SMN Investment Services GmbH : smn Diversified Futures Fund (i14) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 14.55% Dec Performance 10.10% Min Investment € 250k Mgmt. Fee 1.75% Perf. Fee 20.00% Annualized Vol 18.58% Sharpe (RFR=1%) 0.37 CAROR 6.44% Assets € 30.7M Worst DD -39.31 S&P Correlation -0.07 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since11/1996 smn Diversified Futures Fund (i14) 10.10 16.49 14.55 14.55 -20.09 -20.77 -5.91 351.97 S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 195.57 391.04 +/- S&P 500 6.39 4.81 -1.71 -1.71 -60.57 -102.66 -201.48 -39.07 Strategy Description SummaryThe 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 SummaryThe 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 StrategyAll 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 ManagementThe 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. 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 -39.31 59 - 3/1/2015 2/1/2020 -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 Show More 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 10.90 1 3/1/2020 3/1/2020 10.55 1 11/1/2005 11/1/2005 10.10 1 12/1/2020 12/1/2020 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 6.19 1 10/1/2020 10/1/2020 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 5.20 1 7/1/2020 7/1/2020 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 1.79 1 1/1/2020 1/1/2020 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 0.13 1 11/1/2019 11/1/2019 Show More 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 -7.51 1 2/1/2020 2/1/2020 -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 -5.56 2 8/1/2020 9/1/2020 -5.20 3 4/1/2020 6/1/2020 -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 -0.56 1 12/1/2019 12/1/2019 -0.53 1 8/1/2016 8/1/2016 -0.41 1 11/1/1999 11/1/1999 -0.36 1 11/1/2020 11/1/2020 -0.32 1 1/1/2001 1/1/2001 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods290.00288.00285.00279.00273.00267.00255.00243.00231.00 Percent Profitable53.7955.9057.8958.4263.7466.6771.7679.4287.45 Average Period Return0.661.903.647.3511.4115.3123.9434.1244.62 Average Gain4.558.2111.6619.1524.7929.8139.1347.5254.05 Average Loss-3.87-6.11-7.39-9.23-12.09-13.69-14.70-17.63-21.05 Best Period18.8532.1460.1477.8088.9491.9599.13110.76111.66 Worst Period-15.04-21.24-28.83-24.11-31.09-34.25-30.36-37.74-37.86 Standard Deviation5.369.4413.1519.5525.0127.8831.4535.0334.52 Gain Standard Deviation3.737.1710.9617.1321.3922.3422.9825.4625.23 Loss Standard Deviation2.824.705.966.037.328.388.649.0010.59 Sharpe Ratio (1%)0.110.170.240.320.400.480.660.861.14 Average Gain / Average Loss1.181.341.582.082.052.182.662.702.57 Profit / Loss Ratio1.371.702.172.923.604.356.7710.4117.88 Downside Deviation (10%)3.485.787.4810.0012.7714.7717.1218.5818.28 Downside Deviation (5%)3.295.246.407.659.2910.2610.4710.649.98 Downside Deviation (0%)3.255.116.157.108.509.259.048.968.32 Sortino Ratio (10%)0.070.120.160.230.300.340.480.680.93 Sortino Ratio (5%)0.180.310.490.831.071.302.002.833.96 Sortino Ratio (0%)0.200.370.591.041.341.652.653.815.36 Top Performer Badges Index Award Type Rank Performance Period Systematic Trader Index Month 4 6.19 10/2020 Diversified Trader Index Month 4 6.19 10/2020 IASG CTA Index Month 5 6.19 10/2020 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. x {{title}} x {{title}} Add Cancel