Dexia Asset Management : Dexia Diversified Futures

archived programs
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

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 Since
11/2009
Dexia Diversified Futures 2.05 - - - - - 8.14 -5.02
S&P 500 -2.15 - - - - - 6.69 195.37
+/- S&P 500 4.20 - - - - - 1.45 -200.39

Strategy Description

Summary

The 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%
Strategy Pie Chart

Composition

Summary

The 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 Strategy

The 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.

   

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:
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Risk
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
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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
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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
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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.