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

Year-to-Date: 1.85%
Dec Performance: -0.66%

Min Investment: € 1k
Mgmt. Fee: 1.10%
Perf. Fee: 20.00%

Annualized Vol: 8.37%
Sharpe (RFR=1%): 0.35
CAROR: 3.63%

Assets: € 781.0M
Worst DD: -16.58
S&P Correlation: -0.16

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Growth of 1,000 - VAMI

Monthly Performance

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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 10/2006
SEB Asset Selection Fund C (EUR)	-0.66	-3.43	1.85	1.85	-6.37	-2.83	15.72	60.43
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	186.74	132.04
+/- S&P 500	-3.52	-11.97	-27.02	-27.02	-49.21	-58.15	-171.02	-71.61

Strategy Description

Summary

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%

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.

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Index: Chart Type:

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:

Monthly Annual

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
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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
-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

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
0.88	1	11/1/2019	11/1/2019
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

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
-0.66	1	12/1/2019	12/1/2019
-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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	159.00	157.00	154.00	148.00	142.00	136.00	124.00	112.00	100.00
Percent Profitable	55.35	54.14	57.14	64.19	60.56	65.44	70.97	82.14	96.00
Average Period Return	0.33	0.97	2.01	3.80	5.45	7.38	10.54	14.02	18.17
Average Gain	2.08	3.82	5.57	7.97	11.32	13.50	16.68	18.15	18.98
Average Loss	-1.85	-2.40	-2.74	-3.66	-3.57	-4.22	-4.46	-4.97	-1.48
Best Period	7.99	17.78	20.27	29.19	35.09	37.06	40.03	40.45	46.52
Worst Period	-5.87	-8.98	-10.17	-13.70	-11.30	-11.49	-12.48	-14.49	-2.83
Standard Deviation	2.42	4.21	5.80	8.17	10.19	12.03	13.23	12.90	9.45
Gain Standard Deviation	1.53	3.47	5.08	7.09	8.90	10.42	10.58	10.13	8.72
Loss Standard Deviation	1.27	1.83	2.12	3.05	2.68	2.63	3.19	4.28	1.36
Sharpe Ratio (1%)	0.10	0.17	0.26	0.34	0.39	0.45	0.57	0.77	1.38
Average Gain / Average Loss	1.13	1.59	2.03	2.17	3.17	3.20	3.74	3.65	12.80
Profit / Loss Ratio	1.40	1.88	2.71	3.90	4.87	6.06	9.13	16.80	307.24
Downside Deviation (10%)	1.73	2.76	3.72	5.75	7.61	9.52	12.55	14.15	13.02
Downside Deviation (5%)	1.54	2.18	2.53	3.33	3.60	4.00	4.42	4.27	1.51
Downside Deviation (0%)	1.50	2.04	2.26	2.84	2.80	2.91	2.94	2.74	0.38
Sortino Ratio (10%)	-0.05	-0.09	-0.12	-0.21	-0.28	-0.30	-0.42	-0.53	-0.73
Sortino Ratio (5%)	0.16	0.33	0.60	0.84	1.09	1.34	1.70	2.33	8.64
Sortino Ratio (0%)	0.22	0.47	0.89	1.34	1.95	2.53	3.58	5.11	47.94

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.

^#4

Top Performer

IASG CTA INDEX

2006
SHARPE

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More Programs by SEB Asset Management

Program Name	CAROR
SEB Asset Selection Fund C (EUR)	3.63%
SEB Asset Selection Opportunistic Fund C (EUR)	2.70%

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

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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