Candriam Investors Group : Absolute Return Equity Market Neutral C

Year-to-Date
14.32%
Dec Performance
3.14%
Min Investment
€ 250k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
6.17%
Sharpe (RFR=1%)
0.72
CAROR
5.37%
Assets
€ 232.7M
Worst DD
-9.46
S&P Correlation
0.31

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 2020 1yr 3yr 5yr 10yr Since
5/2016
Absolute Return Equity Market Neutral C 3.14 3.39 14.32 14.32 14.47 - - 27.63
S&P 500 3.71 11.69 16.26 16.26 40.48 - - 77.30
+/- S&P 500 -0.57 -8.30 -1.93 -1.93 -26.00 - - -49.67

Strategy Description

Investment Strategy

CANDRIAM ABSOLUTE RETURN EQUITY MARKET NEUTRAL Class C seeks to deliver positive absolute returns by taking long and short positions on worldwide equity indices and their constituents, to benefit from short to medium term pricing inefficiencies. To achieve this objective,... Read More

Account & Fees

Type Fund
Minimum Investment € 250k
Trading Level Incremental Increase € 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 20.00%
Average Commission
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 3500 RT/YR/$M
Avg. Margin-to-Equity 10%
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

Investment Strategy

CANDRIAM ABSOLUTE RETURN EQUITY MARKET NEUTRAL Class C seeks to deliver positive absolute returns by taking long and short positions on worldwide equity indices and their constituents, to benefit from short to medium term pricing inefficiencies. To achieve this objective, the fund managers implement a combination of discretionary statistical arbitrage strategies, using a mix of quantitative and qualitative analysis, while closely managing risk. Such strategies include: Index Rebalancings and Relative Value. This results in a diversified equity market neutral portfolio with a maximum volatility target of 10%. The performances shown before 2019 are those of Candriam Alternative Equity Market Neutral C Cap. [LU1246236779], absorbed on 01/1/8/2019

   

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
-9.46 6 8 2/1/2019 8/1/2019
-2.79 2 6 12/1/2017 2/1/2018
-1.87 1 4 8/1/2018 9/1/2018
-1.81 3 2 2/1/2017 5/1/2017
-1.33 4 2 6/1/2020 10/1/2020
-0.93 1 1 9/1/2017 10/1/2017
-0.85 1 1 7/1/2017 8/1/2017
-0.59 1 1 1/1/0001 5/1/2016
-0.48 2 1 7/1/2016 9/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
11.37 4 3/1/2020 6/1/2020
5.47 1 9/1/2019 9/1/2019
4.62 3 11/1/2019 1/1/2020
4.48 5 10/1/2016 2/1/2017
3.99 2 11/1/2020 12/1/2020
3.45 2 7/1/2018 8/1/2018
3.36 2 6/1/2017 7/1/2017
3.26 2 6/1/2016 7/1/2016
2.79 2 11/1/2017 12/1/2017
2.54 2 1/1/2019 2/1/2019
2.34 1 3/1/2018 3/1/2018
1.94 1 9/1/2017 9/1/2017
1.60 2 10/1/2018 11/1/2018
0.91 1 5/1/2018 5/1/2018
0.46 1 4/1/2017 4/1/2017
0.26 1 6/1/2019 6/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.03 3 3/1/2019 5/1/2019
-2.79 2 1/1/2018 2/1/2018
-1.87 1 9/1/2018 9/1/2018
-1.81 2 7/1/2019 8/1/2019
-1.65 1 6/1/2018 6/1/2018
-1.40 1 12/1/2018 12/1/2018
-1.35 1 3/1/2017 3/1/2017
-1.33 4 7/1/2020 10/1/2020
-1.05 1 10/1/2019 10/1/2019
-0.93 1 10/1/2017 10/1/2017
-0.92 1 5/1/2017 5/1/2017
-0.85 1 8/1/2017 8/1/2017
-0.82 1 4/1/2018 4/1/2018
-0.76 1 2/1/2020 2/1/2020
-0.59 1 5/1/2016 5/1/2016
-0.48 2 8/1/2016 9/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable57.1472.2282.3577.7879.4978.79100.00
Average Period Return0.451.252.504.365.025.868.86
Average Gain1.632.553.936.637.237.888.86
Average Loss-1.12-2.12-4.18-3.59-3.55-1.67
Best Period5.479.3612.5919.8121.5714.9516.69
Worst Period-5.38-8.03-9.46-8.73-5.84-4.020.65
Standard Deviation1.783.024.476.645.985.145.08
Gain Standard Deviation1.192.093.235.604.453.645.08
Loss Standard Deviation1.082.393.222.631.811.41
Sharpe Ratio (1%)0.210.330.450.510.590.751.15
Average Gain / Average Loss1.461.200.941.852.044.73
Profit / Loss Ratio1.943.124.396.477.9017.57
Downside Deviation (10%)1.222.173.174.545.666.618.50
Downside Deviation (5%)1.051.752.342.462.411.830.55
Downside Deviation (0%)1.011.662.172.061.780.98
Sortino Ratio (10%)0.040.010.01-0.14-0.45-0.66-0.81
Sortino Ratio (5%)0.350.580.851.361.462.1010.63
Sortino Ratio (0%)0.450.761.152.122.826.00

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.