Heyden & Steindl GmbH : TOMAC2

archived programs
Year-to-Date
N / A
Mar Performance
0.02%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
29.48%
Sharpe (RFR=1%)
0.66
CAROR
17.80%
Assets
$ 173.0M
Worst DD
-42.20
S&P Correlation
-0.05

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
3/2003
TOMAC2 0.02 3.95 - 19.76 40.04 -12.04 200.69 624.10
S&P 500 -1.74 0.44 - 10.44 46.82 76.80 75.13 143.76
+/- S&P 500 1.76 3.51 - 9.32 -6.78 -88.84 125.57 480.34

Strategy Description

Summary

-Investment objective is an absolute return in any market condition. As opposed to a diversified portfolio TOMAC2 is a trading concept focusing on single market chances. Positions are taken on a signal generated by a quantitative model comprising a combination of trend following and... 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
$4.00
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Anytime
Redemption Frequency
Monthly
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
800 RT/YR/$M
Avg. Margin-to-Equity
15%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
40.16%
Sector Focus
Not Specified

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
90.00%
1-30 Days
Intraday
5.00%

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Trend-following
70.00%
Other
30.00%
Strategy Pie Chart

Summary

-Investment objective is an absolute return in any market condition. As opposed to a diversified portfolio TOMAC2 is a trading concept focusing on single market chances. Positions are taken on a signal generated by a quantitative model comprising a combination of trend following and pattern recognition. A quality check of the signal adds a discretionary component to the concept. Risk control is applied to every single position with a maximum loss allowed, secured by a stop order placed with the entry order. The position exit is completely systematic on channel breakout.

Investment Strategy

Combination of trend following and pattern recognition applied on the global futures markets.

Risk Management

Risk per position is limited to a maximum of 2% per position, secured by stop orders. Risk will be reduced according to the algorithm of a risk matrix when consecutive loss trades appear. Once trades are profitable again the risk will be consequently increased again until the 2% barrier is reached again.

   

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
-42.20 31 - 6/1/2009 1/1/2012
-40.16 6 15 7/1/2004 1/1/2005
-16.38 5 1 2/1/2008 7/1/2008
-14.60 6 3 9/1/2006 3/1/2007
-12.85 3 2 12/1/2008 3/1/2009
-10.69 3 1 5/1/2006 8/1/2006
-9.79 2 1 8/1/2007 10/1/2007
-8.54 2 1 9/1/2003 11/1/2003
-7.90 1 2 8/1/2008 9/1/2008
-5.74 1 1 5/1/2004 6/1/2004
-2.83 1 1 3/1/2004 4/1/2004
-1.99 1 1 5/1/2003 6/1/2003
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
61.01 4 12/1/2003 3/1/2004
50.91 4 11/1/2007 2/1/2008
50.85 7 2/1/2005 8/1/2005
41.49 3 3/1/2003 5/1/2003
41.31 5 4/1/2007 8/1/2007
39.44 3 7/1/2003 9/1/2003
35.56 1 7/1/2004 7/1/2004
28.83 3 4/1/2009 6/1/2009
24.03 3 3/1/2006 5/1/2006
21.11 3 4/1/2013 6/1/2013
20.81 3 10/1/2008 12/1/2008
20.61 1 8/1/2008 8/1/2008
20.37 3 7/1/2014 9/1/2014
20.27 1 9/1/2006 9/1/2006
16.16 2 1/1/2010 2/1/2010
15.09 2 8/1/2012 9/1/2012
14.25 1 5/1/2012 5/1/2012
13.87 1 9/1/2010 9/1/2010
13.87 1 5/1/2010 5/1/2010
10.10 2 12/1/2012 1/1/2013
8.93 2 10/1/2009 11/1/2009
8.52 1 2/1/2012 2/1/2012
6.50 2 12/1/2014 1/1/2015
5.10 1 1/1/2006 1/1/2006
5.02 1 6/1/2008 6/1/2008
4.80 1 9/1/2011 9/1/2011
3.80 1 5/1/2004 5/1/2004
3.47 3 11/1/2013 1/1/2014
3.44 1 5/1/2014 5/1/2014
3.20 2 11/1/2011 12/1/2011
3.02 1 1/1/2011 1/1/2011
2.86 1 11/1/2005 11/1/2005
2.77 1 4/1/2011 4/1/2011
1.76 1 11/1/2006 11/1/2006
0.57 1 9/1/2013 9/1/2013
0.26 1 12/1/2004 12/1/2004
0.11 1 9/1/2004 9/1/2004
0.02 1 3/1/2015 3/1/2015
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-18.53 3 6/1/2010 8/1/2010
-17.03 1 1/1/2005 1/1/2005
-16.76 1 8/1/2004 8/1/2004
-16.69 3 7/1/2009 9/1/2009
-16.01 4 5/1/2011 8/1/2011
-15.30 1 10/1/2011 10/1/2011
-14.36 4 12/1/2006 3/1/2007
-13.68 2 10/1/2004 11/1/2004
-12.85 3 1/1/2009 3/1/2009
-12.80 3 3/1/2008 5/1/2008
-10.89 2 6/1/2012 7/1/2012
-10.71 2 3/1/2010 4/1/2010
-10.69 3 6/1/2006 8/1/2006
-10.51 2 2/1/2011 3/1/2011
-9.79 2 9/1/2007 10/1/2007
-9.37 1 12/1/2009 12/1/2009
-8.69 1 7/1/2008 7/1/2008
-8.54 2 10/1/2003 11/1/2003
-8.05 3 10/1/2010 12/1/2010
-8.05 3 2/1/2014 4/1/2014
-7.90 1 9/1/2008 9/1/2008
-7.36 2 2/1/2013 3/1/2013
-6.91 2 3/1/2012 4/1/2012
-6.51 2 9/1/2005 10/1/2005
-5.74 1 6/1/2004 6/1/2004
-5.53 1 10/1/2013 10/1/2013
-5.25 2 10/1/2012 11/1/2012
-4.57 2 10/1/2014 11/1/2014
-4.31 1 1/1/2012 1/1/2012
-3.92 2 7/1/2013 8/1/2013
-3.70 1 2/1/2006 2/1/2006
-3.49 1 6/1/2014 6/1/2014
-2.83 1 4/1/2004 4/1/2004
-2.32 1 12/1/2005 12/1/2005
-2.01 1 10/1/2006 10/1/2006
-1.99 1 6/1/2003 6/1/2003
-1.86 1 2/1/2015 2/1/2015
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods145.00143.00140.00134.00128.00122.00110.0098.0086.00
Percent Profitable52.4158.7467.1470.9076.5675.4168.1862.2476.74
Average Period Return1.715.109.5818.2124.8532.6553.8074.03105.60
Average Gain7.6413.8119.4031.0238.0950.0387.96127.61141.01
Average Loss-4.81-7.31-10.50-12.97-18.40-20.65-19.40-14.32-11.27
Best Period35.5658.3685.50173.18205.49131.02256.34278.96589.32
Worst Period-17.03-25.98-40.16-34.45-39.14-37.19-37.14-27.61-30.57
Standard Deviation8.5114.4320.8433.7739.6441.8968.3686.77128.23
Gain Standard Deviation7.1612.1217.8431.7235.5532.4655.8966.39126.52
Loss Standard Deviation3.795.738.389.7611.3210.909.527.117.94
Sharpe Ratio (1%)0.190.340.440.510.590.730.740.810.78
Average Gain / Average Loss1.591.891.852.392.072.424.548.9112.51
Profit / Loss Ratio1.752.693.785.826.767.439.7214.6941.30
Downside Deviation (10%)4.446.598.8311.0213.7516.2820.6522.8020.48
Downside Deviation (5%)4.266.077.899.1611.0412.4313.7112.108.75
Downside Deviation (0%)4.215.957.678.7210.4111.5412.159.806.59
Sortino Ratio (10%)0.290.590.811.201.261.381.842.303.81
Sortino Ratio (5%)0.380.801.151.882.122.473.705.7811.48
Sortino Ratio (0%)0.410.861.252.092.392.834.437.5516.02

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 5 10.22 7/2014
Systematic Trader Index Month 6 10.22 7/2014
Trend Following Strategy Index Month 1 9.97 6/2013
Systematic Trader Index Month 1 9.97 6/2013
IASG CTA Index Month 3 9.97 6/2013
IASG CTA Index Month 4 8.88 12/2012
Trend Following Strategy Index Month 4 8.88 12/2012
Systematic Trader Index Month 4 8.88 12/2012
Trend Following Strategy Index Month 5 4.51 9/2012
Trend Following Strategy Index Month 3 10.12 8/2012
Systematic Trader Index Month 3 10.12 8/2012
IASG CTA Index Month 8 10.12 8/2012
Trend Following Strategy Index Month 8 8.52 2/2012
Systematic Trader Index Month 9 8.52 2/2012
IASG CTA Index Month 10 8.52 2/2012
Trend Following Strategy Index Month 7 13.87 9/2010
Systematic Trader Index Month 7 13.87 9/2010
Trend Following Strategy Index Month 7 13.87 5/2010
Systematic Trader Index Month 7 13.87 5/2010
IASG CTA Index Month 8 13.87 5/2010
IASG CTA Index Month 8 10.73 2/2010
Systematic Trader Index Month 5 10.73 2/2010
Trend Following Strategy Index Month 4 10.73 2/2010
Trend Following Strategy Index Month 4 4.90 1/2010
Systematic Trader Index Month 9 4.90 1/2010
IASG CTA Index 5 Year Rolling 10 169.82 2004 - 2009
Systematic Trader Index Month 7 17.04 5/2009
Trend Following Strategy Index Month 7 17.04 5/2009
IASG CTA Index Month 6 10.05 4/2009
Systematic Trader Index Month 4 10.05 4/2009
Trend Following Strategy Index Month 1 10.05 4/2009
IASG CTA Index 5 Year Rolling 4 289.25 2003 - 2008
Trend Following Strategy Index Month 7 9.24 12/2008
Systematic Trader Index Month 10 9.24 12/2008
IASG CTA Index 3 Year Rolling 10 148.57 2005 - 2008
IASG CTA Index Month 5 20.61 8/2008
Systematic Trader Index Month 3 20.61 8/2008
Trend Following Strategy Index Month 3 20.61 8/2008
IASG CTA Index 3 Year Rolling 7 109.55 2004 - 2007
Trend Following Strategy Index Month 7 8.44 12/2007
Systematic Trader Index Month 8 8.44 12/2007
IASG CTA Index Month 7 11.98 11/2007
Systematic Trader Index Month 6 11.98 11/2007
Trend Following Strategy Index Month 4 11.98 11/2007
Trend Following Strategy Index Month 3 8.51 8/2007
Systematic Trader Index Month 7 8.51 8/2007
IASG CTA Index Month 10 8.51 8/2007
IASG CTA Index Month 7 10.17 7/2007
Trend Following Strategy Index Month 6 10.17 7/2007
Systematic Trader Index Month 6 10.17 7/2007
Systematic Trader Index Month 4 11.42 6/2007
IASG CTA Index Month 5 11.42 6/2007
Trend Following Strategy Index Month 2 11.42 6/2007
IASG CTA Index 3 Year Rolling 5 97.61 2003 - 2006
Systematic Trader Index Month 1 20.27 9/2006
Trend Following Strategy Index Month 1 20.27 9/2006
IASG CTA Index Month 1 20.27 9/2006
Trend Following Strategy Index Month 2 13.55 8/2005
IASG CTA Index Month 4 13.55 8/2005
Systematic Trader Index Month 4 13.55 8/2005
IASG CTA Index Month 7 11.63 5/2005
Trend Following Strategy Index Month 7 11.63 5/2005
Systematic Trader Index Month 7 11.63 5/2005
Trend Following Strategy Index Month 7 2.11 4/2005
Trend Following Strategy Index Month 5 6.17 3/2005
IASG CTA Index Month 7 6.17 3/2005
Systematic Trader Index Month 5 6.17 3/2005
Systematic Trader Index Month 1 35.56 7/2004
Trend Following Strategy Index Month 1 35.56 7/2004
IASG CTA Index Month 1 35.56 7/2004
Trend Following Strategy Index Month 10 3.80 5/2004
Trend Following Strategy Index Month 1 25.77 3/2004
IASG CTA Index Month 1 25.77 3/2004
Systematic Trader Index Month 1 25.77 3/2004
Trend Following Strategy Index Month 9 3.95 1/2004
Trend Following Strategy Index Month 9 12.36 12/2003
Systematic Trader Index Month 9 12.36 12/2003
IASG CTA Index Sharpe 4 2.24 2002 - 2003
Systematic Trader Index Month 4 7.62 9/2003
Trend Following Strategy Index Month 5 7.62 9/2003
IASG CTA Index Month 9 7.62 9/2003
Systematic Trader Index Month 8 4.29 8/2003
Trend Following Strategy Index Month 6 4.29 8/2003
Systematic Trader Index Month 1 24.24 7/2003
IASG CTA Index Month 2 24.24 7/2003
Trend Following Strategy Index Month 1 24.24 7/2003
Systematic Trader Index Month 3 30.05 5/2003
Trend Following Strategy Index Month 3 30.05 5/2003
IASG CTA Index Month 3 30.05 5/2003
Trend Following Strategy Index Month 5 0.00 3/2003

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