Candriam Investors Group : Alternative Return Systemat

Year-to-Date: 17.70%
Nov Performance: 5.53%

Min Investment: € 125k
Mgmt. Fee: 1.31%
Perf. Fee: 20.00%

Annualized Vol: 12.49%
Sharpe (RFR=1%): 0.33
CAROR: 4.45%

Assets: € 48.6M
Worst DD: -27.32
S&P Correlation: -0.17

Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page

Growth of 1,000 - VAMI

Monthly Performance

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	Nov	Qtr	2020	1yr	3yr	5yr	10yr	Since 1/2007
Alternative Return Systemat	5.53	2.92	17.70	17.70	13.22	7.14	26.67	83.33
S&P 500	10.75	3.47	12.10	15.30	40.10	72.31	203.60	158.46
+/- S&P 500	-5.22	-0.54	5.60	2.39	-26.88	-65.17	-176.93	-75.13

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	3000 RT/YR/$M
Avg. Margin-to-Equity	10%
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%

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%

Summary

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

Investment Strategy

CANDRIAM ALTERNATIVE RETURN SYSTEMAT is a diversified portfolio of futures on commodities, rates, currencies and equity market indices. The Fund uses an in-house developed model based on a systematic medium-term trend following approach of these markets. Performance from January 2007 through January 2013 is taken from the Dexia AM Systemat Fund, which traded the same methodology as Alternative Return Systemat.

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

Compare to:

{{result.name}} {{result.description}}

Index: Chart Type:

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:

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
-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

Consecutive Gains

Run-up	Length (Mos.)	Start	End
28.57	6	3/1/2019	8/1/2019
17.59	6	9/1/2008	2/1/2009
14.71	3	11/1/2014	1/1/2015
14.50	3	1/1/2020	3/1/2020
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
5.53	1	11/1/2020	11/1/2020
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
3.48	3	6/1/2020	8/1/2020
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
0.63	1	11/1/2019	11/1/2019
0.16	1	8/1/2013	8/1/2013
0.14	1	5/1/2015	5/1/2015

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-15.51	4	2/1/2018	5/1/2018
-14.01	2	9/1/2019	10/1/2019
-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
-4.69	2	9/1/2020	10/1/2020
-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
-1.69	1	12/1/2019	12/1/2019
-1.24	2	4/1/2020	5/1/2020
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	167.00	165.00	162.00	156.00	150.00	144.00	132.00	120.00	108.00
Percent Profitable	52.69	58.79	57.41	67.95	69.33	69.44	74.24	79.17	88.89
Average Period Return	0.43	1.20	2.45	4.67	6.69	8.21	10.45	14.10	18.34
Average Gain	3.18	4.94	7.33	9.91	13.18	15.90	17.51	19.77	21.05
Average Loss	-2.67	-4.13	-4.13	-6.43	-7.97	-9.25	-9.89	-7.43	-3.33
Best Period	9.16	14.71	28.57	23.80	33.33	35.68	37.89	52.82	57.18
Worst Period	-9.02	-13.47	-13.74	-16.56	-19.70	-22.57	-25.94	-18.62	-11.41
Standard Deviation	3.61	5.56	7.25	9.65	12.32	14.09	14.70	16.00	16.23
Gain Standard Deviation	2.26	3.53	5.28	6.45	8.26	8.53	9.01	12.69	15.12
Loss Standard Deviation	1.96	2.93	3.19	4.48	5.41	6.60	6.63	5.40	3.32
Sharpe Ratio (1%)	0.10	0.17	0.27	0.38	0.42	0.44	0.51	0.63	0.82
Average Gain / Average Loss	1.19	1.19	1.78	1.54	1.65	1.72	1.77	2.66	6.33
Profit / Loss Ratio	1.34	1.70	2.40	3.27	3.74	3.90	5.10	10.10	50.61
Downside Deviation (10%)	2.49	3.92	4.79	7.08	9.35	11.61	14.14	15.56	16.84
Downside Deviation (5%)	2.31	3.38	3.66	4.90	6.03	7.20	7.35	5.81	3.21
Downside Deviation (0%)	2.26	3.24	3.39	4.42	5.32	6.26	6.02	4.16	1.53
Sortino Ratio (10%)	0.01	-0.01	0.00	-0.05	-0.10	-0.18	-0.38	-0.48	-0.55
Sortino Ratio (5%)	0.15	0.28	0.53	0.75	0.86	0.86	1.01	1.73	4.12
Sortino Ratio (0%)	0.19	0.37	0.72	1.06	1.26	1.31	1.74	3.39	11.95

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	9	0.00	9/2019
IASG CTA Index	Month	6	9.16	8/2019
Trend Following Strategy Index	Month	8	9.16	8/2019
Systematic Trader Index	Month	8	9.16	8/2019
Diversified Trader Index	Month	8	9.16	8/2019
Diversified Trader Index	Month	7	2.78	9/2018
Trend Following Strategy Index	Month	3	2.78	9/2018
Systematic Trader Index	Month	9	4.89	12/2017
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
Diversified Trader Index	Month	8	4.62	8/2017
Trend Following Strategy Index	Month	7	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.

^#9

Top Performer

TREND FOLLOWING STRATEGY INDEX

SEPTEMBER
2019

Get Free Research Report on This CTA

Get additional information on Candriam Investors Group, including performance, charts, statistics, ratios, and more.

First Name is required.

Last Name is required.

Email is required. This is not a valid email.

Phone is required.

* Required fields

More Programs by Candriam Investors Group

Program Name	CAROR
Absolute Return Equity Market Neutral C	5.37%
Alternative Return Systemat	4.45%
Candriam Diversified Futures I (Part C)	1.57%

IASG Activity

Blends 19
Portfolios 7
Watchlists 16

Find the right managed futures programs for you with our comprehensive free CTA database.

Candriam Investors Group : Alternative Return Systemat

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

Connect With Us for Latest CTA News & Rankings

Account Log In

Reset Password

Register for an Account

Thank You

Find the right managed futures programs for you with our comprehensive free CTA database.

Candriam Investors Group : Alternative Return Systemat

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

{{title}}

{{title}}

Connect With Us for Latest CTA News & Rankings

Get the Full Picture

Register now to access our complete CTA database: