MERIT Alternative Investments GmbH : Blue Danube Fund Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 May Qtr 2020 1yr 3yr 5yr 10yr Since1/1999 Blue Danube Fund -5.71 - - - - - -10.50 36.09 S&P 500 -1.35 - - - - - 7.12 190.49 +/- S&P 500 -4.36 - - - - - -17.62 -154.40 Strategy Description SummaryThe 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 SummaryThe 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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel