1741 Asset Management : 1741 SIF Diversified Trends

archived programs
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

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 Since
4/2011
1741 SIF Diversified Trends -4.71 - - - - - - 19.10
S&P 500 0.85 - - - - - - 154.03
+/- S&P 500 -5.56 - - - - - - -134.92

Strategy Description

Summary

The 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%
Strategy Pie Chart

Composition

Summary

The Diversified Trends strategy is a CTA strategy that invests based on a systematic, non-discretionary, trend-following approach.

Investment Strategy

Both 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 Management

In 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.

   

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
-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
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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
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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
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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.