Swiss-Systematic Asset Management : Swiss-Systematic Short Trends Ltd

archived programsClosed to new investments
Year-to-Date
N / A
Dec Performance
-4.38%
Min Investment
$ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.75%
Sharpe (RFR=1%)
-0.28
CAROR
-2.22%
Assets
$ 7.8M
Worst DD
-20.60
S&P Correlation
-0.19

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 YTD 1yr 3yr 5yr 10yr Since
5/2005
Swiss-Systematic Short Trends Ltd -4.38 - - - - - - -9.96
S&P 500 1.78 - - - - - - 190.74
+/- S&P 500 -6.16 - - - - - - -200.70

Strategy Description

Summary

Swiss-Systematic Short Trends Program stopped in April 2010. -The Fund aims to achieve consistent long-term appreciation in the value of its portfolio in both falling and rising global financial markets by actively managing a diversified portfolio of futures, forward and spot contracts... Read More

Account & Fees

Type Fund
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors

Subscriptions

High Water Mark No
Subscription Frequency Anytime
Redemption Frequency Anytime
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 2 RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Composition

Summary

Swiss-Systematic Short Trends Program stopped in April 2010. -The Fund aims to achieve consistent long-term appreciation in the value of its portfolio in both falling and rising global financial markets by actively managing a diversified portfolio of futures, forward and spot contracts relating to developed foreign exchange, bond, equity and commodity markets on a global basis. The investment manager Swiss-Systematic Asset Management AG has developed a proprietary investment program based on which it will make its investment decisions. The program implements a trading approach entirely based on quantitative analysis of short term price behavior. The inputs to the program are 100% statistical and no fundamental analysis or price information is used.

   

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
-20.60 37 - 11/1/2006 12/1/2009
-4.81 5 2 10/1/2005 3/1/2006
-1.94 1 2 7/1/2006 8/1/2006
-1.68 1 2 6/1/2005 7/1/2005
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Consecutive Gains

Run-up Length (Mos.) Start End
14.91 4 4/1/2006 7/1/2006
8.37 3 5/1/2008 7/1/2008
8.23 3 5/1/2007 7/1/2007
4.66 1 10/1/2008 10/1/2008
4.37 3 9/1/2006 11/1/2006
3.58 2 4/1/2009 5/1/2009
3.10 1 1/1/2006 1/1/2006
2.76 2 1/1/2007 2/1/2007
2.30 2 12/1/2008 1/1/2009
2.28 2 10/1/2007 11/1/2007
2.10 3 8/1/2005 10/1/2005
0.89 2 5/1/2005 6/1/2005
0.89 1 1/1/2008 1/1/2008
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Consecutive Losses

Run-up Length (Mos.) Start End
-17.03 7 6/1/2009 12/1/2009
-8.35 2 3/1/2007 4/1/2007
-7.56 3 2/1/2008 4/1/2008
-6.58 2 8/1/2008 9/1/2008
-5.04 2 2/1/2009 3/1/2009
-4.01 2 2/1/2006 3/1/2006
-3.81 2 11/1/2005 12/1/2005
-2.83 1 12/1/2006 12/1/2006
-2.44 2 8/1/2007 9/1/2007
-2.14 1 11/1/2008 11/1/2008
-1.94 1 8/1/2006 8/1/2006
-1.68 1 7/1/2005 7/1/2005
-0.49 1 12/1/2007 12/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods56.0054.0051.0045.0039.0033.0021.00
Percent Profitable51.7948.1545.1053.3356.4160.6166.67
Average Period Return-0.15-0.210.101.321.962.023.08
Average Gain1.973.625.015.837.367.378.92
Average Loss-2.43-3.77-3.93-3.83-5.02-6.22-8.59
Best Period6.5313.0513.9717.0915.4614.7013.63
Worst Period-8.21-11.76-16.31-16.78-19.63-19.27-18.28
Standard Deviation2.815.086.116.777.918.379.60
Gain Standard Deviation1.533.764.725.115.144.593.00
Loss Standard Deviation1.953.213.684.314.715.707.03
Sharpe Ratio (1%)-0.08-0.09-0.070.050.060.000.01
Average Gain / Average Loss0.810.961.271.521.471.191.04
Profit / Loss Ratio0.870.891.051.741.901.822.08
Downside Deviation (10%)2.384.275.506.949.2711.5715.77
Downside Deviation (5%)2.193.684.244.385.266.217.69
Downside Deviation (0%)2.153.543.963.884.485.206.22
Sortino Ratio (10%)-0.23-0.34-0.43-0.53-0.61-0.71-0.80
Sortino Ratio (5%)-0.11-0.13-0.090.070.090.000.01
Sortino Ratio (0%)-0.07-0.060.030.340.440.390.50

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.