SEB Asset Management : SEB Asset Selection Fund C (EUR)

Year-to-Date
1.63%
Oct Performance
-3.64%
Min Investment
€ 1k
Mgmt. Fee
1.10%
Perf. Fee
20.00%
Annualized Vol
8.42%
Sharpe (RFR=1%)
0.35
CAROR
3.66%
Assets
€ 825.0M
Worst DD
-16.58
S&P Correlation
-0.16

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
10/2006
SEB Asset Selection Fund C (EUR) -3.64 -4.37 1.63 2.75 -3.66 3.51 15.07 60.09
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 118.16
+/- S&P 500 -5.68 -6.29 -19.53 -9.25 -45.08 -45.48 -175.05 -58.07

Strategy Description

Summary

The flagship fund, SEB Asset Selection (approx. USD 1bn in AUM), is run with a 10% volatility target. The strategy is also offered in two other versions: SEB Asset Selection Opportunistic with a 20% volatility target and SEB Asset Selection Defensive with a 5% volatility target. The... Read More

Account & Fees

Type
Fund
Minimum Investment
€ 1k
Trading Level Incremental Increase
€ 0k
CTA Max Funding Factor
Management Fee
1.10%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
600 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
Worst Peak-to-Trough
-8.92%
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
1.00%
Systematic
99.00%

Strategy

Trend-following
90.00%
Other
10.00%
Strategy Pie Chart

Composition

Summary

The flagship fund, SEB Asset Selection (approx. USD 1bn in AUM), is run with a 10% volatility target. The strategy is also offered in two other versions: SEB Asset Selection Opportunistic with a 20% volatility target and SEB Asset Selection Defensive with a 5% volatility target. The investment team, headed by Hans-Olov Bornemann, a former Managing Director of Deutsche Bank, has been 100% stable (i.e. no defections) since its foundation in 2003 and has won awards and/or shortlistings by international hedge fund magazines each year since the fund was launched in 2006.

Investment Strategy

Instead of trying to maximise the stand-alone Sharpe-ratio of fund, this medium term systematic trend following program is designed to maximise the Sharpe ratio of the client's overall portfolio (assuming the client has long exposures to equities and bonds and/or a mix of differnt hedge fund strategies). The heavy weight on momentum models aims at generating 'crisis-alpha' and provide a 'tail risk hedge' in the context of the client's portfolio. Longer term correlation of +/-0.20 versus bonds and equities and a positive correlation versus market volatility.

Risk Management

Proprietary systematic risk management model which sizes positions on the basis of detailed return-, volatility- and correlation forecasts as well as event risks and other types of risk. In addition to the investment team's own risk management systems and processes, a centrally placed and independent risk control team is continuously monitoring the investment team's position taking.

   

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
-16.58 47 - 3/1/2015 2/1/2019
-8.92 13 6 9/1/2011 10/1/2012
-8.54 5 8 4/1/2013 9/1/2013
-6.04 2 15 11/1/2009 1/1/2010
-5.37 2 7 2/1/2009 4/1/2009
-4.34 1 6 3/1/2008 4/1/2008
-3.34 2 1 4/1/2011 6/1/2011
-3.30 2 1 6/1/2007 8/1/2007
-2.64 1 1 11/1/2007 12/1/2007
-1.26 2 1 1/1/2007 3/1/2007
-1.05 1 1 6/1/2014 7/1/2014
-0.58 1 1 12/1/2008 1/1/2009
-0.30 1 1 9/1/2014 10/1/2014
-0.12 1 1 1/1/2015 2/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
20.97 5 8/1/2008 12/1/2008
14.47 3 11/1/2014 1/1/2015
13.58 6 3/1/2019 8/1/2019
8.33 3 4/1/2007 6/1/2007
7.84 3 9/1/2007 11/1/2007
7.37 3 1/1/2008 3/1/2008
6.68 3 4/1/2014 6/1/2014
6.60 3 7/1/2011 9/1/2011
6.12 2 1/1/2016 2/1/2016
5.94 3 2/1/2010 4/1/2010
5.63 2 6/1/2016 7/1/2016
5.38 3 10/1/2013 12/1/2013
4.99 2 3/1/2013 4/1/2013
4.86 3 11/1/2012 1/1/2013
4.51 4 10/1/2006 1/1/2007
4.40 1 1/1/2018 1/1/2018
4.35 2 8/1/2014 9/1/2014
3.64 2 8/1/2009 9/1/2009
3.33 1 12/1/2010 12/1/2010
3.29 3 8/1/2010 10/1/2010
3.12 2 11/1/2011 12/1/2011
3.11 2 11/1/2016 12/1/2016
2.83 1 2/1/2014 2/1/2014
2.74 1 7/1/2017 7/1/2017
2.73 1 4/1/2011 4/1/2011
2.50 1 3/1/2015 3/1/2015
2.48 1 12/1/2018 12/1/2018
2.48 2 10/1/2017 11/1/2017
2.38 1 7/1/2012 7/1/2012
2.31 2 5/1/2008 6/1/2008
2.05 1 5/1/2009 5/1/2009
2.03 1 11/1/2009 11/1/2009
1.91 1 6/1/2018 6/1/2018
1.68 1 2/1/2017 2/1/2017
1.53 1 2/1/2011 2/1/2011
1.45 1 7/1/2015 7/1/2015
1.43 1 9/1/2015 9/1/2015
1.35 2 4/1/2012 5/1/2012
1.01 1 2/1/2009 2/1/2009
0.80 1 11/1/2015 11/1/2015
0.71 1 8/1/2018 8/1/2018
0.68 2 4/1/2017 5/1/2017
0.48 1 9/1/2012 9/1/2012
0.13 1 9/1/2016 9/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.26 4 2/1/2018 5/1/2018
-8.54 5 5/1/2013 9/1/2013
-6.78 2 9/1/2019 10/1/2019
-6.72 3 4/1/2015 6/1/2015
-6.04 2 12/1/2009 1/1/2010
-5.67 3 3/1/2016 5/1/2016
-5.37 2 3/1/2009 4/1/2009
-4.90 1 10/1/2011 10/1/2011
-4.34 1 4/1/2008 4/1/2008
-4.08 3 9/1/2018 11/1/2018
-4.02 1 6/1/2012 6/1/2012
-4.02 2 1/1/2019 2/1/2019
-3.93 1 10/1/2015 10/1/2015
-3.81 3 1/1/2012 3/1/2012
-3.39 1 11/1/2010 11/1/2010
-3.34 2 5/1/2011 6/1/2011
-3.30 2 7/1/2007 8/1/2007
-3.08 1 1/1/2014 1/1/2014
-2.93 1 10/1/2016 10/1/2016
-2.93 3 5/1/2010 7/1/2010
-2.64 1 12/1/2007 12/1/2007
-2.46 1 3/1/2011 3/1/2011
-2.40 2 8/1/2017 9/1/2017
-2.39 1 12/1/2015 12/1/2015
-2.18 1 6/1/2017 6/1/2017
-2.09 1 7/1/2008 7/1/2008
-1.95 1 1/1/2017 1/1/2017
-1.93 1 10/1/2012 10/1/2012
-1.62 1 8/1/2012 8/1/2012
-1.38 2 6/1/2009 7/1/2009
-1.26 2 2/1/2007 3/1/2007
-1.17 1 1/1/2011 1/1/2011
-1.14 1 12/1/2017 12/1/2017
-1.05 1 7/1/2014 7/1/2014
-1.01 1 8/1/2015 8/1/2015
-0.73 1 3/1/2017 3/1/2017
-0.67 1 7/1/2018 7/1/2018
-0.67 1 8/1/2016 8/1/2016
-0.65 1 10/1/2009 10/1/2009
-0.58 1 1/1/2009 1/1/2009
-0.30 1 10/1/2014 10/1/2014
-0.14 1 2/1/2013 2/1/2013
-0.12 1 2/1/2015 2/1/2015
-0.05 1 3/1/2014 3/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods157.00155.00152.00146.00140.00134.00122.00110.0098.00
Percent Profitable55.4154.8457.2463.7060.0066.4272.1383.6497.96
Average Period Return0.331.042.043.815.517.5710.8014.3118.57
Average Gain2.093.825.638.0611.5613.5016.6818.1518.98
Average Loss-1.86-2.34-2.76-3.66-3.57-4.15-4.43-5.26-1.55
Best Period7.9917.7820.2729.1935.0937.0640.0340.4546.52
Worst Period-5.87-8.98-10.17-13.70-11.30-11.49-12.48-14.49-2.43
Standard Deviation2.434.185.828.2210.2512.0113.1812.829.11
Gain Standard Deviation1.533.475.087.138.8710.4210.5810.138.72
Loss Standard Deviation1.271.802.133.052.682.673.264.411.24
Sharpe Ratio (1%)0.100.190.270.340.390.460.590.801.48
Average Gain / Average Loss1.121.632.042.203.233.253.773.4512.24
Profit / Loss Ratio1.401.982.733.864.856.439.7617.62587.37
Downside Deviation (10%)1.742.703.735.787.639.3912.3613.9112.48
Downside Deviation (5%)1.552.112.543.353.633.924.334.221.19
Downside Deviation (0%)1.501.982.272.862.822.852.892.750.25
Sortino Ratio (10%)-0.04-0.07-0.11-0.21-0.27-0.28-0.40-0.52-0.73
Sortino Ratio (5%)0.160.370.610.841.101.421.792.4311.27
Sortino Ratio (0%)0.220.530.901.331.952.663.745.2172.88

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Sharpe 4 3.78 2005 - 2006

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.