MERIT Alternative Investments GmbH : Blue Danube Fund

archived programs
Year-to-Date
N / A
May Performance
-5.71%
Min Investment
$ 14k
Mgmt. Fee
2.00%
Perf. Fee
25.00%
Annualized Vol
8.60%
Sharpe (RFR=1%)
0.22
CAROR
2.51%
Assets
$ 3.0M
Worst DD
-17.22
S&P Correlation
-0.13

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
1/1999
Blue Danube Fund -5.71 - - - - - -13.10 36.09
S&P 500 -1.35 - - - - - 7.12 170.71
+/- S&P 500 -4.36 - - - - - -20.23 -134.62

Strategy Description

Summary

The BLUE DANUBE FUND - FUTURES SELECT is single-manager Multi-System-Strategy, which has allocations to our 6 different in-house trading strategies including: long-term, short-term, mid-term, break-out, day trader, and fundamental.... Read More

Account & Fees

Type Fund
Minimum Investment $ 14k
Trading Level Incremental Increase $ 0k
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 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 10%
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 13.00%
Systematic 87.00%

Strategy

Composition

Summary

The BLUE DANUBE FUND - FUTURES SELECT is single-manager Multi-System-Strategy, which has allocations to our 6 different in-house trading strategies including: long-term, short-term, mid-term, break-out, day trader, and fundamental.

   

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
-17.22 28 - 1/1/2009 5/1/2011
-13.84 7 16 4/1/1999 11/1/1999
-9.64 14 4 2/1/2004 4/1/2005
-8.42 5 11 10/1/2001 3/1/2002
-4.31 10 3 5/1/2006 3/1/2007
-4.11 5 2 3/1/2001 8/1/2001
-3.77 3 2 5/1/2003 8/1/2003
-3.24 4 2 3/1/2008 7/1/2008
-3.03 1 1 9/1/2005 10/1/2005
-2.55 3 2 11/1/2005 2/1/2006
-2.25 1 1 7/1/2007 8/1/2007
-1.77 1 1 2/1/2003 3/1/2003
-0.72 1 1 10/1/2003 11/1/2003
-0.71 1 1 2/1/1999 3/1/1999
-0.24 1 1 11/1/2008 12/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
19.34 6 10/1/2000 3/1/2001
14.21 7 9/1/2007 3/1/2008
11.25 3 12/1/2002 2/1/2003
9.13 2 5/1/2005 6/1/2005
8.58 4 8/1/2008 11/1/2008
6.97 2 8/1/2005 9/1/2005
6.46 2 12/1/1999 1/1/2000
6.18 2 4/1/2003 5/1/2003
5.74 3 3/1/2006 5/1/2006
5.73 4 4/1/2007 7/1/2007
5.59 1 8/1/2000 8/1/2000
5.30 3 12/1/2003 2/1/2004
5.28 2 9/1/2003 10/1/2003
4.66 2 9/1/2001 10/1/2001
4.57 1 4/1/1999 4/1/1999
3.66 1 11/1/2005 11/1/2005
3.58 3 3/1/2010 5/1/2010
3.49 2 4/1/2000 5/1/2000
3.34 3 4/1/2002 6/1/2002
3.00 1 9/1/1999 9/1/1999
2.72 2 1/1/1999 2/1/1999
2.60 1 11/1/2004 11/1/2004
2.13 1 5/1/2009 5/1/2009
2.10 1 8/1/2010 8/1/2010
1.98 1 1/1/2007 1/1/2007
1.87 1 4/1/2011 4/1/2011
1.53 1 6/1/2008 6/1/2008
1.28 1 2/1/2005 2/1/2005
1.25 2 6/1/1999 7/1/1999
1.23 1 12/1/2010 12/1/2010
1.21 1 7/1/2004 7/1/2004
1.14 1 11/1/2009 11/1/2009
1.13 1 11/1/2006 11/1/2006
0.69 1 5/1/2001 5/1/2001
0.53 1 1/1/2009 1/1/2009
0.46 1 9/1/2002 9/1/2002
0.46 1 10/1/2010 10/1/2010
0.43 1 12/1/2001 12/1/2001
0.40 2 8/1/2009 9/1/2009
0.37 1 8/1/2006 8/1/2006
0.35 1 9/1/2004 9/1/2004
0.22 1 5/1/2004 5/1/2004
0.11 1 2/1/2011 2/1/2011
0.03 1 1/1/2006 1/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.74 2 10/1/1999 11/1/1999
-6.57 2 6/1/2000 7/1/2000
-6.15 3 1/1/2002 3/1/2002
-5.71 1 5/1/2011 5/1/2011
-5.07 1 5/1/1999 5/1/1999
-4.93 3 2/1/2009 4/1/2009
-4.79 1 3/1/2011 3/1/2011
-4.51 2 3/1/2005 4/1/2005
-4.39 2 12/1/2004 1/1/2005
-3.77 3 6/1/2003 8/1/2003
-3.75 1 11/1/2010 11/1/2010
-3.41 3 6/1/2001 8/1/2001
-3.38 2 2/1/2007 3/1/2007
-3.13 3 12/1/2009 2/1/2010
-3.06 1 6/1/2004 6/1/2004
-3.03 1 10/1/2005 10/1/2005
-3.03 2 10/1/2002 11/1/2002
-2.98 1 7/1/2005 7/1/2005
-2.84 1 11/1/2001 11/1/2001
-2.52 2 4/1/2008 5/1/2008
-2.46 2 6/1/2010 7/1/2010
-2.25 1 8/1/2007 8/1/2007
-2.24 1 1/1/2011 1/1/2011
-2.23 1 7/1/2008 7/1/2008
-2.07 2 6/1/2006 7/1/2006
-1.84 1 2/1/2006 2/1/2006
-1.77 1 3/1/2003 3/1/2003
-1.75 2 6/1/2009 7/1/2009
-1.73 2 2/1/2000 3/1/2000
-1.70 1 9/1/2000 9/1/2000
-1.59 1 10/1/2009 10/1/2009
-1.57 1 8/1/2004 8/1/2004
-1.49 2 3/1/2004 4/1/2004
-1.41 1 4/1/2001 4/1/2001
-1.19 2 9/1/2006 10/1/2006
-1.12 1 12/1/2006 12/1/2006
-0.81 1 9/1/2010 9/1/2010
-0.75 1 12/1/2005 12/1/2005
-0.72 1 11/1/2003 11/1/2003
-0.71 1 3/1/1999 3/1/1999
-0.47 2 7/1/2002 8/1/2002
-0.45 1 10/1/2004 10/1/2004
-0.27 1 8/1/1999 8/1/1999
-0.24 1 12/1/2008 12/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods149.00147.00144.00138.00132.00126.00114.00102.0090.00
Percent Profitable54.3651.0256.2564.4978.0390.4895.61100.0098.89
Average Period Return0.240.731.603.746.148.8113.9819.8224.70
Average Gain1.963.625.238.219.1910.4014.8919.8225.00
Average Loss-1.82-2.28-3.07-4.36-4.69-6.33-5.70-1.48
Best Period8.3512.4319.3421.2324.3822.1829.8035.7838.57
Worst Period-8.29-10.12-9.45-13.46-13.17-14.75-10.520.58-1.48
Standard Deviation2.483.765.347.508.107.377.697.726.74
Gain Standard Deviation1.722.533.915.146.255.606.517.726.17
Loss Standard Deviation1.482.112.562.853.004.344.29
Sharpe Ratio (1%)0.060.130.210.370.570.921.432.042.91
Average Gain / Average Loss1.081.591.701.881.961.642.6116.91
Profit / Loss Ratio1.291.662.193.426.9715.6256.971505.37
Downside Deviation (10%)1.802.864.085.966.496.286.716.276.78
Downside Deviation (5%)1.622.302.903.613.222.892.010.350.69
Downside Deviation (0%)1.582.172.643.102.602.341.440.16
Sortino Ratio (10%)-0.09-0.17-0.21-0.21-0.22-0.23-0.27-0.28-0.43
Sortino Ratio (5%)0.100.210.380.761.442.365.4645.5128.26
Sortino Ratio (0%)0.150.340.611.212.373.779.72158.57

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.