
Downside Deviation (0%)0.720.971.231.471.881.861.03
Sortino Ratio (10%)-0.20-0.34-0.45-0.56-0.61-0.63-0.68-0.79-0.93
Sortino Ratio (5%)0.180.360.510.710.831.082.2916.54
Sortino Ratio (0%)0.300.671.021.631.912.688.28

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.