Hoffman Asset Management, Inc. : Modified Global Trend (Large Account)

archived programs
Year-to-Date
N / A
Oct Performance
-3.62%
Min Investment
$ 200k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.07%
Sharpe (RFR=1%)
0.46
CAROR
7.09%
Assets
$ 2.4M
Worst DD
-19.38
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
4/2007
Modified Global Trend (Large Account) -3.62 - - - - - -9.45 46.58
S&P 500 -1.98 - - - - - 59.40 133.69
+/- S&P 500 -1.64 - - - - - -68.85 -87.10

Strategy Description

Summary

-The investment methodology at Hoffman Asset Management is based on capturing sustained price trends in the commodity futures markets. A mix of proprietary trading systems is combined with unique risk management strategies. The overall logic is trend capturing in nature utilizing pattern... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 200k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $25.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 8%
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 100.00%

Strategy

Composition

Summary

-The investment methodology at Hoffman Asset Management is based on capturing sustained price trends in the commodity futures markets. A mix of proprietary trading systems is combined with unique risk management strategies. The overall logic is trend capturing in nature utilizing pattern recognition across multiple time frames. An exclusive ranking strategy monitors over 70 markets and constantly creates a dynamic vs. static portfolio of markets to trade. This results in more concentrated bets in a smaller universe of markets. This is the modified version of the Global Trend program. The risk management structure is designed to minimize volatility. We constantly monitor new trade entry risk as well as managing ongoing open trade equity risk. The net result of this activity is a reduction in the standard deviation of returns. * 1/12/2011 This track record has been split between accounts larger and smaller than $200,000.

   

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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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
-19.38 25 - 5/1/2009 6/1/2011
-7.10 5 3 2/1/2008 7/1/2008
-2.72 2 1 2/1/2009 4/1/2009
-2.08 1 1 12/1/2008 1/1/2009
-1.85 1 2 10/1/2007 11/1/2007
-0.75 1 1 6/1/2007 7/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
21.81 3 8/1/2007 10/1/2007
18.28 5 8/1/2008 12/1/2008
17.16 3 12/1/2007 2/1/2008
10.00 1 12/1/2010 12/1/2010
9.27 4 7/1/2010 10/1/2010
8.28 1 2/1/2012 2/1/2012
8.03 3 7/1/2011 9/1/2011
7.89 3 4/1/2007 6/1/2007
7.22 1 5/1/2009 5/1/2009
6.71 1 7/1/2012 7/1/2012
4.60 2 4/1/2012 5/1/2012
4.35 3 4/1/2008 6/1/2008
4.13 1 4/1/2011 4/1/2011
3.81 1 11/1/2009 11/1/2009
2.30 1 2/1/2009 2/1/2009
2.07 1 9/1/2009 9/1/2009
1.62 1 5/1/2010 5/1/2010
0.59 1 3/1/2010 3/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.40 2 5/1/2011 6/1/2011
-11.00 3 1/1/2011 3/1/2011
-8.43 3 12/1/2009 2/1/2010
-8.27 3 8/1/2012 10/1/2012
-7.26 3 6/1/2009 8/1/2009
-6.94 1 7/1/2008 7/1/2008
-6.59 1 11/1/2010 11/1/2010
-6.57 1 6/1/2012 6/1/2012
-4.33 1 3/1/2008 3/1/2008
-3.75 4 10/1/2011 1/1/2012
-2.72 2 3/1/2009 4/1/2009
-2.28 1 10/1/2009 10/1/2009
-2.08 1 1/1/2009 1/1/2009
-1.97 1 3/1/2012 3/1/2012
-1.85 1 11/1/2007 11/1/2007
-1.13 1 4/1/2010 4/1/2010
-0.75 1 7/1/2007 7/1/2007
-0.47 1 6/1/2010 6/1/2010
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods67.0065.0062.0056.0050.0044.0032.0020.00
Percent Profitable53.7355.3856.4560.7152.0061.3650.0095.00
Average Period Return0.662.074.286.527.829.4011.2918.38
Average Gain3.746.9311.3115.1020.1220.1428.0719.48
Average Loss-2.91-3.96-4.82-6.75-5.49-7.65-5.49-2.48
Best Period12.4921.8136.5643.4952.7565.0152.3058.06
Worst Period-8.73-12.16-18.81-14.55-12.52-16.00-11.35-2.48
Standard Deviation4.356.9310.6614.6018.9721.7521.1316.87
Gain Standard Deviation3.184.908.5412.3819.1021.4517.5916.58
Loss Standard Deviation2.303.444.303.683.724.523.50
Sharpe Ratio (1%)0.130.260.360.380.330.340.390.85
Average Gain / Average Loss1.291.752.342.243.662.635.127.86
Profit / Loss Ratio1.492.173.043.463.974.185.12149.28
Downside Deviation (10%)2.734.145.577.779.6612.0515.6711.70
Downside Deviation (5%)2.553.604.485.355.476.606.481.72
Downside Deviation (0%)2.513.484.234.794.575.484.560.55
Sortino Ratio (10%)0.090.200.330.200.02-0.07-0.29-0.27
Sortino Ratio (5%)0.230.510.841.031.161.121.278.33
Sortino Ratio (0%)0.270.601.011.361.711.722.4833.16

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.