SMN Investment Services GmbH : Structural Alpha Trend

Year-to-Date
9.74%
Oct Performance
6.30%
Min Investment
$ 5,000k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
9.00%
Sharpe (RFR=1%)
-0.20
CAROR
-1.23%
Assets
$ 249.3M
Worst DD
-15.94
S&P Correlation
-0.17

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
6/2016
Structural Alpha Trend 6.30 5.47 9.74 12.65 2.69 - - -5.31
S&P 500 -2.77 -0.04 1.21 7.65 26.97 - - 70.80
+/- S&P 500 9.07 5.51 8.53 5.00 -24.28 - - -76.11

Strategy Description

Investment Strategy

SMN STRUCTURAL ALPHA TREND is a systematic Managed Futures strategy focusing on alternative markets usually not covered by most CTAs. The markets traded usually exhibit low correlation to traditional markets traded by Managed Futures funds so typically the correlation of... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 5,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 1.50%
Performance Fee 15.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 1200 RT/YR/$M
Avg. Margin-to-Equity 15%
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

Investment Strategy

SMN STRUCTURAL ALPHA TREND is a systematic Managed Futures strategy focusing on alternative markets usually not covered by most CTAs. The markets traded usually exhibit low correlation to traditional markets traded by Managed Futures funds so typically the correlation of the strategy to a traditional CTA portfolio is low. The strategy is designed as an add-on to every CTA portfolio to increase diversification and improving the risk/return ratio. The strategy is almost exclusively allocated to commodity markets. 40% of the instruments traded are on behalf of synthetic markets (mostly calendar spreads).

   

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
-15.94 -1 - 1/1/0001 11/1/2019
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
8.33 1 3/1/2020 3/1/2020
6.30 1 10/1/2020 10/1/2020
5.91 2 12/1/2019 1/1/2020
4.59 3 7/1/2018 9/1/2018
3.94 2 4/1/2018 5/1/2018
3.27 1 7/1/2020 7/1/2020
2.96 2 12/1/2016 1/1/2017
2.94 3 8/1/2017 10/1/2017
2.49 1 6/1/2017 6/1/2017
2.44 2 11/1/2018 12/1/2018
2.24 2 8/1/2016 9/1/2016
0.91 2 1/1/2018 2/1/2018
0.58 1 4/1/2017 4/1/2017
0.46 1 4/1/2019 4/1/2019
0.18 1 8/1/2019 8/1/2019
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-8.49 3 4/1/2020 6/1/2020
-8.02 3 9/1/2019 11/1/2019
-6.87 2 2/1/2017 3/1/2017
-4.88 2 6/1/2016 7/1/2016
-3.83 1 10/1/2018 10/1/2018
-2.93 3 5/1/2019 7/1/2019
-2.89 1 7/1/2017 7/1/2017
-2.74 1 3/1/2018 3/1/2018
-2.34 3 1/1/2019 3/1/2019
-1.85 2 10/1/2016 11/1/2016
-1.42 2 11/1/2017 12/1/2017
-1.40 1 5/1/2017 5/1/2017
-1.26 1 2/1/2020 2/1/2020
-1.02 2 8/1/2020 9/1/2020
-0.61 1 6/1/2018 6/1/2018
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods53.0051.0048.0042.0036.0030.0018.00
Percent Profitable47.1750.9847.9238.1033.3340.0022.22
Average Period Return-0.07-0.29-0.70-1.63-2.23-2.08-4.45
Average Gain1.892.593.163.582.761.682.37
Average Loss-1.82-3.29-4.25-4.83-4.72-4.58-6.40
Best Period8.3310.3711.1411.916.235.824.04
Worst Period-6.05-8.49-9.96-12.14-10.13-9.02-11.95
Standard Deviation2.603.854.815.254.293.865.26
Gain Standard Deviation2.012.383.312.961.931.721.14
Loss Standard Deviation1.632.582.813.462.592.634.18
Sharpe Ratio (1%)-0.06-0.14-0.25-0.50-0.87-1.06-1.42
Average Gain / Average Loss1.040.790.740.740.580.370.37
Profit / Loss Ratio0.930.820.690.460.290.240.11
Downside Deviation (10%)2.003.645.288.3410.6912.9020.85
Downside Deviation (5%)1.813.053.965.315.495.539.06
Downside Deviation (0%)1.762.913.654.654.384.066.67
Sortino Ratio (10%)-0.24-0.42-0.60-0.79-0.92-0.96-0.97
Sortino Ratio (5%)-0.08-0.18-0.30-0.49-0.68-0.74-0.83
Sortino Ratio (0%)-0.04-0.10-0.19-0.35-0.51-0.51-0.67

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.