Dexia Asset Management : Alternative Return Systemat

archived programs
Year-to-Date
N / A
Aug Performance
1.01%
Min Investment
$ 15k
Mgmt. Fee
1.31%
Perf. Fee
20.00%
Annualized Vol
10.55%
Sharpe (RFR=1%)
0.78
CAROR
9.08%
Assets
$ 66.9M
Worst DD
-7.42
S&P Correlation
-0.11

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
1/2007
Alternative Return Systemat 1.01 - - - - - 13.06 50.03
S&P 500 -5.68 - - - - - 7.52 140.86
+/- S&P 500 6.69 - - - - - 5.54 -90.83

Strategy Description

Summary

Alternative Return Systemat is a SICAV-SIF(Specialised Investment Fund) registered in Luxembourg. The fund's objective is to achieve long-term capital appreciation combined with a controlled volatility. The trading program based on numerous proprietary quantitative models is applied... Read More

Account & Fees

Type Fund
Minimum Investment $ 15k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.31%
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 Any Investor
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough 0%
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%
Trend-following
70.00%
Other
15.00%
Strategy Pie Chart

Composition

Summary

Alternative Return Systemat is a SICAV-SIF(Specialised Investment Fund) registered in Luxembourg. The fund's objective is to achieve long-term capital appreciation combined with a controlled volatility. The trading program based on numerous proprietary quantitative models is applied on a widely diversified range of asset classes (equity indexes, short and long-term interest rates, FX and commodities)

Investment Strategy

The management process of Alternative Return Systemat is based on the development of quantitative models that identify the buy or sell signals, from past performance statistics. The investment strategy combines three types of statistical models with a low correlation between them and applied on different time horizons. To adapt the models to changing market conditions, and identify new opportunities, the fund regularly innovates in its quantitative approach with the support of its team of Research & Development.

Risk Management

• Models of dynamic risk management modify daily the weight assigned to each position. To meet the objective of the fund volatility and maintain portfolio diversification, our allocation models analyze daily market conditions and calculate the weight allocated to each position. • Cash bucket is invested exclusively in Euro zone government securities by a dedicated team within Dexia AM

   

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
-7.42 8 3 11/1/2009 7/1/2010
-7.08 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
-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
-2.74 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
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Consecutive Gains

Run-up Length (Mos.) Start End
17.59 6 9/1/2008 2/1/2009
10.72 3 8/1/2010 10/1/2010
9.63 2 1/1/2008 2/1/2008
9.32 3 4/1/2007 6/1/2007
7.69 1 12/1/2010 12/1/2010
7.09 3 9/1/2007 11/1/2007
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
4.57 2 7/1/2011 8/1/2011
3.83 1 2/1/2011 2/1/2011
2.96 3 4/1/2008 6/1/2008
2.90 1 3/1/2010 3/1/2010
2.76 1 1/1/2007 1/1/2007
1.94 1 5/1/2009 5/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.08 2 2/1/2007 3/1/2007
-6.80 2 3/1/2009 4/1/2009
-6.13 3 12/1/2009 2/1/2010
-5.32 2 7/1/2008 8/1/2008
-4.24 1 3/1/2011 3/1/2011
-4.16 4 4/1/2010 7/1/2010
-3.93 2 7/1/2007 8/1/2007
-3.80 1 11/1/2010 11/1/2010
-2.74 1 1/1/2011 1/1/2011
-1.99 2 5/1/2011 6/1/2011
-1.95 1 10/1/2009 10/1/2009
-0.61 1 6/1/2009 6/1/2009
-0.52 1 12/1/2007 12/1/2007
-0.40 1 3/1/2008 3/1/2008
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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 Profitable57.1464.8172.5591.1189.74100.00100.00
Average Period Return0.772.264.769.8113.5417.9427.89
Average Gain2.925.097.4411.0215.3717.9427.89
Average Loss-2.09-2.96-2.30-2.66-2.40
Best Period8.1714.1817.5922.7833.3435.7037.91
Worst Period-4.24-6.13-5.19-4.30-4.793.5319.46
Standard Deviation3.054.935.947.369.139.315.47
Gain Standard Deviation1.993.504.646.517.719.315.47
Loss Standard Deviation1.371.991.411.352.13
Sharpe Ratio (1%)0.230.410.721.201.321.714.54
Average Gain / Average Loss1.401.723.234.156.40
Profit / Loss Ratio1.863.178.5442.5156.03
Downside Deviation (10%)1.862.742.632.743.411.73
Downside Deviation (5%)1.672.221.631.151.38
Downside Deviation (0%)1.632.101.400.870.97
Sortino Ratio (10%)0.200.380.871.761.754.45
Sortino Ratio (5%)0.410.912.617.648.71
Sortino Ratio (0%)0.471.083.4011.3313.98

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.