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

Year-to-Date
6.64%
Apr Performance
4.03%
Min Investment
€ 10,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
11.96%
Sharpe (RFR=1%)
0.61
CAROR
7.87%
Assets
€ 336.0M
Worst DD
-16.86
S&P Correlation
-0.05

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
8/1999
DTP – Enhanced Risk (EUR) 4.03 12.13 6.64 1.44 1.69 23.58 20.08 346.71
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 112.46
+/- S&P 500 0.10 3.19 -10.87 -9.81 -39.50 -31.21 -213.96 234.25

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%
Strategy Pie Chart

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 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.

   

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
-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
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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
10.42 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
0.13 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
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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
-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
-4.31 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
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods237.00235.00232.00226.00220.00214.00202.00190.00178.00
Percent Profitable55.7060.4365.0972.5780.0082.7187.6289.4795.51
Average Period Return0.692.064.239.1414.4919.9931.5742.4054.56
Average Gain3.185.698.8214.5419.1925.0736.8347.8357.37
Average Loss-2.43-3.47-4.33-5.15-4.30-4.29-5.70-3.71-5.15
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 Deviation3.455.858.0812.6916.7921.2528.3332.7138.26
Gain Standard Deviation2.274.335.9310.5115.4819.8826.2630.2436.82
Loss Standard Deviation1.692.632.973.633.112.733.572.952.88
Sharpe Ratio (1%)0.180.310.460.640.770.851.011.171.29
Average Gain / Average Loss1.311.642.042.824.465.846.4612.8911.13
Profit / Loss Ratio1.642.503.807.4717.8327.9545.75109.53236.52
Downside Deviation (10%)2.203.394.405.775.996.908.929.5410.02
Downside Deviation (5%)2.022.863.343.742.952.873.332.702.28
Downside Deviation (0%)1.972.733.103.292.372.112.351.521.23
Sortino Ratio (10%)0.130.250.400.721.151.411.772.192.69
Sortino Ratio (5%)0.300.631.112.184.406.278.5814.1921.67
Sortino Ratio (0%)0.350.751.372.786.129.4913.4227.8244.26

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.