SMN Investment Services GmbH : smn Diversified Futures Fund (i14)

Year-to-Date
16.53%
Oct Performance
-6.38%
Min Investment
€ 250k
Mgmt. Fee
1.75%
Perf. Fee
20.00%
Annualized Vol
18.63%
Sharpe (RFR=1%)
0.36
CAROR
6.17%
Assets
€ 37.8M
Worst DD
-35.26
S&P Correlation
-0.06

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
11/1996
smn Diversified Futures Fund (i14) -6.38 -18.70 -16.53 -18.82 -25.39 -14.13 1.34 296.28
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 297.10
+/- S&P 500 -8.42 -20.62 -37.69 -30.83 -66.80 -63.12 -188.78 -0.83

Strategy Description

Summary

The smn Diversified Futures Fund is a fully systematic long-term Managed Futures Fund (CTA) capitalizing on market divergences in a broad range of global futures markets. The systems investment and risk management decisions are based on market directionality, inter market relationships,... Read More

Account & Fees

Type
Fund
Minimum Investment
€ 250k
Trading Level Incremental Increase
€ 0k
CTA Max Funding Factor
Management Fee
1.75%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
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
0%
Systematic
100.00%

Strategy

Composition

Summary

The smn Diversified Futures Fund is a fully systematic long-term Managed Futures Fund (CTA) capitalizing on market divergences in a broad range of global futures markets. The systems investment and risk management decisions are based on market directionality, inter market relationships, volatilities, long and short term market/position correlations and the overall risk regime. The funds main differences to a standard long term trend following approach are: - Focus on maximum level of diversification. Meaningful exposure to smaller markets, commodities and synthetic markets - Active reduction of portfolio risk concentrations through the use of short term correlation data - Dynamic Risk budgeting based on the overall market risk regime Performance data are derived from the real net performance figures of the share category “1996” and are adjusted by the fee schedule of the share category “i14” from Nov 01, 1996 until January 30, 2015. Starting from inception of the share category (January 31, 2015) the performance data are based on a real figures.

Investment Strategy

All systems traded by our company are proprietary. SMN Investment Services started trading the SMN Diversified Futures Fund in Oct. 1996. Two classical trend-following systems were used till January 1999. These systems were developed between 1990 and 1994. These systems used profit targets and volatility blockers. In January 1999 the systems were redesigned and a third system (same methodology, but shorter time frame) was implemented. The new strategies did not use profit targets anymore and concentrate more on fat-tail-events. In Mai 1999 a new intraday trading approach was added. In May 2001 a new risk management methodology was introduced. Positions are reshuffled based on market volatility in order to keep risk constant during trades. In August 2001 one of the three long-term systems was redesigned. The goal of the new system was to reverse more quickly in trend reversals in order to act as a hedge against the two longer-term systems. In August 2002 we changed the methodology in our intraday approach substantially. The new methodology filtered out about one third of all trades. These trades turned out to be negative and they occurred in similar market situations. In November 2003 we implemented the selective trading approach. It consisted of several systems that tried to exploit mostly short-term market inefficiencies. In contrast to our classical trend-following approach this approach was trading not very often. In November 2006 we dismissed all strategies with a short-term trading horizon due to fundamental changes in market behaviour. Moreover we added a substantial amount of new Currency and Equity Index markets.In November 2007, a risk overlay system was implemented.

Risk Management

The trend-following portfolio consists of more than 200 markets in different market sectors. Markets are selected to represent a geographically balanced portfolio across different asset classes, with liquidity being the main focus. Different Systems trade these markets in order to capture different trend lengths. Each signal has a predefined risk exposure where correlations between markets and sector exposure are the main function inputs. Market volatility and the fund’s total equity are also part of the function. If the target exposure changes, open positions are reshuffled in order to keep trade risk constant.

   

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
-35.26 55 - 3/1/2015 10/1/2019
-34.25 24 14 9/1/2011 9/1/2013
-28.83 6 38 2/1/2004 8/1/2004
-20.71 6 18 12/1/2008 6/1/2009
-19.00 4 12 3/1/2001 7/1/2001
-13.89 4 3 2/1/2011 6/1/2011
-13.45 14 13 9/1/1998 11/1/1999
-9.44 3 4 5/1/2003 8/1/2003
-8.86 2 2 2/1/2008 4/1/2008
-7.66 2 2 6/1/2008 8/1/2008
-7.52 2 2 9/1/2002 11/1/2002
-7.34 3 2 7/1/1997 10/1/1997
-6.68 1 2 2/1/2003 3/1/2003
-6.61 3 2 2/1/1997 5/1/1997
-2.60 1 1 3/1/1998 4/1/1998
-1.93 1 1 12/1/2010 1/1/2011
-1.51 1 1 1/1/2015 2/1/2015
-0.32 1 1 12/1/2000 1/1/2001
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Consecutive Gains

Run-up Length (Mos.) Start End
68.59 8 6/1/2014 1/1/2015
40.05 6 9/1/2007 2/1/2008
39.26 6 4/1/2002 9/1/2002
34.64 4 9/1/2008 12/1/2008
27.09 3 12/1/2002 2/1/2003
23.31 3 8/1/2001 10/1/2001
20.00 5 5/1/1998 9/1/1998
19.62 3 4/1/2007 6/1/2007
18.62 3 12/1/2003 2/1/2004
18.38 4 10/1/2017 1/1/2018
18.29 3 8/1/2010 10/1/2010
17.58 3 7/1/2011 9/1/2011
16.41 4 9/1/2004 12/1/2004
15.97 5 11/1/1997 3/1/1998
15.82 2 2/1/2001 3/1/2001
15.52 4 11/1/1996 2/1/1997
15.15 2 5/1/2008 6/1/2008
14.16 4 10/1/2006 1/1/2007
13.45 2 11/1/2000 12/1/2000
12.99 1 12/1/2010 12/1/2010
12.82 2 3/1/2006 4/1/2006
12.78 2 6/1/1997 7/1/1997
12.75 1 1/1/2013 1/1/2013
12.05 2 4/1/2003 5/1/2003
11.92 2 3/1/2010 4/1/2010
10.55 1 11/1/2005 11/1/2005
9.34 2 10/1/2013 11/1/2013
9.24 3 6/1/2019 8/1/2019
9.09 3 7/1/2009 9/1/2009
8.22 1 12/1/1999 12/1/1999
8.17 2 9/1/2003 10/1/2003
7.50 3 6/1/2018 8/1/2018
7.08 1 11/1/2009 11/1/2009
6.49 1 4/1/1999 4/1/1999
6.31 1 11/1/2015 11/1/2015
6.04 3 2/1/2019 4/1/2019
5.97 1 7/1/2012 7/1/2012
5.88 1 8/1/2000 8/1/2000
5.69 1 4/1/2011 4/1/2011
5.57 1 7/1/2015 7/1/2015
5.40 1 4/1/2014 4/1/2014
4.95 2 5/1/2005 6/1/2005
4.83 2 6/1/2016 7/1/2016
4.59 2 1/1/2016 2/1/2016
4.31 2 4/1/2000 5/1/2000
4.18 3 1/1/2012 3/1/2012
3.68 1 2/1/2017 2/1/2017
3.65 2 7/1/2017 8/1/2017
3.54 1 2/1/1999 2/1/1999
3.30 1 2/1/2011 2/1/2011
2.87 1 12/1/1998 12/1/1998
2.78 1 9/1/2015 9/1/2015
2.66 1 2/1/2009 2/1/2009
2.52 2 8/1/2005 9/1/2005
2.42 1 7/1/2003 7/1/2003
2.38 1 3/1/2015 3/1/2015
2.21 2 4/1/2017 5/1/2017
2.14 1 2/1/2014 2/1/2014
2.05 1 11/1/2012 11/1/2012
1.96 1 12/1/2001 12/1/2001
1.75 1 8/1/1999 8/1/1999
1.53 1 11/1/2011 11/1/2011
1.41 1 4/1/2013 4/1/2013
1.39 1 6/1/2010 6/1/2010
1.37 1 1/1/2006 1/1/2006
1.24 1 9/1/2016 9/1/2016
1.06 1 2/1/2000 2/1/2000
0.96 1 9/1/1997 9/1/1997
0.89 1 4/1/2018 4/1/2018
0.69 1 5/1/2001 5/1/2001
0.40 1 6/1/1999 6/1/1999
0.31 1 10/1/1999 10/1/1999
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Consecutive Losses

Run-up Length (Mos.) Start End
-28.83 6 3/1/2004 8/1/2004
-20.70 4 3/1/2009 6/1/2009
-19.32 2 9/1/2019 10/1/2019
-17.75 5 5/1/2013 9/1/2013
-15.19 5 9/1/2018 1/1/2019
-14.07 3 8/1/2012 10/1/2012
-13.95 2 2/1/2018 3/1/2018
-13.74 3 4/1/2012 6/1/2012
-13.60 2 5/1/2011 6/1/2011
-13.27 4 1/1/2005 4/1/2005
-13.07 5 5/1/2006 9/1/2006
-12.56 1 4/1/2001 4/1/2001
-11.67 3 1/1/2002 3/1/2002
-11.62 2 2/1/2007 3/1/2007
-11.60 3 4/1/2015 6/1/2015
-10.06 3 3/1/2016 5/1/2016
-9.18 4 10/1/2016 1/1/2017
-8.86 2 3/1/2008 4/1/2008
-8.74 1 10/1/2011 10/1/2011
-8.00 2 6/1/2001 7/1/2001
-7.95 2 10/1/1998 11/1/1998
-7.92 2 7/1/2007 8/1/2007
-7.78 1 6/1/2003 6/1/2003
-7.66 2 7/1/2008 8/1/2008
-7.52 2 10/1/2002 11/1/2002
-7.45 1 11/1/2010 11/1/2010
-7.26 1 5/1/2019 5/1/2019
-7.12 1 5/1/1999 5/1/1999
-6.99 1 11/1/2001 11/1/2001
-6.94 1 5/1/2010 5/1/2010
-6.76 1 8/1/1997 8/1/1997
-6.68 1 3/1/2003 3/1/2003
-6.61 3 3/1/1997 5/1/1997
-6.50 3 12/1/2009 2/1/2010
-6.33 2 2/1/2013 3/1/2013
-6.08 1 7/1/2010 7/1/2010
-6.01 2 9/1/2000 10/1/2000
-5.71 1 3/1/2011 3/1/2011
-4.69 1 3/1/1999 3/1/1999
-4.61 1 8/1/2015 8/1/2015
-4.35 1 10/1/2009 10/1/2009
-4.24 1 9/1/2017 9/1/2017
-4.12 1 5/1/2018 5/1/2018
-4.12 1 8/1/2003 8/1/2003
-3.98 1 1/1/1999 1/1/1999
-3.30 1 2/1/2006 2/1/2006
-3.05 1 6/1/2017 6/1/2017
-3.00 1 3/1/2017 3/1/2017
-2.96 1 3/1/2000 3/1/2000
-2.89 2 12/1/2013 1/1/2014
-2.80 1 7/1/1999 7/1/1999
-2.70 2 6/1/2000 7/1/2000
-2.66 1 1/1/2000 1/1/2000
-2.60 1 1/1/2009 1/1/2009
-2.60 1 4/1/1998 4/1/1998
-2.22 1 12/1/2015 12/1/2015
-2.18 1 12/1/2012 12/1/2012
-2.11 1 7/1/2005 7/1/2005
-2.02 1 3/1/2014 3/1/2014
-2.01 1 10/1/2015 10/1/2015
-1.93 1 1/1/2011 1/1/2011
-1.92 1 12/1/2005 12/1/2005
-1.68 1 9/1/1999 9/1/1999
-1.57 1 10/1/1997 10/1/1997
-1.51 1 2/1/2015 2/1/2015
-1.37 1 12/1/2011 12/1/2011
-1.32 1 11/1/2003 11/1/2003
-0.77 1 5/1/2014 5/1/2014
-0.58 1 10/1/2005 10/1/2005
-0.53 1 8/1/2016 8/1/2016
-0.41 1 11/1/1999 11/1/1999
-0.32 1 1/1/2001 1/1/2001
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods276.00274.00271.00265.00259.00253.00241.00229.00217.00
Percent Profitable54.3555.8458.3060.3867.1870.3675.9384.2893.09
Average Period Return0.642.003.998.2812.9417.3926.7137.8649.37
Average Gain4.518.4111.9619.3724.7929.8139.1347.5254.05
Average Loss-3.96-6.10-7.14-8.63-11.31-12.07-12.49-13.90-13.65
Best Period18.8532.1460.1477.8088.9491.9599.13110.76111.66
Worst Period-15.04-21.24-28.83-24.11-30.93-34.25-27.80-27.79-25.66
Standard Deviation5.389.5013.1819.5024.7327.1030.0932.4929.90
Gain Standard Deviation3.717.2011.0517.2021.3922.3422.9825.4625.23
Loss Standard Deviation2.834.605.725.947.147.528.117.069.23
Sharpe Ratio (1%)0.100.180.270.370.460.570.791.041.48
Average Gain / Average Loss1.141.381.672.252.192.473.133.423.96
Profit / Loss Ratio1.361.742.343.424.495.869.8918.3353.33
Downside Deviation (10%)3.515.747.239.4011.7112.9814.7914.7912.16
Downside Deviation (5%)3.335.206.167.118.398.688.587.645.48
Downside Deviation (0%)3.285.075.906.587.657.737.296.164.29
Sortino Ratio (10%)0.070.140.210.350.460.550.741.101.79
Sortino Ratio (5%)0.170.340.571.021.361.772.764.428.08
Sortino Ratio (0%)0.200.400.681.261.692.253.676.1411.52

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 6 9.56 10/2017
IASG CTA Index Month 7 9.56 10/2017

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