Swiss-Systematic Asset Management : Swiss-Systematic Short Trends Ltd Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Since5/2005 Swiss-Systematic Short Trends Ltd -4.38 - - - - - - -9.96 S&P 500 1.78 - - - - - - 211.98 +/- S&P 500 -6.16 - - - - - - -221.95 Strategy Description SummarySwiss-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 SummarySwiss-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. 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 -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 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel