1741 Asset Management : 1741 SIF Diversified Trends Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Apr Performance -4.71% Min Investment $ 5,000k Mgmt. Fee 1.25% Perf. Fee 20.00% Annualized Vol 12.64% Sharpe (RFR=1%) 0.32 CAROR 4.37% Assets $ 51.0M Worst DD -17.30 S&P Correlation -0.10 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since4/2011 1741 SIF Diversified Trends -4.71 - - - - - - 19.10 S&P 500 0.85 - - - - - - 154.03 +/- S&P 500 -5.56 - - - - - - -134.92 Strategy Description SummaryThe Diversified Trends strategy is a CTA strategy that invests based on a systematic, non-discretionary, trend-following approach.... Read More Account & Fees Type Managed Account Minimum Investment $ 5,000k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 1.25% Performance Fee 20.00% Average Commission $0 Available to US Investors No Subscriptions High Water Mark Yes Subscription Frequency 1-7 Days Redemption Frequency 1-7 Days Investor Requirements Accredited Investors Lock-up Period 0 Trading Trading Frequency 550 RT/YR/$M Avg. Margin-to-Equity 15% Targeted Worst DD Worst Peak-to-Trough 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 0% Systematic 100.00% Strategy Trend-following 100.00% Composition SummaryThe Diversified Trends strategy is a CTA strategy that invests based on a systematic, non-discretionary, trend-following approach.Investment StrategyBoth financial theory and empirical evidence demonstrate that price trends can and do occur in the financial markets. Funds can profit from these trends and gernerate a positive return over the long term by systematically going long on positive trends, while shorting negative trends. By combining multiple long as well as short positions, and exploiting historically low corerlations between individual instruments, such trend-following strategies have the potential to generate positive returns in both rising and falling markets, and are therefore often an effective means of diversifying investors' portfolios. In order to achieve its objective, the Diversified Trends strategy seeks to identify persistent trends based on proprietary, in-house models. The strategy invests in multiple asset classes including money markets, bonds, equities, currencies and commodities, and its investment universe consists of over 90 futures and forwards.Risk ManagementIn order to improve the strategy's stability, a risk management tool applying the risk diversification concept determines optimal portfolio weightings. These are adjusted on a daily basis. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -17.30 23 8 2/1/2012 1/1/2014 -5.33 2 2 4/1/2011 6/1/2011 -5.21 3 - 1/1/2015 4/1/2015 -4.60 1 2 9/1/2011 10/1/2011 -3.26 1 1 9/1/2014 10/1/2014 -0.60 1 1 12/1/2011 1/1/2012 Show More Consecutive Gains Run-up Length (Mos.) Start End 18.06 6 4/1/2014 9/1/2014 15.68 3 11/1/2014 1/1/2015 13.09 3 11/1/2012 1/1/2013 10.59 3 7/1/2011 9/1/2011 6.90 1 7/1/2012 7/1/2012 5.05 2 11/1/2011 12/1/2011 3.60 1 2/1/2012 2/1/2012 3.40 1 4/1/2011 4/1/2011 3.36 1 2/1/2014 2/1/2014 3.02 2 10/1/2013 11/1/2013 2.00 1 5/1/2012 5/1/2012 1.76 2 3/1/2013 4/1/2013 0.75 1 3/1/2015 3/1/2015 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.06 5 5/1/2013 9/1/2013 -11.44 3 8/1/2012 10/1/2012 -6.10 1 6/1/2012 6/1/2012 -5.34 1 2/1/2013 2/1/2013 -5.33 2 5/1/2011 6/1/2011 -5.03 2 12/1/2013 1/1/2014 -4.71 1 4/1/2015 4/1/2015 -4.60 1 10/1/2011 10/1/2011 -3.26 1 10/1/2014 10/1/2014 -2.69 2 3/1/2012 4/1/2012 -1.27 1 2/1/2015 2/1/2015 -0.60 1 1/1/2012 1/1/2012 -0.41 1 3/1/2014 3/1/2014 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods49.0047.0044.0038.0032.0026.0014.00 Percent Profitable55.1055.3261.3647.3743.7546.1578.57 Average Period Return0.421.382.873.321.350.385.52 Average Gain3.145.488.2714.0411.9910.688.17 Average Loss-2.91-3.69-5.70-6.33-6.93-8.45-4.22 Best Period9.3115.6821.5736.0032.3617.5616.52 Worst Period-6.10-11.44-11.51-17.12-16.99-14.52-5.30 Standard Deviation3.655.798.7013.0212.4711.007.03 Gain Standard Deviation2.304.056.2211.0110.945.845.26 Loss Standard Deviation1.672.803.623.855.134.671.54 Sharpe Ratio (1%)0.090.200.270.18-0.01-0.150.35 Average Gain / Average Loss1.081.491.452.221.731.261.94 Profit / Loss Ratio1.321.842.302.001.351.087.11 Downside Deviation (10%)2.483.775.568.7011.7314.3412.28 Downside Deviation (5%)2.283.204.435.977.348.363.48 Downside Deviation (0%)2.233.074.165.346.407.032.04 Sortino Ratio (10%)0.010.040.07-0.19-0.53-0.69-0.83 Sortino Ratio (5%)0.150.350.540.39-0.02-0.200.71 Sortino Ratio (0%)0.190.450.690.620.210.052.71 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. x {{title}} x {{title}} Add Cancel