Hyman Beck and Company : Global Portfolio

archived programs
Year-to-Date
N / A
Dec Performance
1.50%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
18.34%
Sharpe (RFR=1%)
0.52
CAROR
9.32%
Assets
$ 175.4M
Worst DD
-33.24
S&P Correlation
-0.10

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
3/1991
Global Portfolio 1.50 10.09 - 4.47 24.52 7.66 53.12 899.82
S&P 500 1.82 3.25 - 9.54 21.13 78.02 57.83 496.57
+/- S&P 500 -0.32 6.83 - -5.06 3.40 -70.36 -4.70 403.24

Strategy Description

Summary

-The Hyman Beck Global Portfolio (2009 Winner of the Absolute Return Managed Futures Fund of the Year Award) incorporates intermediate momentum, and short term tactical trading approaches to deliver a robust strategy in a single portfolio. The portfolio employs diversified quantitative... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
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
700 RT/YR/$M
Avg. Margin-to-Equity
10%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency FX
30.00%
Interest Rates
30.00%
Stock Indices
10.00%
Grains
7.00%
Softs
7.00%
Precious Metals
6.00%
Energy
6.00%
Industrial Metals
4.00%
Composition Pie Chart

Summary

-The Hyman Beck Global Portfolio (2009 Winner of the Absolute Return Managed Futures Fund of the Year Award) incorporates intermediate momentum, and short term tactical trading approaches to deliver a robust strategy in a single portfolio. The portfolio employs diversified quantitative systems across a variety of trading philosophies and time horizons within a broad array of global markets. Over its 20 year history The Global Portfolio has produced a 12.49% annualized rate of return for investors. The trading approach remains evolutionary, incorporating the firm’s latest advances in research and system development. Our core philosophy, to deliver the potential for capital appreciation, portfolio diversification and non‐correlated returns, has remained constant over this time.

   

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
-33.24 39 - 2/1/2011 5/1/2014
-29.27 6 20 2/1/2004 8/1/2004
-27.53 12 6 9/1/1999 9/1/2000
-25.36 6 5 10/1/2001 4/1/2002
-15.55 8 5 11/1/2009 7/1/2010
-15.31 5 3 6/1/2007 11/1/2007
-12.50 7 2 6/1/1994 1/1/1995
-11.95 4 5 5/1/2003 9/1/2003
-11.88 12 5 5/1/1995 5/1/1996
-11.36 4 2 3/1/2001 7/1/2001
-10.93 4 2 12/1/1991 4/1/1992
-10.52 6 1 8/1/1993 2/1/1994
-10.44 4 2 3/1/2008 7/1/2008
-9.43 5 2 8/1/1992 1/1/1993
-8.71 1 2 11/1/1996 12/1/1996
-8.45 2 1 9/1/1998 11/1/1998
-6.00 3 1 1/1/2009 4/1/2009
-5.28 7 1 12/1/1997 7/1/1998
-4.95 1 2 5/1/1993 6/1/1993
-4.08 2 1 2/1/2003 4/1/2003
-4.02 2 1 9/1/2002 11/1/2002
-3.88 1 2 1/1/2007 2/1/2007
-3.63 1 3 4/1/1999 5/1/1999
-3.60 2 6 5/1/2006 7/1/2006
-3.48 1 3 12/1/1998 1/1/1999
-3.29 1 1 5/1/2009 6/1/2009
-2.99 2 3 2/1/1997 4/1/1997
-2.78 1 4 7/1/1997 8/1/1997
-2.17 1 1 3/1/1994 4/1/1994
-1.95 1 1 9/1/1991 10/1/1991
-1.91 1 1 9/1/2009 10/1/2009
-0.86 1 1 6/1/1991 7/1/1991
-0.29 1 1 3/1/1991 4/1/1991
-0.10 1 1 12/1/2010 1/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
47.29 10 6/1/2014 3/1/2015
46.18 4 2/1/1995 5/1/1995
45.90 4 5/1/1992 8/1/1992
41.27 6 10/1/2000 3/1/2001
41.12 6 8/1/2008 1/1/2009
35.50 5 5/1/2002 9/1/2002
30.82 3 8/1/2001 10/1/2001
28.76 4 9/1/2004 12/1/2004
27.38 3 9/1/1996 11/1/1996
26.36 2 11/1/1991 12/1/1991
22.82 3 3/1/2006 5/1/2006
22.53 4 2/1/1993 5/1/1993
21.88 2 8/1/1998 9/1/1998
21.50 5 9/1/2005 1/1/2006
19.66 4 12/1/2007 3/1/2008
19.21 3 12/1/2002 2/1/2003
17.45 3 8/1/2010 10/1/2010
13.55 4 3/1/2007 6/1/2007
12.99 3 5/1/1997 7/1/1997
12.72 1 12/1/2010 12/1/2010
12.48 1 3/1/1994 3/1/1994
12.31 3 10/1/2003 12/1/2003
11.18 3 11/1/2012 1/1/2013
11.15 4 9/1/2016 12/1/2016
10.60 2 1/1/1997 2/1/1997
10.56 1 12/1/1998 12/1/1998
9.58 2 5/1/1994 6/1/1994
8.69 3 10/1/2013 12/1/2013
8.31 2 10/1/1994 11/1/1994
7.94 2 8/1/1991 9/1/1991
7.77 3 7/1/2009 9/1/2009
7.09 1 5/1/2003 5/1/2003
6.80 1 5/1/2009 5/1/2009
6.66 1 11/1/2015 11/1/2015
6.15 1 9/1/2011 9/1/2011
6.13 3 11/1/1995 1/1/1996
5.82 2 6/1/2016 7/1/2016
5.54 1 2/1/2004 2/1/2004
5.54 2 7/1/1993 8/1/1993
5.43 1 7/1/2011 7/1/2011
4.74 1 4/1/2016 4/1/2016
4.45 2 11/1/1997 12/1/1997
4.35 2 11/1/1999 12/1/1999
4.30 1 7/1/2015 7/1/2015
4.04 4 10/1/2006 1/1/2007
3.83 1 4/1/1999 4/1/1999
3.67 1 7/1/2012 7/1/2012
3.56 1 4/1/2013 4/1/2013
3.47 2 11/1/2011 12/1/2011
3.44 1 5/1/2001 5/1/2001
3.41 1 6/1/1999 6/1/1999
3.39 1 10/1/1992 10/1/1992
3.39 2 8/1/1999 9/1/1999
3.23 1 5/1/1998 5/1/1998
3.20 2 6/1/1996 7/1/1996
3.15 1 3/1/1992 3/1/1992
3.11 2 5/1/1991 6/1/1991
2.88 1 2/1/2011 2/1/2011
2.61 2 5/1/2005 6/1/2005
2.47 1 11/1/2009 11/1/2009
2.39 1 4/1/1996 4/1/1996
2.25 1 4/1/2011 4/1/2011
2.13 1 9/1/1997 9/1/1997
1.98 1 2/1/2012 2/1/2012
1.67 1 2/1/1999 2/1/1999
1.67 1 8/1/2000 8/1/2000
1.65 1 4/1/2000 4/1/2000
1.57 2 1/1/2016 2/1/2016
1.45 2 5/1/2010 6/1/2010
1.38 2 9/1/2007 10/1/2007
1.34 1 12/1/1993 12/1/1993
1.16 1 6/1/2013 6/1/2013
1.16 1 5/1/2012 5/1/2012
0.72 1 8/1/2006 8/1/2006
0.55 1 4/1/2014 4/1/2014
0.37 1 9/1/2015 9/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-29.27 6 3/1/2004 8/1/2004
-25.36 6 11/1/2001 4/1/2002
-15.77 4 1/1/2005 4/1/2005
-14.56 3 1/1/2000 3/1/2000
-12.48 1 10/1/2011 10/1/2011
-12.42 2 5/1/2011 6/1/2011
-12.07 2 7/1/2007 8/1/2007
-11.95 4 6/1/2003 9/1/2003
-11.92 3 8/1/2012 10/1/2012
-11.53 3 5/1/2000 7/1/2000
-11.12 3 7/1/1994 9/1/1994
-10.63 2 1/1/1992 2/1/1992
-10.44 4 4/1/2008 7/1/2008
-9.90 3 1/1/2014 3/1/2014
-9.82 2 7/1/2005 8/1/2005
-9.34 2 2/1/1996 3/1/1996
-9.11 2 12/1/1994 1/1/1995
-8.89 3 4/1/2015 6/1/2015
-8.86 1 4/1/2001 4/1/2001
-8.85 1 7/1/2010 7/1/2010
-8.71 1 12/1/1996 12/1/1996
-8.69 1 6/1/2012 6/1/2012
-8.68 5 12/1/2009 4/1/2010
-8.45 2 10/1/1998 11/1/1998
-7.87 2 1/1/1994 2/1/1994
-7.79 1 5/1/2016 5/1/2016
-7.60 5 6/1/1995 10/1/1995
-6.91 1 10/1/1999 10/1/1999
-6.68 1 9/1/1992 9/1/1992
-6.21 2 2/1/2013 3/1/2013
-6.12 3 11/1/1992 1/1/1993
-6.00 3 2/1/2009 4/1/2009
-5.97 2 6/1/2001 7/1/2001
-5.96 1 3/1/2016 3/1/2016
-5.61 2 3/1/2012 4/1/2012
-5.50 3 7/1/2013 9/1/2013
-5.00 1 11/1/2007 11/1/2007
-4.95 1 6/1/1993 6/1/1993
-4.56 1 11/1/2010 11/1/2010
-4.51 1 1/1/2012 1/1/2012
-4.50 1 9/1/2000 9/1/2000
-4.24 2 6/1/1998 7/1/1998
-4.18 4 1/1/1998 4/1/1998
-4.17 3 9/1/1993 11/1/1993
-4.08 2 3/1/2003 4/1/2003
-4.02 2 10/1/2002 11/1/2002
-3.88 1 2/1/2007 2/1/2007
-3.81 1 10/1/2015 10/1/2015
-3.72 1 8/1/2016 8/1/2016
-3.63 1 5/1/1999 5/1/1999
-3.60 2 6/1/2006 7/1/2006
-3.48 1 1/1/1999 1/1/1999
-3.46 1 12/1/2015 12/1/2015
-3.38 1 4/1/1992 4/1/1992
-3.29 1 6/1/2009 6/1/2009
-3.24 1 3/1/2011 3/1/2011
-3.20 1 5/1/1996 5/1/1996
-3.13 1 8/1/2015 8/1/2015
-2.99 2 3/1/1997 4/1/1997
-2.78 1 8/1/1997 8/1/1997
-2.39 1 5/1/2014 5/1/2014
-2.17 1 4/1/1994 4/1/1994
-1.95 1 10/1/1991 10/1/1991
-1.91 1 10/1/2009 10/1/2009
-1.50 1 2/1/2006 2/1/2006
-1.15 1 8/1/1996 8/1/1996
-1.06 1 10/1/1997 10/1/1997
-1.00 1 3/1/1999 3/1/1999
-0.90 1 1/1/2004 1/1/2004
-0.86 1 7/1/1991 7/1/1991
-0.61 1 5/1/2013 5/1/2013
-0.57 1 8/1/2011 8/1/2011
-0.29 2 3/1/1991 4/1/1991
-0.14 1 7/1/1999 7/1/1999
-0.10 1 1/1/2011 1/1/2011
-0.04 1 9/1/2006 9/1/2006
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods310.00308.00305.00299.00293.00287.00275.00263.00251.00
Percent Profitable53.8752.9261.3167.2273.0477.0081.4586.6989.64
Average Period Return0.882.705.3710.6315.9621.0230.6441.3952.33
Average Gain4.579.6113.4620.3526.2131.1540.7049.9159.85
Average Loss-3.45-5.06-7.46-9.30-11.79-12.90-13.54-14.09-12.75
Best Period19.1342.3245.4171.1777.1393.67118.66168.09172.32
Worst Period-12.48-20.44-29.27-28.19-31.58-29.27-30.87-23.45-23.31
Standard Deviation5.3010.1213.8318.9322.2924.9931.5538.4543.43
Gain Standard Deviation4.088.8710.9214.8616.2418.5825.6333.9639.40
Loss Standard Deviation2.633.876.086.968.457.908.906.156.18
Sharpe Ratio (1%)0.150.240.350.510.650.760.880.971.09
Average Gain / Average Loss1.331.901.802.192.222.413.003.544.69
Profit / Loss Ratio1.562.132.864.496.028.0913.2023.0740.61
Downside Deviation (10%)3.155.077.249.1511.0411.8513.5814.0214.76
Downside Deviation (5%)2.974.506.227.118.168.088.096.996.08
Downside Deviation (0%)2.934.375.976.647.517.246.965.604.54
Sortino Ratio (10%)0.150.290.400.620.760.911.101.421.67
Sortino Ratio (5%)0.270.540.781.361.772.353.415.347.76
Sortino Ratio (0%)0.300.620.901.602.122.904.407.4011.51

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 6 11.52 9/2008
Systematic Trader Index Month 8 11.52 9/2008
Diversified Trader Index Month 8 11.52 9/2008
IASG CTA Index Month 10 11.52 9/2008
Trend Following Strategy Index Month 5 1.75 3/2007
Systematic Trader Index Month 8 10.77 3/2006
Trend Following Strategy Index Month 7 10.77 3/2006
Diversified Trader Index Month 10 10.77 3/2006
Trend Following Strategy Index Month 9 2.94 10/2005
Diversified Trader Index Month 8 2.94 10/2005
Trend Following Strategy Index Month 9 2.63 12/2004
Diversified Trader Index Month 9 12.81 11/2004
IASG CTA Index Month 10 12.81 11/2004
Systematic Trader Index Month 8 12.81 11/2004
Trend Following Strategy Index Month 8 12.81 11/2004
IASG CTA Index Month 7 8.30 10/2004
Trend Following Strategy Index Month 5 8.30 10/2004
Systematic Trader Index Month 6 8.30 10/2004
Diversified Trader Index Month 6 8.30 10/2004
Diversified Trader Index Month 6 13.37 9/2001
Trend Following Strategy Index Month 7 13.37 9/2001
Systematic Trader Index Month 7 13.37 9/2001
IASG CTA Index Month 8 13.37 9/2001
Diversified Trader Index Month 7 7.90 8/2001
IASG CTA Index Month 8 7.90 8/2001
Systematic Trader Index Month 7 7.90 8/2001
Trend Following Strategy Index Month 7 7.90 8/2001
Trend Following Strategy Index Month 10 3.44 5/2001
IASG CTA Index Month 10 4.27 2/2001
Trend Following Strategy Index Month 7 4.27 2/2001
Systematic Trader Index Month 8 4.27 2/2001
Diversified Trader Index Month 8 4.27 2/2001
Trend Following Strategy Index Month 7 3.57 1/2001
Systematic Trader Index Month 10 3.57 1/2001
Diversified Trader Index Month 10 3.57 1/2001
Trend Following Strategy Index Month 6 1.65 4/2000
Trend Following Strategy Index Month 1 10.56 12/1998
Systematic Trader Index Month 2 10.56 12/1998
Diversified Trader Index Month 3 10.56 12/1998
IASG CTA Index Month 4 10.56 12/1998
Trend Following Strategy Index Month 7 -3.56 4/1998
Trend Following Strategy Index Month 8 -2.78 8/1997
Diversified Trader Index Month 10 -2.78 8/1997
Systematic Trader Index Month 10 8.76 1/1997
Trend Following Strategy Index Month 10 8.76 1/1997
Diversified Trader Index Month 2 1.80 7/1996
Trend Following Strategy Index Month 2 1.80 7/1996
Systematic Trader Index Month 2 1.80 7/1996
IASG CTA Index Month 3 1.80 7/1996
Trend Following Strategy Index Month 10 1.38 6/1996
Trend Following Strategy Index Month 8 -3.20 5/1996
Trend Following Strategy Index Month 10 3.97 1/1996
Trend Following Strategy Index Month 9 -1.08 10/1995
Trend Following Strategy Index Month 8 -2.16 9/1995
Systematic Trader Index Month 7 -1.68 7/1995
Trend Following Strategy Index Month 4 -1.68 7/1995
Diversified Trader Index Month 8 -1.68 7/1995
Trend Following Strategy Index Month 6 6.22 4/1995
Systematic Trader Index Month 6 6.22 4/1995
Diversified Trader Index Month 7 6.22 4/1995
IASG CTA Index Month 7 6.22 4/1995
Trend Following Strategy Index Month 9 18.71 3/1995
Systematic Trader Index Month 9 18.71 3/1995
Diversified Trader Index Month 10 18.71 3/1995
Diversified Trader Index Month 10 9.02 2/1995
Systematic Trader Index Month 10 9.02 2/1995
Trend Following Strategy Index Month 10 9.02 2/1995
IASG CTA Index Month 7 4.72 10/1994
Systematic Trader Index Month 5 4.72 10/1994
Diversified Trader Index Month 5 4.72 10/1994
Trend Following Strategy Index Month 3 4.72 10/1994
Trend Following Strategy Index Month 7 -4.40 8/1994
Systematic Trader Index Month 8 -4.40 8/1994
Diversified Trader Index Month 8 -4.40 8/1994
Trend Following Strategy Index Month 9 5.14 6/1994
Systematic Trader Index Month 10 5.14 6/1994
IASG CTA Index Month 6 12.48 3/1994
Diversified Trader Index Month 6 12.48 3/1994
Systematic Trader Index Month 6 12.48 3/1994
Trend Following Strategy Index Month 6 12.48 3/1994
Systematic Trader Index Month 5 -0.45 1/1994
Diversified Trader Index Month 4 -0.45 1/1994
IASG CTA Index Month 5 -0.45 1/1994
Trend Following Strategy Index Month 3 -0.45 1/1994
IASG CTA Index Sharpe 10 1.15 1992 - 1993
Systematic Trader Index Month 10 -0.80 9/1993
Trend Following Strategy Index Month 6 -0.80 9/1993
Trend Following Strategy Index Month 7 4.55 5/1993
Systematic Trader Index Month 9 4.55 5/1993
Diversified Trader Index Month 10 4.55 5/1993
Diversified Trader Index Month 7 2.10 3/1993
Systematic Trader Index Month 7 2.10 3/1993
Trend Following Strategy Index Month 6 2.10 3/1993
IASG CTA Index Month 7 2.10 3/1993
Systematic Trader Index Month 10 8.65 2/1993
Trend Following Strategy Index Month 10 8.65 2/1993
Diversified Trader Index Month 10 -1.88 12/1992
IASG CTA Index Year Rolling 3 22.56 1991 - 1992
IASG CTA Index Sharpe 3 1.24 1991 - 1992
Trend Following Strategy Index Month 6 -1.88 12/1992

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