Hornbeam Capital Management : Diversified Intraday Program

archived programs
Year-to-Date
N / A
Performance
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
0.00%
Sharpe (RFR=1%)
0.00
CAROR
-
Assets
Worst DD
N/A
S&P Correlation
0.00

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.

Strategy Description

Summary

-HCM's diversified intraday trading program is technical in nature and relies on a multi-strategy approach that integrates several distinct statistical short-term trading models to identify the most promising opportunities. The constituent models are based on diverse methods-including... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 0k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

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

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
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 0%

Strategy

Summary

-HCM's diversified intraday trading program is technical in nature and relies on a multi-strategy approach that integrates several distinct statistical short-term trading models to identify the most promising opportunities. The constituent models are based on diverse methods-including trend-following and counter-trend, inter-market analysis, volatility-based measures, market cycles, the persistent psychological biases of market participants, sentiment indicators, and others. Each model has been tested for profitability, consistency, robustness, and logical coherency. Every trading signal that the system generates is weighted according to which components are giving the signal and the number of models that are simultaneously giving the buy or sell signal. Those trading signals in which the signals of the constituent models are conflicting are ignored. HCM believes this synthesized methodology produces trading signals that are stronger and more reliable than those originating from single-strategy systems. Position sizes and stop points are determined by the strengths of the signals. The goal of the program is to produce annual returns of 10 to 20% with a maximum monthly drawdown of less than 7%. Historically, the program has delivered superior risk-adjusted performance: the average up month has been three times the magnitude of the average down month (1.55% versus -0.57%), and the average annualized return has been over twice the largest peak-to-valley drawdown. Rigorous risk management is used to minimize monthly drawdown. Furthermore, if a predetermined amount of capital is lost, positions will be closed regardless of fundamental market conditions. There is no significant bias to market direction, and correlation to traditional and other alternative investments is low. In addition, all trades are initiated and closed within the same day, decreasing overnight news-related risk. The program predominantly trades the E-mini S&P 500 and the E-mini NASDAQ-100 stock index futures contracts on the Chicago Mercantile Exchange; the Foreign Exchange futures contracts on the Chicago Mercantile Exchange; and the U.S. Treasury Notes and the 30-Year U.S. Treasury Bonds futures contracts on the Chicago Board of Trade. Transactions may in the future involve energy and metals futures contracts on the New York Mercantile Exchange. HCM's overall objective is to provide absolute returns. In markets with little intraday volatility-a condition which can result in flat or negative performance-HCM strives to preserve capital. While there can be no guarantee against losses, HCM's trading program is designed to suspend activity rather than risk trading capital and wait for opportunities where it can generate profits.

   

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

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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

Consecutive Gains

Run-up Length (Mos.) Start End
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Consecutive Losses

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Top Performer Badges

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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.