Fenja Fund Multi Strategy Ltd. : Fenja Fund Multi Strategy Ltd.

archived programs
Year-to-Date
N / A
Nov Performance
-0.03%
Min Investment
€ 50k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
3.68%
Sharpe (RFR=1%)
1.82
CAROR
7.90%
Assets
€ 3.6M
Worst DD
-1.43
S&P Correlation
-0.28

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
10/2010
Fenja Fund Multi Strategy Ltd. -0.03 0.50 - 5.49 19.26 41.49 - 48.09
S&P 500 0.05 5.49 - 0.62 46.90 76.19 - 75.70
+/- S&P 500 -0.08 -4.99 - 4.86 -27.64 -34.71 - -27.61

Strategy Description

Summary

Fenja Fund Multi Strategy Ltd. is a managed futures fund building a broad portfolio consisting of a wide range of different trading systems. Diversification is achieved by using different trading approaches, trading uncorrelated markets, and applying various time frames. The fund management... Read More

Account & Fees

Type
Fund
Minimum Investment
€ 50k
Trading Level Incremental Increase
€ 50k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1800 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
3.70%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
10.00%
1-30 Days
70.00%
Intraday
15.00%

Decision-Making

Discretionary
5.00%
Systematic
95.00%

Composition

Stock Indices
32.00%
Currency FX
19.00%
Other
17.00%
Interest Rates
14.00%
Precious Metals
13.00%
Energy
5.00%
Composition Pie Chart

Summary

Fenja Fund Multi Strategy Ltd. is a managed futures fund building a broad portfolio consisting of a wide range of different trading systems. Diversification is achieved by using different trading approaches, trading uncorrelated markets, and applying various time frames. The fund management has a strong focus on liquidity and a low correlation between the systems within the fund. As a result, Fenja Funds Multi Stratgy Ltd. provides an optimal addition to any traditional portfolio as it can act like an "airbag" in a portfolio and reduce overall risk.

   

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
-1.43 1 2 5/1/2011 6/1/2011
-1.31 1 2 2/1/2011 3/1/2011
-1.05 1 1 6/1/2012 7/1/2012
-0.92 1 2 9/1/2011 10/1/2011
-0.65 2 1 8/1/2013 10/1/2013
-0.47 1 1 1/1/2014 2/1/2014
-0.41 1 1 5/1/2013 6/1/2013
-0.31 1 1 4/1/2014 5/1/2014
-0.19 1 1 10/1/2012 11/1/2012
-0.14 1 1 1/1/2015 2/1/2015
-0.07 1 1 12/1/2010 1/1/2011
-0.03 1 - 10/1/2015 11/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
7.89 8 11/1/2011 6/1/2012
7.02 3 10/1/2010 12/1/2010
6.56 3 7/1/2011 9/1/2011
5.53 6 12/1/2012 5/1/2013
4.64 8 3/1/2015 10/1/2015
3.76 8 6/1/2014 1/1/2015
2.43 3 11/1/2013 1/1/2014
2.15 3 8/1/2012 10/1/2012
1.99 2 4/1/2011 5/1/2011
1.86 2 3/1/2014 4/1/2014
1.83 1 2/1/2011 2/1/2011
1.80 2 7/1/2013 8/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.43 1 6/1/2011 6/1/2011
-1.31 1 3/1/2011 3/1/2011
-1.05 1 7/1/2012 7/1/2012
-0.92 1 10/1/2011 10/1/2011
-0.65 2 9/1/2013 10/1/2013
-0.47 1 2/1/2014 2/1/2014
-0.41 1 6/1/2013 6/1/2013
-0.31 1 5/1/2014 5/1/2014
-0.19 1 11/1/2012 11/1/2012
-0.14 1 2/1/2015 2/1/2015
-0.07 1 1/1/2011 1/1/2011
-0.03 1 11/1/2015 11/1/2015
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods62.0060.0057.0051.0045.0039.0027.0015.00
Percent Profitable79.03100.00100.00100.00100.00100.00100.00100.00
Average Period Return0.641.913.677.4111.1114.9123.0832.61
Average Gain0.951.913.677.4111.1114.9123.0832.61
Average Loss-0.54
Best Period4.677.028.1515.1418.3624.2232.8039.65
Worst Period-1.430.060.964.056.569.9117.9628.40
Standard Deviation1.061.541.742.573.283.953.983.29
Gain Standard Deviation0.951.541.742.573.283.953.983.29
Loss Standard Deviation0.49
Sharpe Ratio (1%)0.531.081.822.492.933.265.038.69
Average Gain / Average Loss1.78
Profit / Loss Ratio6.69
Downside Deviation (10%)0.490.360.360.210.180.05
Downside Deviation (5%)0.360.03
Downside Deviation (0%)0.33
Sortino Ratio (10%)0.481.903.3111.5719.0586.64
Sortino Ratio (5%)1.5764.86
Sortino Ratio (0%)1.96

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.