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Superfund Group : Superfund Green EUR SICAV

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Year-to-Date
4.57%
Jan Performance
4.57%
Min Investment
€ 5k
Mgmt. Fee
0.40%
Perf. Fee
20.00%
Annualized Vol
16.04%
Sharpe (RFR=1%)
0.40
CAROR
6.35%
Assets
€ 80.2M
Worst DD
-29.53
S&P Correlation
0.49
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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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
1/2017
Superfund Green EUR SICAV 4.57 9.03 4.57 21.91 20.83 - - 20.91
S&P 500 -0.16 6.19 -0.16 19.27 40.10 - - 40.10
+/- S&P 500 4.73 2.84 4.73 2.64 -19.27 - - -19.20

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:
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
-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
13.21 3 6/1/2019 8/1/2019
9.03 3 11/1/2019 1/1/2020
8.41 2 7/1/2017 8/1/2017
4.32 2 1/1/2017 2/1/2017
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
-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
-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 Year
Number of Periods37.0035.0032.0026.0020.0014.00
Percent Profitable64.8660.0062.5057.6930.0042.86
Average Period Return0.621.532.953.09-3.38-0.89
Average Gain3.136.7411.1115.368.314.95
Average Loss-4.01-6.29-10.65-13.63-8.39-5.28
Best Period11.2114.9325.9236.0415.317.73
Worst Period-11.91-16.86-21.18-27.15-18.16-11.18
Standard Deviation4.638.0112.5017.069.186.35
Gain Standard Deviation2.784.416.599.015.872.58
Loss Standard Deviation3.705.286.538.984.444.33
Sharpe Ratio (1%)0.120.160.200.12-0.53-0.46
Average Gain / Average Loss0.781.071.041.130.990.94
Profit / Loss Ratio1.441.611.741.540.420.70
Downside Deviation (10%)3.365.748.9113.3513.9512.71
Downside Deviation (5%)3.215.247.8311.039.026.30
Downside Deviation (0%)3.185.127.5610.477.885.03
Sortino Ratio (10%)0.060.050.05-0.14-0.79-0.88
Sortino Ratio (5%)0.170.240.310.19-0.54-0.46
Sortino Ratio (0%)0.200.300.390.30-0.43-0.18

Top Performer Badges

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