Hyde Park Associates : Hyde Park Composite

archived programs
Year-to-Date
N / A
Sep Performance
3.16%
Min Investment
$ 2,000k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
11.12%
Sharpe (RFR=1%)
0.75
CAROR
9.10%
Assets
$ 38.5M
Worst DD
-9.97
S&P Correlation
0.26

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
10/2003
Hyde Park Composite 3.16 - - - - - - 54.60
S&P 500 -9.08 - - - - - - 229.69
+/- S&P 500 12.24 - - - - - - -175.09

Strategy Description

Summary

-Hyde Park Associates (HPA) is a Chicago based CTA that seeks to achieve superior risk-adjusted returns by trading a large diversified global array of exchange traded futures markets. As of February 2006, HPA had Assets Under Management of $115 million USD among all programs. HPA currently... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 2,000k
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

-Hyde Park Associates (HPA) is a Chicago based CTA that seeks to achieve superior risk-adjusted returns by trading a large diversified global array of exchange traded futures markets. As of February 2006, HPA had Assets Under Management of $115 million USD among all programs. HPA currently has at its disposal an array of unique, distinctly different trading systems or "models" to initiate directional trades in as many as 50 liquid, exchange-traded, worldwide futures contracts (the "Models"). The Models' objective is to achieve significant absolute returns (performance without regard to the performance of the U.S equities and futures markets). HPA uses proprietary computer driven methodologies, combining statistical and technical analysis, to identify low relative risk trade points to enter positions. Positions are subsequently maintained, and risk dynamically controlled, in an attempt to maximize the performance of the individual asset within its sector and subsequently the portfolio as a whole. The models employ a proprietary weighting module that dynamically optimizes Sharpe by sector. This unique sizing methodology tends to de-lever when projected performance becomes poor and then re-lever when performance is projected to improve. Hyde Park believes that portfolio construction and sector coverage is fundamentally the most important component to achieve steady returns and to maximize Sharpe. The result is a model that provides relatively low downside correlation to other trend following methods.

   

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
-9.97 5 21 11/1/2004 4/1/2005
-9.24 5 3 3/1/2004 8/1/2004
-6.94 5 2 2/1/2008 7/1/2008
-5.14 2 2 1/1/2007 3/1/2007
-4.25 2 2 6/1/2007 8/1/2007
-2.86 1 2 1/1/0001 10/1/2003
-0.62 2 1 10/1/2007 12/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
22.21 5 11/1/2003 3/1/2004
18.80 3 9/1/2004 11/1/2004
13.01 6 8/1/2006 1/1/2007
10.52 2 8/1/2008 9/1/2008
9.71 3 4/1/2007 6/1/2007
7.23 2 9/1/2007 10/1/2007
6.86 2 1/1/2008 2/1/2008
5.05 3 11/1/2005 1/1/2006
3.50 2 7/1/2005 8/1/2005
2.01 2 3/1/2006 4/1/2006
0.83 1 6/1/2006 6/1/2006
0.81 1 5/1/2005 5/1/2005
0.72 1 2/1/2005 2/1/2005
0.26 1 5/1/2004 5/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.57 2 12/1/2004 1/1/2005
-6.94 5 3/1/2008 7/1/2008
-6.74 1 4/1/2004 4/1/2004
-5.14 2 2/1/2007 3/1/2007
-4.97 1 7/1/2006 7/1/2006
-4.25 2 7/1/2007 8/1/2007
-3.60 2 9/1/2005 10/1/2005
-3.30 2 3/1/2005 4/1/2005
-2.93 3 6/1/2004 8/1/2004
-2.86 1 10/1/2003 10/1/2003
-1.13 1 5/1/2006 5/1/2006
-0.62 2 11/1/2007 12/1/2007
-0.24 1 2/1/2006 2/1/2006
-0.15 1 6/1/2005 6/1/2005
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods60.0058.0055.0049.0043.0037.0025.0013.00
Percent Profitable56.6763.7978.1887.7690.7097.30100.00100.00
Average Period Return0.782.304.088.1111.0514.4621.8935.16
Average Gain2.875.456.289.6012.3714.9521.8935.16
Average Loss-1.96-3.24-3.80-2.57-1.78-2.90
Best Period8.5119.9718.7131.6526.5829.3930.3045.71
Worst Period-6.74-7.59-9.24-6.68-4.42-2.905.8526.56
Standard Deviation3.215.766.087.157.547.516.325.89
Gain Standard Deviation2.374.624.736.276.597.016.325.89
Loss Standard Deviation1.772.363.022.231.82
Sharpe Ratio (1%)0.220.360.590.991.271.662.985.28
Average Gain / Average Loss1.471.681.653.746.955.15
Profit / Loss Ratio1.922.975.9226.8067.75185.49
Downside Deviation (10%)1.933.033.272.933.333.362.58
Downside Deviation (5%)1.772.512.421.441.110.81
Downside Deviation (0%)1.722.392.231.150.720.48
Sortino Ratio (10%)0.190.360.491.061.041.252.37
Sortino Ratio (5%)0.390.821.484.948.5815.40
Sortino Ratio (0%)0.450.961.837.0715.2530.33

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.