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Superfund Group : Superfund Green EUR SICAV

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Year-to-Date
2.29%
Dec Performance
3.87%
Min Investment
€ 5k
Mgmt. Fee
0.40%
Perf. Fee
20.00%
Annualized Vol
15.11%
Sharpe (RFR=1%)
0.29
CAROR
4.28%
Assets
€ 85.2M
Worst DD
-29.53
S&P Correlation
0.34
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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 Since
1/2017
Superfund Green EUR SICAV 3.87 -0.05 2.29 2.29 -6.40 - - 18.27
S&P 500 3.71 11.69 16.26 16.26 40.48 - - 63.14
+/- S&P 500 0.16 -11.73 -13.97 -13.97 -46.88 - - -44.88

Strategy Description

Summary

SUPERFUND GREEN EUR SICAV seeks to achieve capital appreciation by investing in global futures and equities markets by utilizing a proprietary, fully-systematic trading system, which trades in about 150 futures markets, automatically sends buy and sell signals, and constantly monitors... Read More

Account & Fees

Type Fund
Minimum Investment € 5k
Trading Level Incremental Increase € 0k
CTA Max Funding Factor
Management Fee 0.40%
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 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
Systematic 100.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

SUPERFUND GREEN EUR SICAV seeks to achieve capital appreciation by investing in global futures and equities markets by utilizing a proprietary, fully-systematic trading system, which trades in about 150 futures markets, automatically sends buy and sell signals, and constantly monitors relevant risk factors on the traded futures and equities markets in the U.S.A., Europe, and Asia. The Fund's trading philosophy takes into account market diversification, technical analysis, trend following, and money management.

Investment Strategy

SUPERFUND GREEN EUR SICAV seeks to achieve capital appreciation by investing in global futures and equities markets by utilizing a proprietary, fully-systematic trading system, which trades in about 150 futures markets, automatically sends buy and sell signals, and constantly monitors relevant risk factors on the traded futures and equities markets in the U.S.A., Europe, and Asia. The Fund's trading philosophy takes into account market diversification, technical analysis, trend following, and money management.

   

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

Monthly Annual
Reward
Average RoR:
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Gain Frequency:
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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:
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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
-29.53 9 - 1/1/2018 10/1/2018
-3.14 1 1 5/1/2017 6/1/2017
-1.12 1 1 8/1/2017 9/1/2017
-0.57 1 2 2/1/2017 3/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
23.82 4 10/1/2017 1/1/2018
15.39 6 11/1/2018 4/1/2019
13.68 6 11/1/2019 4/1/2020
13.21 3 6/1/2019 8/1/2019
8.41 2 7/1/2017 8/1/2017
5.17 1 7/1/2020 7/1/2020
4.32 2 1/1/2017 2/1/2017
4.13 2 11/1/2020 12/1/2020
2.08 2 4/1/2017 5/1/2017
1.52 1 3/1/2018 3/1/2018
0.53 1 7/1/2018 7/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.86 3 8/1/2018 10/1/2018
-11.27 1 2/1/2018 2/1/2018
-10.68 3 8/1/2020 10/1/2020
-7.37 2 9/1/2019 10/1/2019
-6.40 3 4/1/2018 6/1/2018
-4.46 1 5/1/2019 5/1/2019
-4.09 2 5/1/2020 6/1/2020
-3.14 1 6/1/2017 6/1/2017
-1.12 1 9/1/2017 9/1/2017
-0.57 1 3/1/2017 3/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods48.0046.0043.0037.0031.0025.0013.00
Percent Profitable62.5058.7062.7970.2754.8468.0076.92
Average Period Return0.441.122.735.033.853.7311.35
Average Gain2.956.1310.0212.9213.937.9616.85
Average Loss-3.74-6.00-9.57-13.63-8.39-5.28-6.98
Best Period11.2114.9325.9236.0431.4222.6321.09
Worst Period-11.91-16.86-21.18-27.15-18.16-11.18-7.44
Standard Deviation4.367.5511.3814.9813.738.5311.00
Gain Standard Deviation2.634.236.278.539.936.423.97
Loss Standard Deviation3.355.076.118.984.444.330.53
Sharpe Ratio (1%)0.080.110.200.270.170.200.76
Average Gain / Average Loss0.791.021.050.951.661.512.41
Profit / Loss Ratio1.321.451.772.242.023.218.05
Downside Deviation (10%)3.235.628.1911.2411.2410.0511.17
Downside Deviation (5%)3.075.127.129.257.244.724.81
Downside Deviation (0%)3.034.996.868.786.333.763.36
Sortino Ratio (10%)0.01-0.020.030.00-0.33-0.65-0.39
Sortino Ratio (5%)0.120.170.310.440.320.361.73
Sortino Ratio (0%)0.150.220.400.570.610.993.38

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 7 4.57 1/2020
Trend Following Strategy Index Month 7 2.66 11/2019
Trend Following Strategy Index Month 8 4.55 4/2019

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

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