Candriam Investors Group : Alternative Return Systemat Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A 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 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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since1/2007 Alternative Return Systemat 5.53 - - 4.08 26.48 4.98 26.30 83.33 S&P 500 10.75 - - 15.30 40.10 72.31 203.60 198.68 +/- S&P 500 -5.22 - - -11.22 -13.62 -67.33 -177.30 -115.35 Strategy Description SummaryThe 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% SummaryThe funds objective is to exploit the trends in financial markets using statistical model.Investment StrategyCANDRIAM 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 ManagementEach 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: 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel