Credit Suisse Asset Management LLC : Credit Suisse Managed Futures Strategy Fund

Year-to-Date
0.04%
Aug Performance
2.04%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.94%
Sharpe (RFR=1%)
0.47
CAROR
6.03%
Assets
$ 0k
Worst DD
-18.61
S&P Correlation
0.07

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
2/2011
Credit Suisse Managed Futures Strategy Fund 2.04 1.39 -0.04 -9.75 -9.69 -8.52 - 27.46
S&P 500 7.01 14.98 8.34 19.61 40.39 75.68 - 161.01
+/- S&P 500 -4.97 -13.59 -8.38 -29.36 -50.08 -84.20 - -133.54

Strategy Description

Account & Fees

Type Mutual Fund
Minimum Investment $ 10,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

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

Trading

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

Composition

   

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
-14.40 9 25 3/1/2015 12/1/2015
-12.20 5 5 4/1/2011 9/1/2011
-5.43 1 8 4/1/2012 5/1/2012
-3.81 4 6 11/1/2013 3/1/2014
-2.41 1 1 11/1/2014 12/1/2014
-2.36 4 1 6/1/2013 10/1/2013
-1.39 1 1 1/1/2015 2/1/2015
-0.57 1 1 4/1/2013 5/1/2013
-0.20 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
15.65 5 7/1/2014 11/1/2014
15.27 2 1/1/2016 2/1/2016
14.74 1 1/1/2015 1/1/2015
10.06 4 1/1/2012 4/1/2012
9.75 4 10/1/2017 1/1/2018
8.44 5 12/1/2012 4/1/2013
8.30 1 10/1/2011 10/1/2011
5.03 2 7/1/2017 8/1/2017
4.17 1 9/1/2012 9/1/2012
4.14 1 3/1/2015 3/1/2015
4.01 1 6/1/2016 6/1/2016
3.85 1 4/1/2011 4/1/2011
2.90 1 11/1/2013 11/1/2013
2.67 1 7/1/2015 7/1/2015
2.52 1 2/1/2011 2/1/2011
2.30 1 9/1/2015 9/1/2015
1.99 1 11/1/2015 11/1/2015
1.34 1 6/1/2013 6/1/2013
1.19 1 11/1/2016 11/1/2016
0.83 1 5/1/2015 5/1/2015
0.76 1 2/1/2017 2/1/2017
0.62 1 4/1/2016 4/1/2016
0.60 2 4/1/2014 5/1/2014
0.45 1 9/1/2016 9/1/2016
0.21 1 6/1/2012 6/1/2012
0.10 1 5/1/2017 5/1/2017
0.04 1 7/1/2011 7/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.45 2 8/1/2011 9/1/2011
-8.50 1 12/1/2015 12/1/2015
-5.43 1 5/1/2012 5/1/2012
-4.44 1 6/1/2015 6/1/2015
-3.98 1 4/1/2015 4/1/2015
-3.92 1 10/1/2015 10/1/2015
-3.81 4 12/1/2013 3/1/2014
-3.18 1 5/1/2016 5/1/2016
-3.10 2 3/1/2017 4/1/2017
-2.90 2 10/1/2012 11/1/2012
-2.72 1 9/1/2017 9/1/2017
-2.54 2 7/1/2016 8/1/2016
-2.41 1 12/1/2014 12/1/2014
-2.36 4 7/1/2013 10/1/2013
-2.10 2 12/1/2016 1/1/2017
-1.99 2 5/1/2011 6/1/2011
-1.97 1 10/1/2016 10/1/2016
-1.76 1 8/1/2015 8/1/2015
-1.74 1 6/1/2017 6/1/2017
-1.40 1 3/1/2016 3/1/2016
-1.39 1 2/1/2015 2/1/2015
-0.85 2 11/1/2011 12/1/2011
-0.57 1 5/1/2013 5/1/2013
-0.20 1 3/1/2011 3/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods84.0082.0079.0073.0067.0061.0049.0037.0025.00
Percent Profitable52.3858.5454.4372.6077.6186.89100.00100.00100.00
Average Period Return0.551.422.675.749.0213.4422.9732.1436.00
Average Gain2.734.537.439.0812.3116.0822.9732.1436.00
Average Loss-2.12-2.97-3.02-3.14-2.37-4.01
Best Period14.7419.8229.1133.7931.7932.8138.6552.8154.48
Worst Period-8.50-10.42-8.82-8.72-5.49-7.343.6316.3723.93
Standard Deviation3.455.307.449.2510.3811.319.328.387.23
Gain Standard Deviation3.064.496.978.679.459.669.328.387.23
Loss Standard Deviation1.922.541.972.131.791.78
Sharpe Ratio (1%)0.130.220.290.510.721.012.143.354.28
Average Gain / Average Loss1.291.532.462.905.184.01
Profit / Loss Ratio1.622.162.947.6717.9626.56
Downside Deviation (10%)2.043.153.964.665.415.983.600.980.90
Downside Deviation (5%)1.872.622.712.422.022.28
Downside Deviation (0%)1.832.502.431.971.391.57
Sortino Ratio (10%)0.070.060.050.160.260.532.0010.779.35
Sortino Ratio (5%)0.250.450.801.953.725.02
Sortino Ratio (0%)0.300.571.102.916.498.55

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.