Transtrend B.V. : DTP – Enhanced Risk (EUR)

Year-to-Date: 2.38%
Dec Performance: -0.03%

Min Investment: € 10,000k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 12.03%
Sharpe (RFR=1%): 0.57
CAROR: 7.39%

Assets: € 300.0M
Worst DD: -16.86
S&P Correlation: -0.03

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Growth of 1,000 - VAMI

Monthly Performance

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	2019	1yr	3yr	5yr	10yr	Since 8/1999
DTP – Enhanced Risk (EUR)	-0.03	-4.56	2.38	2.38	-5.64	0.29	25.91	328.86
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	186.74	142.15
+/- S&P 500	-2.89	-13.09	-26.49	-26.49	-48.48	-55.03	-160.82	186.71

Strategy Description

Summary

(1) 25+ years track record providing attractive risk-adjusted returns with low correlation to major asset classes; (2) Systematic medium term trend following without any long equity/bond bias; (3) Disciplined, sustainable and proven investment process.... Read More

Account & Fees

Type: Managed Account
Minimum Investment: € 10,000k
Trading Level Incremental Increase: € 0k
CTA Max Funding Factor: 2.00
Management Fee: 1.00%
Performance Fee: 20.00%
Average Commission: $0
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: 2400 RT/YR/$M
Avg. Margin-to-Equity: 18%
Targeted Worst DD
Worst Peak-to-Trough: 0%
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

Trend-following: 100.00%

Composition

Summary

Investment Strategy

The Diversified Trend Program (DTP) is our managed futures program, with a track record going back to 1992. DTP is designed to participate in trends. As investors, we can only do so by taking positions in markets. While DTP’s trading systems are only fueled by prices set in the markets they trade, the program is geared towards capturing the underlying trends. We realize that most trends in markets are a reflection of trends and developments in our society. Each single development – such as a move towards the exploration of shale oil, or a move towards driving electric cars – is typically reflected by trends in a number of different markets. In our approach such a development represents just one trend. With DTP we strive to be positioned in different trends. This requires trading many different markets, including less-mainstream markets and ‘synthetic’ markets. These markets are selected and constructed as our vehicles to ride the underlying trends. A strong feature of DTP is its demonstrated ability to perform well during periods of market stress, especially those accompanied with declining stock markets. Our investors appreciate this – it makes DTP a welcome addition to their investment portfolios. But this feature does not come automatically with the program’s investment style. It is the aimed for result of many choices we deliberately make – choices that are at the very heart of our investment process. Also at the very heart of our approach is the acknowledgement that we have to continue developing and adjusting all components of DTP to stay in sync with the markets. New markets spring up, others wither. And the ongoing modernization of market platforms and the shifts in behavior of their participants is fundamentally changing market dynamics. Such developments cannot be neglected; we believe that no trading strategy can be used for more than a few years without adaptations. An evolving world requires an evolving approach: the 25+ years track record of DTP is the result of that.

Risk Management

At the heart of DTP lies a unique, layered risk management approach. Managing money starts by not losing too much. While that may be easy in normal market circumstances, it is the extreme events that really matter. DTP works with a maximum portfolio risk tolerance: (1) DTP aims to limit the expected aggregate impact of a major adverse price movement in any market ‒ taking into account the co-inciding adverse price moves in correlated markets; (2) DTP does not target a constant portfolio volatility; (3) Actual levels of portfolio risk vary with opportunity.

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Index: Chart Type:

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:

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
-16.86	12	-	1/1/2018	1/1/2019
-14.96	11	11	2/1/2009	1/1/2010
-13.24	29	12	4/1/2011	9/1/2013
-11.45	14	4	7/1/2016	9/1/2017
-11.43	3	8	3/1/2015	6/1/2015
-9.91	8	4	11/1/2005	7/1/2006
-9.71	3	13	1/1/0001	10/1/1999
-8.83	3	2	2/1/2016	5/1/2016
-7.75	2	2	1/1/2007	3/1/2007
-6.92	5	3	3/1/2004	8/1/2004
-6.24	4	6	5/1/2003	9/1/2003
-5.40	2	1	6/1/2007	8/1/2007
-5.23	1	2	2/1/2003	3/1/2003
-4.31	1	2	12/1/2004	1/1/2005
-4.16	2	1	9/1/2002	11/1/2002
-3.66	1	2	3/1/2005	4/1/2005
-3.22	2	1	6/1/2008	8/1/2008
-2.75	1	1	10/1/2001	11/1/2001
-2.39	1	3	10/1/2007	11/1/2007
-2.10	1	1	2/1/2011	3/1/2011
-1.96	1	1	9/1/2014	10/1/2014
-1.70	1	3	3/1/2001	4/1/2001
-1.37	2	1	12/1/2001	2/1/2002
-1.12	1	1	9/1/2005	10/1/2005
-1.07	1	1	3/1/2002	4/1/2002
-0.94	1	1	12/1/2010	1/1/2011
-0.92	1	1	1/1/2015	2/1/2015
-0.75	1	1	7/1/2005	8/1/2005
-0.34	1	1	12/1/2000	1/1/2001
-0.24	1	1	12/1/2008	1/1/2009

Consecutive Gains

Run-up	Length (Mos.)	Start	End
24.03	5	5/1/2002	9/1/2002
22.13	6	8/1/2006	1/1/2007
19.01	4	9/1/2008	12/1/2008
18.00	4	7/1/2001	10/1/2001
17.69	3	4/1/2007	6/1/2007
17.42	2	9/1/2007	10/1/2007
16.51	3	12/1/2002	2/1/2003
15.74	4	9/1/2004	12/1/2004
14.04	5	2/1/2008	6/1/2008
13.79	3	11/1/2014	1/1/2015
12.19	5	8/1/2000	12/1/2000
12.13	3	2/1/2019	4/1/2019
11.72	3	2/1/2010	4/1/2010
10.74	3	6/1/2019	8/1/2019
10.42	2	6/1/2016	7/1/2016
10.35	2	1/1/2016	2/1/2016
10.16	3	8/1/2010	10/1/2010
9.51	2	4/1/2003	5/1/2003
9.15	3	5/1/2005	7/1/2005
9.10	5	2/1/2014	6/1/2014
8.48	1	10/1/2017	10/1/2017
8.43	2	4/1/2012	5/1/2012
7.71	2	8/1/2014	9/1/2014
7.61	1	7/1/2015	7/1/2015
7.30	2	2/1/2001	3/1/2001
7.14	1	11/1/2015	11/1/2015
6.87	3	11/1/1999	1/1/2000
6.53	2	12/1/2017	1/1/2018
6.12	3	6/1/2018	8/1/2018
5.65	2	7/1/2017	8/1/2017
5.63	4	11/1/2011	2/1/2012
5.22	2	3/1/2013	4/1/2013
5.14	2	2/1/2005	3/1/2005
5.14	1	9/1/2015	9/1/2015
5.03	1	12/1/2001	12/1/2001
4.91	1	3/1/2004	3/1/2004
4.45	1	2/1/2017	2/1/2017
4.35	1	7/1/2012	7/1/2012
3.90	2	11/1/2016	12/1/2016
3.73	1	12/1/2010	12/1/2010
3.71	3	10/1/2013	12/1/2013
3.26	1	11/1/2005	11/1/2005
2.81	1	4/1/2011	4/1/2011
2.51	2	3/1/2006	4/1/2006
2.46	1	10/1/2003	10/1/2003
2.35	2	12/1/2003	1/1/2004
2.31	1	5/1/2000	5/1/2000
2.26	1	3/1/2015	3/1/2015
2.25	1	11/1/2009	11/1/2009
2.05	1	3/1/2002	3/1/2002
2.01	1	7/1/2011	7/1/2011
1.99	1	9/1/2005	9/1/2005
1.78	1	2/1/2011	2/1/2011
1.67	1	1/1/2006	1/1/2006
1.62	1	5/1/2001	5/1/2001
1.36	1	12/1/2007	12/1/2007
1.34	2	4/1/2009	5/1/2009
0.91	1	2/1/2009	2/1/2009
0.84	1	4/1/2018	4/1/2018
0.82	2	12/1/2012	1/1/2013
0.21	1	8/1/2009	8/1/2009
0.16	1	11/1/2019	11/1/2019
0.13	1	7/1/2013	7/1/2013
0.07	1	9/1/1999	9/1/1999
0.01	1	8/1/2003	8/1/2003

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-14.19	5	9/1/2018	1/1/2019
-11.43	3	4/1/2015	6/1/2015
-9.67	4	3/1/2017	6/1/2017
-9.37	2	9/1/2019	10/1/2019
-8.86	2	2/1/2018	3/1/2018
-8.83	3	3/1/2016	5/1/2016
-8.70	3	5/1/2006	7/1/2006
-8.68	2	12/1/2009	1/1/2010
-8.09	4	8/1/2012	11/1/2012
-7.75	2	2/1/2007	3/1/2007
-7.49	3	8/1/2011	10/1/2011
-7.00	2	5/1/2011	6/1/2011
-6.92	5	4/1/2004	8/1/2004
-6.78	3	8/1/2016	10/1/2016
-6.71	1	10/1/1999	10/1/1999
-6.26	1	8/1/2015	8/1/2015
-6.23	1	9/1/2017	9/1/2017
-5.40	3	5/1/2010	7/1/2010
-5.40	2	7/1/2007	8/1/2007
-5.28	1	6/1/2012	6/1/2012
-5.27	1	12/1/2015	12/1/2015
-5.23	1	3/1/2003	3/1/2003
-5.20	2	5/1/2013	6/1/2013
-4.47	1	5/1/2019	5/1/2019
-4.31	1	1/1/2005	1/1/2005
-4.24	2	6/1/2003	7/1/2003
-4.16	2	10/1/2002	11/1/2002
-4.10	2	9/1/2009	10/1/2009
-3.84	3	2/1/2000	4/1/2000
-3.66	1	4/1/2005	4/1/2005
-3.66	2	8/1/2013	9/1/2013
-3.41	1	3/1/2009	3/1/2009
-3.34	2	6/1/2000	7/1/2000
-3.28	1	8/1/1999	8/1/1999
-3.22	2	7/1/2008	8/1/2008
-3.18	2	6/1/2009	7/1/2009
-3.09	1	12/1/2005	12/1/2005
-2.83	1	1/1/2014	1/1/2014
-2.75	1	11/1/2001	11/1/2001
-2.63	1	10/1/2015	10/1/2015
-2.39	1	11/1/2007	11/1/2007
-2.30	1	2/1/2006	2/1/2006
-2.18	1	1/1/2017	1/1/2017
-2.10	1	3/1/2011	3/1/2011
-2.09	1	9/1/2003	9/1/2003
-2.01	1	2/1/2004	2/1/2004
-1.96	1	10/1/2014	10/1/2014
-1.70	1	4/1/2001	4/1/2001
-1.47	1	7/1/2014	7/1/2014
-1.37	2	1/1/2002	2/1/2002
-1.20	1	2/1/2013	2/1/2013
-1.12	1	10/1/2005	10/1/2005
-1.07	1	4/1/2002	4/1/2002
-0.94	1	1/1/2011	1/1/2011
-0.92	1	2/1/2015	2/1/2015
-0.87	1	3/1/2012	3/1/2012
-0.81	1	11/1/2010	11/1/2010
-0.75	1	8/1/2005	8/1/2005
-0.69	1	11/1/2003	11/1/2003
-0.66	1	5/1/2018	5/1/2018
-0.63	1	1/1/2008	1/1/2008
-0.61	1	6/1/2001	6/1/2001
-0.34	1	1/1/2001	1/1/2001
-0.24	1	1/1/2009	1/1/2009
-0.21	1	11/1/2017	11/1/2017
-0.03	1	12/1/2019	12/1/2019

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	245.00	243.00	240.00	234.00	228.00	222.00	210.00	198.00	186.00
Percent Profitable	55.51	60.49	65.42	71.79	78.07	81.53	85.24	88.89	95.70
Average Period Return	0.66	2.01	4.24	8.83	13.93	19.32	30.29	40.87	52.73
Average Gain	3.16	5.66	8.75	14.25	19.03	24.67	36.44	46.43	55.33
Average Loss	-2.47	-3.59	-4.29	-4.95	-4.23	-4.32	-5.18	-3.55	-5.15
Best Period	8.77	17.69	23.64	40.68	54.75	75.01	99.34	103.38	135.09
Worst Period	-8.22	-11.43	-12.57	-16.86	-11.22	-12.59	-12.92	-11.28	-8.79
Standard Deviation	3.47	5.88	8.06	12.59	16.77	21.19	28.52	32.92	38.45
Gain Standard Deviation	2.28	4.30	5.98	10.55	15.46	19.84	26.38	30.66	37.23
Loss Standard Deviation	1.72	2.70	2.95	3.62	2.96	2.63	3.47	2.92	2.88
Sharpe Ratio (1%)	0.16	0.30	0.46	0.62	0.74	0.82	0.96	1.12	1.24
Average Gain / Average Loss	1.28	1.58	2.04	2.88	4.50	5.71	7.03	13.09	10.73
Profit / Loss Ratio	1.60	2.42	3.86	7.33	16.03	25.22	40.61	104.71	238.84
Downside Deviation (10%)	2.24	3.47	4.36	5.75	6.17	7.08	9.41	10.01	10.46
Downside Deviation (5%)	2.05	2.94	3.30	3.69	3.02	2.96	3.44	2.73	2.28
Downside Deviation (0%)	2.01	2.82	3.06	3.25	2.41	2.17	2.38	1.52	1.21
Sortino Ratio (10%)	0.11	0.22	0.41	0.67	1.03	1.28	1.54	1.93	2.40
Sortino Ratio (5%)	0.28	0.60	1.13	2.12	4.11	5.85	7.93	13.50	20.93
Sortino Ratio (0%)	0.33	0.71	1.39	2.72	5.79	8.91	12.71	26.94	43.73

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	8	7.42	5/2007
Systematic Trader Index	Month	8	4.86	8/2006
Trend Following Strategy Index	Month	7	4.86	8/2006
Diversified Trader Index	Month	7	4.86	8/2006
Trend Following Strategy Index	Month	8	3.56	7/2005
Trend Following Strategy Index	Month	10	4.91	3/2004
IASG CTA Index	Sharpe	9	1.31	2001 - 2002
Trend Following Strategy Index	Month	8	5.03	12/2001
Systematic Trader Index	Month	8	5.03	12/2001
IASG CTA Index	Year Rolling	4	27.96	2000 - 2001
Diversified Trader Index	Month	6	5.03	12/2001
IASG CTA Index	Month	10	5.03	12/2001
Trend Following Strategy Index	Month	9	-2.75	11/2001
Trend Following Strategy Index	Month	4	4.78	7/2001
Diversified Trader Index	Month	5	4.78	7/2001
Systematic Trader Index	Month	6	4.78	7/2001
IASG CTA Index	Month	8	4.78	7/2001
Trend Following Strategy Index	Month	8	-1.70	4/2001
Trend Following Strategy Index	Month	5	0.91	9/2000
Diversified Trader Index	Month	8	0.91	9/2000
Systematic Trader Index	Month	10	0.91	9/2000

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

^#8

Top Performer

TREND FOLLOWING STRATEGY INDEX

MAY
2007

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More Programs by Transtrend B.V.

Program Name	CAROR
DTP – Enhanced Risk (USD)	10.71%
DTP – Enhanced Risk (EUR)	7.39%
DTP – Standard Risk (EUR)	4.44%

IASG Activity

Blends 80
Portfolios 30
Watchlists 64

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Transtrend B.V. : DTP – Enhanced Risk (EUR)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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