Transtrend B.V. : DTP – Enhanced Risk (EUR) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 2.41% Nov Performance 0.16% Min Investment € 10,000k Mgmt. Fee 1.00% Perf. Fee 20.00% Annualized Vol 12.06% Sharpe (RFR=1%) 0.57 CAROR 7.42% Assets € 298.0M Worst DD -16.86 S&P Correlation -0.03 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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since8/1999 DTP – Enhanced Risk (EUR) 0.16 -9.22 2.41 1.66 -2.96 1.54 19.78 328.99 S&P 500 3.40 7.33 25.29 13.79 41.40 50.37 183.72 135.42 +/- S&P 500 -3.24 -16.56 -22.88 -12.13 -44.35 -48.84 -163.94 193.57 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(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.Investment StrategyThe 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 ManagementAt 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. 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 -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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods244.00242.00239.00233.00227.00221.00209.00197.00185.00 Percent Profitable55.7460.7465.6971.6778.4181.9085.6588.8395.68 Average Period Return0.662.044.278.8614.0119.4330.4741.0753.01 Average Gain3.165.668.7514.3219.0324.6736.4446.6855.64 Average Loss-2.50-3.58-4.33-4.95-4.24-4.27-5.17-3.55-5.15 Best Period8.7717.6923.6440.6854.7575.0199.34103.38135.09 Worst Period-8.22-11.43-12.57-16.86-11.22-12.59-12.92-11.28-8.79 Standard Deviation3.485.878.0712.6116.7721.1628.4832.8838.36 Gain Standard Deviation2.284.305.9810.5515.4619.8426.3830.5537.11 Loss Standard Deviation1.712.712.953.622.992.653.522.922.88 Sharpe Ratio (1%)0.170.300.470.620.750.820.961.131.25 Average Gain / Average Loss1.271.582.022.894.495.787.0513.1610.79 Profit / Loss Ratio1.602.453.877.3216.3226.1642.09104.69238.83 Downside Deviation (10%)2.243.464.365.766.137.019.329.9310.29 Downside Deviation (5%)2.062.933.313.703.012.913.392.732.25 Downside Deviation (0%)2.012.813.063.252.402.132.361.521.21 Sortino Ratio (10%)0.110.230.410.671.051.311.581.972.47 Sortino Ratio (5%)0.280.611.142.124.155.998.0913.5721.26 Sortino Ratio (0%)0.330.731.392.725.849.1312.9327.0143.84 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. x {{title}} x {{title}} Add Cancel