Seneca Invest AG : Vienna Global - Klimt Fund (P)

archived programs
Year-to-Date
N / A
May Performance
-0.88%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
19.00%
Annualized Vol
13.53%
Sharpe (RFR=1%)
0.11
CAROR
-
Assets
$ 1.1M
Worst DD
-11.55
S&P Correlation
-0.15

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
3/2011
Vienna Global - Klimt Fund (P) -0.88 - - - - - - 2.05
S&P 500 -6.27 - - - - - - 161.27
+/- S&P 500 5.39 - - - - - - -159.22

Strategy Description

Summary

The investment objective of the Vienna Global – Klimt Fund is to maximize the return for investors by aiming to achieve high capital appreciation over a medium term with a low correlation with traditional asset classes. The Fund is targeted for investors who are willing to accept the... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 10k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 19.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 15-30 Days
Redemption Frequency 15-30 Days
Investor Requirements Accredited Investors
Lock-up Period 0

Trading

Trading Frequency 400 RT/YR/$M
Avg. Margin-to-Equity 18%
Targeted Worst DD 1.53%
Worst Peak-to-Trough -1.53%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 35.00%
1-30 Days 60.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Fundamental
80.00%
Seasonal/cyclical
10.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Energy
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
Industrial Metals
20.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

The investment objective of the Vienna Global – Klimt Fund is to maximize the return for investors by aiming to achieve high capital appreciation over a medium term with a low correlation with traditional asset classes. The Fund is targeted for investors who are willing to accept the risks inherent in investing in financial futures, commodity futures, currencies and other derivatives.

Investment Strategy

The investment strategies to be employed by the Vienna Global – Klimt Fund are characterized by the following criteria: a.) Fundamental Trading: Even though the Fund will be allocating its assets in a variety of separate investment strategies, these will all be guided by an overall systematic global macro strategy, which will ensure that all the investment decisions taken relating to the investment strategies are based on fundamental quantitative models. Markets are screened for macroeconomic imbalances on a worldwide basis. The positions established will exploit these imbalances. b.) Diversification: By allocating capital across a broad number of markets/investments the probability for an occurrence of an unfavorable situation on all of the markets is reduced considerably (Capital Market Theory, Markowitz, Sharpe). Derivatives allow involvements in markets, which could not be made in a traditional portfolio management approach. The prerequisite for choosing all underlying investments is their liquidity in the relevant market and the legal stability of the relevant market. c.) Systematic Approach: In contrast to most existing global macro strategies, the strategy is 100% systematic and employs no discretionary decisions at all. All buy- and sell-decisions are based on quantitative analysis by applying quantitative trading models, which deliver buy and sell signals together with stop-loss orders. d.) State-of-the-art Risk Management Approach: The Fund employs various techniques to attempt to reduce the risks inherent in its their respective trading strategies. According to the risk reduction approach, risk is reduced on three levels: - Investment process: 100% systematic, no discretionary decisions - Portfolio construction: high degree of diversification - Market level: stop-loss exits, markets are traded based on signals e.) Outright Positions: Long (speculation on rising market prices) and short positions (speculation on falling market prices) will be undertaken, similar to a CTA/trend-following strategy. This type of trading is called outright-trading. f.) Money Management: The Fund has in general a higher risk through the use of derivatives and leverage associated thereto. Therefore the size of any underlying investment always needs to be set in relation to the associated risk and not the possible gain. The average percentage of a single investment will be below 2% of the total fund equity. This leads to an average equity-to-margin ratio of approximately 10 -20 %. g.) Active Management of Liquidity: The Fund can actively manage the available liquidity not invested in underlying investments. Liquidity can be maintained in cash or may be invested in money market instruments or short-term government instruments with maturities of less than 12 months.

Risk Management

On a daily base the system is calculating the actions we have to execute.

   

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
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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
-11.55 3 - 2/1/2012 5/1/2012
-5.55 3 1 10/1/2011 1/1/2012
-1.21 2 1 3/1/2011 5/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
15.24 5 6/1/2011 10/1/2011
7.30 1 2/1/2012 2/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.55 3 3/1/2012 5/1/2012
-5.55 3 11/1/2011 1/1/2012
-1.21 3 3/1/2011 5/1/2011
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods15.0013.0010.00
Percent Profitable40.0061.5470.00
Average Period Return0.211.454.93
Average Gain3.645.499.86
Average Loss-2.35-5.00-6.57
Best Period8.0911.7114.08
Worst Period-7.60-11.55-9.57
Standard Deviation3.916.948.83
Gain Standard Deviation3.234.983.88
Loss Standard Deviation2.344.024.67
Sharpe Ratio (1%)0.030.170.50
Average Gain / Average Loss1.551.101.50
Profit / Loss Ratio1.161.763.50
Downside Deviation (10%)2.574.465.38
Downside Deviation (5%)2.393.954.40
Downside Deviation (0%)2.343.824.16
Sortino Ratio (10%)-0.080.050.46
Sortino Ratio (5%)0.050.311.01
Sortino Ratio (0%)0.090.381.18

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.