Hathersage

Daily Currency Program

Performance Metrics
Monthly  
Compound ROR (%) 0.98
Average Gain (%) 1.66
Average Loss (%) -0.60
Skewness 3.32
Kurtosis 14.16
   
Annualized  
Compound ROR (%) 12.35
Standard Deviation (%) 8.77
Gain Deviation (%) 9.45
Loss Deviation (%) 1.65
Sharpe Ratio (4%) 0.88
Sharpe Ratio (0%) 1.33
Sortino Ratio (4%) 4.68
Sortino Ratio (0%) 7.10
   
Since Inception  
Calmar Ratio 1.63
Max Drawdown -7.57
   
Most Recent 3 Years  
Max Drawdown -5.27
   
Comparison & Correlations
Rolling Returns Analysis
 

The investment objective of this Program is to generate consistent and relatively low-risk capital appreciation with minimal monthly return variance. Monthly drawdowns are strictly limited to 2.0%. This Program is designed to take advantage of intraday trading opportunities employing interbank spot transactions only, no forwards or options. Open positions are seldom held longer than 48 hours.

Source: Hathersage, Bloomberg LP
  • Pre 2000 accounts were 100% funded and include interest income.
  • Post 1999 all assets are 100% in Managed Accounts.
  • Post 1999 accounts are either minimally funded or unfunded.
  • Returns reflect composite results, individual accounts are managed specifically to client objectives.
  • Interest is not credited on nominal assets and not included in returns after 1999.
  • Returns are net of all fees.
  • Monthly drawdowns are strictly limited to 2.0%.
  • Foreign exchange execution is solely in the twenty-four hour interbank spot and forward markets.
Performance Summary
(returns are net of all fees) 
  Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD 
1992  9.99  4.14  7.23  4.46  4.65  4.87  0.31  0.82  1.83  1.09  1.90  1.54  51.67% 
1993  1.32  2.70  (0.26) 7.65  1.73  1.21  (0.78) 1.57  1.32  0.85  0.20  1.01  19.89% 
1994  1.93  0.60  0.43  0.15  0.86  0.14  0.00  0.04  0.67  0.34  (0.81) 0.19  4.61% 
1995  0.26  0.07  0.43  (1.11) 1.30  (2.02) 0.21  0.02  0.04  0.08  4.37  5.75  9.53% 
1996  1.01  4.34  2.86  0.07  0.10  1.61  0.07  0.09  0.04  2.68  0.02  1.91  15.70% 
1997  4.48   5.22  10.84  0.03  (1.08) 0.00  0.05  0.04  0.06  0.03  0.02  (0.03) 20.78% 
1998  0.06  0.16  0.38  0.47  7.20  8.32  9.34  0.42  16.05  4.30  0.35  4.41  63.43% 
1999  0.35  16.48  0.44  1.76  (0.35) 0.00  (0.38) (0.20) (0.21) (0.14) (1.18) (0.75) 15.68% 
2000  (0.42) 0.06  0.89  0.23  (0.09) (1.26) (0.47) 0.14  (0.53) 0.90  2.13  (0.47) 1.07% 
2001  0.79  0.06  2.93  0.29  (1.89) 0.04  (1.30) (0.31) 0.77  0.63  (1.49) 3.71  4.16% 
2002  0.69  0.35  (0.63) (0.67) (1.17) 0.24  (0.04) 1.01  1.69  (0.35) 0.42  (0.43) 1.08% 
2003  1.08  0.03  (0.02) 0.21  0.84  5.66  1.66  0.12  1.26  (0.20) (0.43) 0.03  10.58% 
2004  (0.50) 0.61  0.18  1.02  0.24  (0.71) 0.65  0.55  (1.11) (0.09) 1.05  1.48  3.39% 
2005  0.30  (1.47) 0.36  (0.20) 0.45  0.49  (0.76) 0.18  (1.19) 0.41  (0.25) (0.90) (2.55%) 
2006  (0.04) (0.10) 0.17  0.14  0.25  (0.43) 0.01  (1.21) (0.85) (0.25) (0.35) (0.30) (2.93%) 
2007 (0.28) (0.34) 0.06  (0.74) (0.15) (0.11) 0.15  (0.60) 0.64  0.47  2.43  0.16  1.67% 
2008 0.78  1.46  1.25  1.41  (0.12) (0.84) 0.24  0.45  2.37  0.83  1.13  2.86  12.42% 
 
FOR INFORMATION ONLY. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Hathersage