Dexia Asset Management : Dexia Diversified Futures Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Jul Performance 2.05% Min Investment $ 125k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 16.79% Sharpe (RFR=1%) -0.15 CAROR - Assets $ 19.6M Worst DD -22.30 S&P Correlation 0.60 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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since11/2009 Dexia Diversified Futures 2.05 - - - - - 15.78 -5.02 S&P 500 -2.15 - - - - - 6.69 216.18 +/- S&P 500 4.20 - - - - - 9.09 -221.20 Strategy Description SummaryThe investment objective of Dexia Diversified Futures, an absolute return UCITS IV fund, is to capture trends on the financial markets. The fund is regularly exposed, both on the long side and the short side, to the main asset classes (equity indices, short rates, long rates, currencies,... Read More Account & Fees Type Fund Minimum Investment $ 125k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 1.00% Performance Fee 20.00% Average Commission $0 Available to US Investors Yes Subscriptions High Water Mark No Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 0 RT/YR/$M Avg. Margin-to-Equity 0% Targeted Worst DD Worst Peak-to-Trough 0% Sector Focus Not Specified Holding Periods Over 12 Months 0% 4-12 Months 0% 1-3 Months 0% 1-30 Days Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Counter-trend 15.00% Trend-following 70.00% Other 15.00% Composition SummaryThe investment objective of Dexia Diversified Futures, an absolute return UCITS IV fund, is to capture trends on the financial markets. The fund is regularly exposed, both on the long side and the short side, to the main asset classes (equity indices, short rates, long rates, currencies, commodities).Investment StrategyThe management process of Dexia Diversified Futures 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 invested mainly in money market securities by a dedicated team within Dexia AM, in Euro zone government securities or commercial papers of short maturity with a minimum A1 rating. 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 -22.30 12 - 11/1/2009 11/1/2010 Show More Consecutive Gains Run-up Length (Mos.) Start End 21.40 5 12/1/2010 4/1/2011 7.07 2 9/1/2010 10/1/2010 4.44 1 7/1/2010 7/1/2010 2.32 2 6/1/2011 7/1/2011 1.19 1 11/1/2009 11/1/2009 0.66 1 2/1/2010 2/1/2010 Show More Consecutive Losses Run-up Length (Mos.) Start End -12.71 4 3/1/2010 6/1/2010 -11.42 2 12/1/2009 1/1/2010 -10.48 1 11/1/2010 11/1/2010 -2.75 1 5/1/2011 5/1/2011 -0.26 1 8/1/2010 8/1/2010 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month Number of Periods21.0019.0016.0010.00 Percent Profitable57.1442.1150.0050.00 Average Period Return-0.13-0.540.031.26 Average Gain2.967.039.0212.39 Average Loss-4.25-6.04-8.96-9.88 Best Period8.6812.8818.0618.18 Worst Period-10.48-12.58-22.06-22.30 Standard Deviation4.857.7511.1013.76 Gain Standard Deviation2.503.374.036.96 Loss Standard Deviation4.084.617.938.22 Sharpe Ratio (1%)-0.04-0.10-0.040.02 Average Gain / Average Loss0.701.161.011.25 Profit / Loss Ratio0.930.851.011.25 Downside Deviation (10%)3.966.469.6411.78 Downside Deviation (5%)3.805.848.509.29 Downside Deviation (0%)3.755.688.238.71 Sortino Ratio (10%)-0.14-0.27-0.25-0.32 Sortino Ratio (5%)-0.06-0.14-0.050.03 Sortino Ratio (0%)-0.03-0.090.000.14 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. x {{title}} x {{title}} Add Cancel