Candriam Investor Group : Alternative Return Systemat

Year-to-Date
7.37%
Apr Performance
3.77%
Min Investment
€ 125k
Mgmt. Fee
1.31%
Perf. Fee
20.00%
Annualized Vol
12.23%
Sharpe (RFR=1%)
0.29
CAROR
3.89%
Assets
€ 81.2M
Worst DD
-27.32
S&P Correlation
-0.17

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
1/2007
Alternative Return Systemat 3.77 9.96 7.37 6.79 -10.02 13.08 28.48 60.08
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 102.72
+/- S&P 500 -0.16 1.03 -10.14 -4.45 -51.22 -41.70 -205.57 -42.64

Strategy Description

Summary

The funds objective is to exploit the trends in financial markets using statistical model.... Read More

Account & Fees

Type
Fund
Minimum Investment
€ 125k
Trading Level Incremental Increase
€ 0k
CTA Max Funding Factor
Management Fee
1.31%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
5000 RT/YR/$M
Avg. Margin-to-Equity
17%
Targeted Worst DD
-12.00%
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

Counter-trend
15.00%
Pattern Recognition
15.00%
Trend-following
70.00%
Strategy Pie Chart

Composition

Interest Rates
28.00%
Stock Indices
15.00%
Currency Futures
14.00%
Energy
14.00%
Grains
14.00%
Industrial Metals
9.00%
Precious Metals
6.00%
Composition Pie Chart

Summary

The funds objective is to exploit the trends in financial markets using statistical model.

Investment Strategy

The funds aims to overperform traditional trend following strategy, not only by applying extensive diversification but also by adding innovating non trend following strategies to the portfolio.

Risk Management

Each asset class is equally weighted in risk, which increase the robustness and stability of our program, while our dynamic risk allocation models monitor and adjust daily the level of risk of the portfolio

   

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
-27.32 33 - 2/1/2016 11/1/2018
-11.46 15 13 7/1/2012 10/1/2013
-7.91 1 9 9/1/2011 10/1/2011
-7.42 8 3 11/1/2009 7/1/2010
-7.09 2 3 1/1/2007 3/1/2007
-6.80 2 7 2/1/2009 4/1/2009
-5.32 2 2 6/1/2008 8/1/2008
-5.25 5 5 3/1/2015 8/1/2015
-4.24 1 1 2/1/2011 3/1/2011
-3.93 2 3 6/1/2007 8/1/2007
-3.80 1 1 10/1/2010 11/1/2010
-2.77 1 1 1/1/2015 2/1/2015
-2.74 1 1 12/1/2010 1/1/2011
-1.99 2 1 4/1/2011 6/1/2011
-0.52 1 1 11/1/2007 12/1/2007
-0.40 1 2 2/1/2008 3/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
17.59 6 9/1/2008 2/1/2009
14.71 3 11/1/2014 1/1/2015
12.40 2 3/1/2019 4/1/2019
12.39 2 1/1/2016 2/1/2016
11.13 2 12/1/2017 1/1/2018
10.72 3 8/1/2010 10/1/2010
10.13 3 7/1/2011 9/1/2011
9.63 2 1/1/2008 2/1/2008
9.39 2 6/1/2016 7/1/2016
9.31 3 4/1/2007 6/1/2007
8.66 5 12/1/2012 4/1/2013
7.69 1 12/1/2010 12/1/2010
7.63 1 7/1/2012 7/1/2012
7.28 3 5/1/2014 7/1/2014
7.09 3 9/1/2007 11/1/2007
6.67 1 12/1/2018 12/1/2018
6.65 2 11/1/2016 12/1/2016
6.15 4 11/1/2013 2/1/2014
5.72 2 7/1/2017 8/1/2017
5.47 1 5/1/2012 5/1/2012
5.28 1 9/1/2015 9/1/2015
5.27 1 9/1/2014 9/1/2014
5.27 3 7/1/2009 9/1/2009
4.60 1 11/1/2009 11/1/2009
4.57 1 4/1/2011 4/1/2011
4.27 3 11/1/2011 1/1/2012
3.83 1 2/1/2011 2/1/2011
3.78 1 11/1/2015 11/1/2015
3.01 1 3/1/2015 3/1/2015
2.95 2 5/1/2008 6/1/2008
2.90 1 3/1/2010 3/1/2010
2.78 1 9/1/2018 9/1/2018
2.76 1 1/1/2007 1/1/2007
2.59 1 10/1/2017 10/1/2017
2.46 1 7/1/2015 7/1/2015
2.36 2 6/1/2018 7/1/2018
1.94 1 5/1/2009 5/1/2009
0.16 1 8/1/2013 8/1/2013
0.14 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.51 4 2/1/2018 5/1/2018
-13.74 6 1/1/2017 6/1/2017
-10.52 4 8/1/2012 11/1/2012
-10.24 3 8/1/2016 10/1/2016
-9.19 3 3/1/2016 5/1/2016
-8.27 2 10/1/2018 11/1/2018
-7.91 1 10/1/2011 10/1/2011
-7.09 2 2/1/2007 3/1/2007
-6.80 2 3/1/2009 4/1/2009
-6.67 3 5/1/2013 7/1/2013
-6.17 1 6/1/2012 6/1/2012
-6.13 3 12/1/2009 2/1/2010
-5.96 1 9/1/2017 9/1/2017
-5.32 2 7/1/2008 8/1/2008
-5.04 2 3/1/2014 4/1/2014
-4.48 2 1/1/2019 2/1/2019
-4.46 1 12/1/2015 12/1/2015
-4.24 1 3/1/2011 3/1/2011
-4.16 4 4/1/2010 7/1/2010
-4.04 1 11/1/2017 11/1/2017
-3.93 2 7/1/2007 8/1/2007
-3.80 1 11/1/2010 11/1/2010
-3.44 1 10/1/2015 10/1/2015
-2.77 1 2/1/2015 2/1/2015
-2.74 1 1/1/2011 1/1/2011
-2.68 1 8/1/2015 8/1/2015
-2.68 1 4/1/2015 4/1/2015
-2.59 2 9/1/2013 10/1/2013
-2.50 1 6/1/2015 6/1/2015
-1.99 2 5/1/2011 6/1/2011
-1.95 1 10/1/2009 10/1/2009
-1.85 1 8/1/2014 8/1/2014
-1.83 3 2/1/2012 4/1/2012
-0.62 1 10/1/2014 10/1/2014
-0.61 1 6/1/2009 6/1/2009
-0.52 1 12/1/2007 12/1/2007
-0.40 2 3/1/2008 4/1/2008
-0.09 1 8/1/2018 8/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods148.00146.00143.00137.00131.00125.00113.00101.0089.00
Percent Profitable51.3556.8556.6464.2365.6567.2078.7689.1193.26
Average Period Return0.380.991.913.835.787.7512.1317.5221.55
Average Gain3.194.736.569.6113.0516.2218.2020.7323.29
Average Loss-2.63-3.94-4.16-6.56-8.10-9.60-10.39-8.82-2.57
Best Period8.3214.7117.7923.8033.3335.6837.8952.8257.18
Worst Period-9.02-12.63-13.74-16.56-19.70-22.57-25.94-18.62-5.38
Standard Deviation3.535.246.739.8212.5514.5214.6414.9915.77
Gain Standard Deviation2.153.174.716.738.408.499.0912.3114.87
Loss Standard Deviation1.872.713.204.445.406.687.466.562.10
Sharpe Ratio (1%)0.080.140.210.290.340.400.620.901.04
Average Gain / Average Loss1.221.201.581.471.611.691.752.359.06
Profit / Loss Ratio1.301.582.062.633.083.466.5019.23125.30
Downside Deviation (10%)2.463.834.867.549.9512.1813.2712.6014.34
Downside Deviation (5%)2.273.273.715.236.447.657.054.732.22
Downside Deviation (0%)2.233.143.454.725.686.675.853.570.83
Sortino Ratio (10%)-0.01-0.06-0.11-0.16-0.18-0.21-0.27-0.32-0.42
Sortino Ratio (5%)0.130.230.380.540.660.751.292.847.41
Sortino Ratio (0%)0.170.320.550.811.021.162.074.9125.88

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 3 2.78 9/2018
Diversified Trader Index Month 7 2.78 9/2018
Diversified Trader Index Month 7 4.89 12/2017
Trend Following Strategy Index Month 6 4.89 12/2017
IASG CTA Index Month 9 4.89 12/2017
Systematic Trader Index Month 9 4.89 12/2017
Trend Following Strategy Index Month 7 4.62 8/2017
Diversified Trader Index Month 8 4.62 8/2017
Trend Following Strategy Index Month 10 5.28 11/2016
Trend Following Strategy Index Month 10 6.57 2/2016
IASG CTA Index Month 9 6.57 2/2016

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