Candriam Investors Group : Candriam Diversified Futures I (Part C)

Year-to-Date
4.08%
Feb Performance
-1.74%
Min Investment
€ 250k
Mgmt. Fee
1.20%
Perf. Fee
20.00%
Annualized Vol
9.46%
Sharpe (RFR=1%)
0.06
CAROR
1.17%
Assets
€ 160.2M
Worst DD
-22.99
S&P Correlation
-0.09

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
12/2009
Candriam Diversified Futures I (Part C) -1.74 -4.08 -4.08 0.38 18.64 5.40 21.08 14.03
S&P 500 5.94 8.65 4.76 33.19 44.98 101.57 193.41 264.04
+/- S&P 500 -7.68 -12.73 -8.84 -32.81 -26.34 -96.17 -172.33 -250.01

Strategy Description

Investment Strategy

CANDRIAM DIVERSIFIED FUTURES is a UCITS fund that provides investors with a quantitative systematic investment approach. The fund will take long and short positions on the major asset classes (Equity indices, Short-term rates, Government bonds and Currencies), based on... Read More

Account & Fees

Type Fund
Minimum Investment € 250k
Trading Level Incremental Increase € 0k
CTA Max Funding Factor
Management Fee 1.20%
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 Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 3000 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 DIVERSIFIED FUTURES is a UCITS fund that provides investors with a quantitative systematic investment approach. The fund will take long and short positions on the major asset classes (Equity indices, Short-term rates, Government bonds and Currencies), based on the signals generated by the three main strategies implemented in the fund: trend following, contrarian, pattern recognition. Excess cash in the fund is invested in well-rated short-term money market securities.

   

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
-22.99 33 18 2/1/2016 11/1/2018
-10.37 12 18 1/1/0001 11/1/2010
-8.34 7 2 5/1/2015 12/1/2015
-8.18 4 26 7/1/2012 11/1/2012
-4.86 1 1 5/1/2012 6/1/2012
-4.48 2 2 8/1/2020 10/1/2020
-4.08 2 - 12/1/2020 2/1/2021
-0.97 1 1 1/1/2015 2/1/2015
-0.94 1 1 3/1/2015 4/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
21.52 6 3/1/2019 8/1/2019
14.30 2 1/1/2016 2/1/2016
12.44 4 10/1/2014 1/1/2015
12.06 8 1/1/2020 8/1/2020
7.49 5 12/1/2012 4/1/2013
7.33 2 12/1/2018 1/1/2019
5.69 2 11/1/2016 12/1/2016
5.47 1 1/1/2018 1/1/2018
5.46 1 12/1/2010 12/1/2010
5.25 1 7/1/2012 7/1/2012
5.09 2 4/1/2012 5/1/2012
5.06 2 11/1/2020 12/1/2020
4.70 2 6/1/2016 7/1/2016
4.58 3 7/1/2011 9/1/2011
4.54 2 5/1/2014 6/1/2014
4.39 1 9/1/2015 9/1/2015
3.83 1 3/1/2015 3/1/2015
3.75 4 11/1/2013 2/1/2014
3.33 3 6/1/2017 8/1/2017
2.57 2 10/1/2017 11/1/2017
2.53 1 2/1/2010 2/1/2010
2.45 1 9/1/2018 9/1/2018
2.24 1 8/1/2010 8/1/2010
1.74 2 4/1/2011 5/1/2011
1.68 1 2/1/2011 2/1/2011
1.36 2 11/1/2011 12/1/2011
1.29 1 5/1/2015 5/1/2015
1.21 1 4/1/2010 4/1/2010
1.14 1 7/1/2015 7/1/2015
0.51 1 11/1/2015 11/1/2015
0.48 1 10/1/2010 10/1/2010
0.27 1 8/1/2014 8/1/2014
0.22 1 11/1/2019 11/1/2019
0.19 1 8/1/2013 8/1/2013
0.02 1 6/1/2010 6/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.68 7 2/1/2018 8/1/2018
-11.28 5 1/1/2017 5/1/2017
-8.18 4 8/1/2012 11/1/2012
-7.53 3 3/1/2016 5/1/2016
-6.40 3 8/1/2016 10/1/2016
-5.25 1 12/1/2015 12/1/2015
-5.11 2 9/1/2019 10/1/2019
-4.86 1 6/1/2012 6/1/2012
-4.48 2 9/1/2020 10/1/2020
-4.42 1 11/1/2010 11/1/2010
-4.32 2 12/1/2009 1/1/2010
-4.08 2 1/1/2021 2/1/2021
-4.05 3 5/1/2013 7/1/2013
-3.75 2 10/1/2018 11/1/2018
-3.71 2 3/1/2014 4/1/2014
-3.69 1 7/1/2014 7/1/2014
-3.68 1 9/1/2017 9/1/2017
-3.57 1 8/1/2015 8/1/2015
-3.07 1 10/1/2015 10/1/2015
-3.04 1 10/1/2011 10/1/2011
-2.71 1 5/1/2010 5/1/2010
-2.56 1 9/1/2010 9/1/2010
-2.47 1 6/1/2015 6/1/2015
-2.24 3 1/1/2012 3/1/2012
-2.06 2 9/1/2013 10/1/2013
-1.97 1 2/1/2019 2/1/2019
-1.80 1 7/1/2010 7/1/2010
-1.39 1 12/1/2019 12/1/2019
-1.26 1 3/1/2010 3/1/2010
-1.24 1 3/1/2011 3/1/2011
-1.11 1 12/1/2017 12/1/2017
-0.97 1 2/1/2015 2/1/2015
-0.94 1 4/1/2015 4/1/2015
-0.78 1 1/1/2011 1/1/2011
-0.59 1 6/1/2011 6/1/2011
-0.20 1 9/1/2014 9/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods135.003.006.0012.0018.0024.0036.0048.0060.00
Percent Profitable52.5933.3316.67100.0066.67100.0066.6747.9213.33
Average Period Return0.13-0.79-2.086.250.5020.198.000.23-8.91
Average Gain2.151.390.356.252.9320.1914.668.422.38
Average Loss-2.10-1.88-2.56-4.38-5.31-7.30-10.65
Best Period8.841.390.358.855.4528.1422.2515.093.84
Worst Period-6.12-2.75-4.483.61-6.228.47-9.33-14.64-22.99
Standard Deviation2.732.081.781.853.935.8110.649.057.46
Gain Standard Deviation1.991.851.795.815.544.781.13
Loss Standard Deviation1.351.221.481.632.434.016.42
Sharpe Ratio (1%)0.02-0.50-1.452.84-0.263.130.47-0.42-1.88
Average Gain / Average Loss1.020.740.140.672.761.150.22
Profit / Loss Ratio1.130.370.031.345.521.060.03
Downside Deviation (10%)1.962.644.830.558.060.3612.8323.1237.28
Downside Deviation (5%)1.771.883.053.525.008.7215.85
Downside Deviation (0%)1.721.692.632.673.355.9811.55
Sortino Ratio (10%)-0.14-0.77-0.942.29-0.8827.35-0.60-0.92-0.98
Sortino Ratio (5%)0.03-0.55-0.85-0.290.99-0.44-0.88
Sortino Ratio (0%)0.08-0.47-0.790.192.390.04-0.77

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.