Transtrend B.V. : DTP - Standard Risk (JPY)

archived programs
Year-to-Date
N / A
Jun Performance
-1.20%
Min Investment
$ 25,000k
Mgmt. Fee
3.00%
Perf. Fee
25.00%
Annualized Vol
9.64%
Sharpe (RFR=1%)
-0.33
CAROR
-2.60%
Assets
$ 6.0M
Worst DD
-15.47
S&P Correlation
0.21

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
3/2009
DTP - Standard Risk (JPY) -1.20 - - - - - -0.63 -10.78
S&P 500 -1.50 - - - - - 64.80 334.17
+/- S&P 500 0.30 - - - - - -65.43 -344.96

Strategy Description

Summary

TRANSTREND is a professional asset manager specializing in well-researched trading strategies. The strategies participate in a large variety of futures and forward markets, including stock indices, interest rates, currencies and tangible commodities. The underlying trading strategies... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 3.00%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency
Redemption Frequency
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1000 RT/YR/$M
Avg. Margin-to-Equity 10%
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

TRANSTREND is a professional asset manager specializing in well-researched trading strategies. The strategies participate in a large variety of futures and forward markets, including stock indices, interest rates, currencies and tangible commodities. The underlying trading strategies are based on in-depth analysis of price behavior by a team of academics since 1987.

TRANSTREND's analytical approach attempts to benefit from categorized price patterns in global futures and forwards markets. With its Diversified Trend Program (DTP) TRANSTREND offers a long/short/neutral approach.

Highly diversified portfolios under the DTP allocate to more than 280 markets. The approach is extremely consistent and disciplined and has demonstrated to be effective since its implementation started in 1991. TRANSTREND currently has approximately USD 2.9 billion (ca. EUR 2.2 billion) under management, including notional funds.

   

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
-15.47 -1 - 1/1/0001 1/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
10.41 3 2/1/2010 4/1/2010
8.53 3 8/1/2010 10/1/2010
7.32 2 4/1/2012 5/1/2012
5.00 2 3/1/2013 4/1/2013
4.86 4 11/1/2011 2/1/2012
3.99 1 7/1/2012 7/1/2012
3.68 1 12/1/2010 12/1/2010
2.45 1 4/1/2011 4/1/2011
2.01 1 11/1/2009 11/1/2009
1.72 1 2/1/2011 2/1/2011
1.44 1 7/1/2011 7/1/2011
1.06 2 12/1/2012 1/1/2013
0.95 2 4/1/2009 5/1/2009
0.34 1 8/1/2009 8/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.14 3 8/1/2011 10/1/2011
-8.10 2 12/1/2009 1/1/2010
-6.86 4 8/1/2012 11/1/2012
-6.69 2 5/1/2011 6/1/2011
-5.32 3 5/1/2010 7/1/2010
-5.27 2 5/1/2013 6/1/2013
-4.75 1 6/1/2012 6/1/2012
-4.29 1 3/1/2009 3/1/2009
-3.78 2 9/1/2009 10/1/2009
-3.35 2 6/1/2009 7/1/2009
-1.63 1 3/1/2011 3/1/2011
-1.16 1 11/1/2010 11/1/2010
-0.91 1 3/1/2012 3/1/2012
-0.82 1 1/1/2011 1/1/2011
-0.69 1 2/1/2013 2/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods52.0050.0047.0041.0035.0029.0017.00
Percent Profitable48.0850.0048.9451.2248.5734.4852.94
Average Period Return-0.18-0.28-0.54-0.33-0.06-1.31-0.42
Average Gain2.123.434.665.184.504.742.28
Average Loss-2.32-4.00-5.53-6.11-4.36-4.49-3.47
Best Period7.4710.4110.4616.1811.888.606.85
Worst Period-4.75-8.14-13.05-14.66-10.55-9.53-8.90
Standard Deviation2.784.416.056.955.465.163.90
Gain Standard Deviation1.782.643.244.483.382.802.30
Loss Standard Deviation1.562.003.193.462.922.562.94
Sharpe Ratio (1%)-0.09-0.12-0.17-0.19-0.29-0.64-0.89
Average Gain / Average Loss0.920.860.840.851.031.060.66
Profit / Loss Ratio0.850.860.810.890.970.560.74
Downside Deviation (10%)2.253.966.168.279.3112.6216.62
Downside Deviation (5%)2.053.314.855.494.685.645.01
Downside Deviation (0%)2.003.154.544.873.734.153.04
Sortino Ratio (10%)-0.26-0.38-0.49-0.64-0.82-0.92-0.97
Sortino Ratio (5%)-0.13-0.16-0.21-0.24-0.33-0.59-0.69
Sortino Ratio (0%)-0.09-0.09-0.12-0.07-0.02-0.31-0.14

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.