Transtrend B.V. : DTP – Standard Risk (USD)

archived programs
Year-to-Date
N / A
Mar Performance
0.16%
Min Investment
$ 25,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
8.86%
Sharpe (RFR=1%)
0.88
CAROR
8.70%
Assets
$ 0k
Worst DD
-10.92
S&P Correlation
-0.09

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
6/1992
DTP – Standard Risk (USD) 0.16 - - - - - -4.27 518.06
S&P 500 0.69 - - - - - 66.22 748.80
+/- S&P 500 -0.53 - - - - - -70.50 -230.75

Strategy Description

Summary

Transtrend is an asset manager purely focused on systematic trading strategies. Transtrend's trading approach is based on quantitative analysis of price behaviour in a large variety of markets. The underlying trading strategies have no directional bias. Depending on the signals that... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 25,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
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 800 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 an asset manager purely focused on systematic trading strategies. Transtrend's trading approach is based on quantitative analysis of price behaviour in a large variety of markets. The underlying trading strategies have no directional bias. Depending on the signals that are generated by the trading strategies, they can go long or short in their attempt to benefit from medium term trends in outright markets as well as in combinations of markets. Risk management is at the heart of Transtrend's methodology. Distinctive data management and an advanced technical infrastructure are supportive key elements. The investment approach is consistent and applied with utmost discipline.

   

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
-10.92 11 13 2/1/2009 1/1/2010
-9.91 31 - 2/1/2011 9/1/2013
-7.09 5 3 8/1/1992 1/1/1993
-6.26 2 6 6/1/1994 8/1/1994
-6.05 6 3 2/1/2004 8/1/2004
-6.00 3 12 7/1/1999 10/1/1999
-5.83 1 2 9/1/1997 10/1/1997
-5.44 8 3 11/1/2005 7/1/2006
-4.77 4 5 5/1/2003 9/1/2003
-4.51 2 2 1/1/2007 3/1/2007
-3.80 1 2 1/1/1996 2/1/1996
-3.67 3 2 2/1/1997 5/1/1997
-3.47 3 2 7/1/1993 10/1/1993
-3.39 1 4 3/1/1998 4/1/1998
-3.37 1 2 2/1/2003 3/1/2003
-3.15 2 1 6/1/2007 8/1/2007
-3.07 1 2 12/1/2004 1/1/2005
-2.89 3 3 12/1/1998 3/1/1999
-2.87 2 1 6/1/2008 8/1/2008
-2.71 2 1 9/1/2002 11/1/2002
-2.30 4 2 6/1/1995 10/1/1995
-2.18 1 2 3/1/2005 4/1/2005
-1.97 2 1 4/1/1996 6/1/1996
-1.93 1 1 11/1/1996 12/1/1996
-1.84 1 1 10/1/2001 11/1/2001
-1.79 1 2 4/1/1993 5/1/1993
-1.40 1 3 10/1/2007 11/1/2007
-1.40 2 4 12/1/2001 2/1/2002
-1.13 1 3 3/1/2001 4/1/2001
-0.53 2 1 9/1/1998 11/1/1998
-0.24 1 1 7/1/2005 8/1/2005
-0.24 1 1 12/1/2008 1/1/2009
-0.22 1 1 3/1/1995 4/1/1995
-0.15 1 1 7/1/1997 8/1/1997
-0.15 1 1 9/1/2005 10/1/2005
-0.05 1 1 3/1/1994 4/1/1994
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Consecutive Gains

Run-up Length (Mos.) Start End
17.02 5 7/1/1996 11/1/1996
16.93 8 8/1/2000 3/1/2001
15.26 5 11/1/1993 3/1/1994
14.94 5 5/1/2002 9/1/2002
14.84 2 8/1/1998 9/1/1998
14.55 6 8/1/2006 1/1/2007
14.14 2 2/1/1995 3/1/1995
13.47 5 11/1/1997 3/1/1998
12.14 4 9/1/2008 12/1/2008
11.09 4 7/1/2001 10/1/2001
11.02 2 9/1/2007 10/1/2007
10.85 3 4/1/2007 6/1/2007
10.68 3 12/1/2002 2/1/2003
10.49 2 6/1/1997 7/1/1997
9.92 4 9/1/2004 12/1/2004
9.59 5 2/1/2008 6/1/2008
8.91 2 1/1/1997 2/1/1997
8.57 3 6/1/1992 8/1/1992
8.42 3 11/1/1995 1/1/1996
7.28 3 2/1/2010 4/1/2010
6.95 2 5/1/1995 6/1/1995
6.75 3 8/1/2010 10/1/2010
6.46 2 6/1/1993 7/1/1993
6.37 2 4/1/2003 5/1/2003
6.02 1 11/1/1994 11/1/1994
5.71 3 11/1/1999 1/1/2000
5.56 2 3/1/1996 4/1/1996
5.52 3 5/1/2005 7/1/2005
5.35 1 2/1/1993 2/1/1993
5.21 2 4/1/2012 5/1/2012
5.02 2 1/1/2004 2/1/2004
4.25 1 4/1/1993 4/1/1993
4.19 2 6/1/1999 7/1/1999
3.66 4 11/1/2011 2/1/2012
3.43 2 3/1/2013 4/1/2013
3.26 2 2/1/2005 3/1/2005
3.11 1 12/1/2001 12/1/2001
3.06 2 5/1/1998 6/1/1998
2.84 1 7/1/2012 7/1/2012
2.50 2 5/1/1994 6/1/1994
2.36 1 11/1/2005 11/1/2005
2.21 1 12/1/2010 12/1/2010
2.13 2 3/1/2006 4/1/2006
2.03 1 4/1/1999 4/1/1999
2.02 3 10/1/2013 12/1/2013
1.85 1 5/1/2000 5/1/2000
1.71 1 11/1/1992 11/1/1992
1.66 1 4/1/2011 4/1/2011
1.61 1 10/1/2003 10/1/2003
1.38 1 11/1/2009 11/1/2009
1.37 1 9/1/1994 9/1/1994
1.29 1 7/1/2011 7/1/2011
1.28 1 9/1/1997 9/1/1997
1.19 1 12/1/1998 12/1/1998
1.09 1 9/1/2005 9/1/2005
1.09 1 2/1/2011 2/1/2011
1.08 1 1/1/2006 1/1/2006
1.01 1 3/1/2002 3/1/2002
0.99 1 2/1/1999 2/1/1999
0.97 1 12/1/2007 12/1/2007
0.91 1 5/1/2001 5/1/2001
0.89 2 2/1/2014 3/1/2014
0.85 1 5/1/2009 5/1/2009
0.54 1 9/1/1995 9/1/1995
0.48 1 9/1/1999 9/1/1999
0.40 1 2/1/2009 2/1/2009
0.36 1 8/1/2009 8/1/2009
0.30 2 12/1/2012 1/1/2013
0.21 1 7/1/2013 7/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.26 2 7/1/1994 8/1/1994
-6.05 6 3/1/2004 8/1/2004
-6.05 2 12/1/1992 1/1/1993
-5.83 1 10/1/1997 10/1/1997
-5.76 2 12/1/2009 1/1/2010
-5.56 4 8/1/2012 11/1/2012
-5.12 3 8/1/2011 10/1/2011
-4.97 3 5/1/2006 7/1/2006
-4.86 1 10/1/1999 10/1/1999
-4.83 2 5/1/2011 6/1/2011
-4.77 4 6/1/2003 9/1/2003
-4.51 2 2/1/2007 3/1/2007
-4.30 2 12/1/1994 1/1/1995
-3.87 3 5/1/2010 7/1/2010
-3.80 1 2/1/1996 2/1/1996
-3.67 3 3/1/1997 5/1/1997
-3.54 2 5/1/2013 6/1/2013
-3.51 1 6/1/2012 6/1/2012
-3.47 3 8/1/1993 10/1/1993
-3.39 1 4/1/1998 4/1/1998
-3.37 1 3/1/2003 3/1/2003
-3.17 2 9/1/2009 10/1/2009
-3.15 2 7/1/2007 8/1/2007
-3.07 1 1/1/2005 1/1/2005
-2.87 2 7/1/2008 8/1/2008
-2.86 3 2/1/2000 4/1/2000
-2.77 2 9/1/1992 10/1/1992
-2.71 2 10/1/2002 11/1/2002
-2.50 2 3/1/2009 4/1/2009
-2.43 2 8/1/2013 9/1/2013
-2.43 2 6/1/2009 7/1/2009
-2.32 1 1/1/1999 1/1/1999
-2.21 1 7/1/1998 7/1/1998
-2.18 1 4/1/2005 4/1/2005
-1.99 1 12/1/2005 12/1/2005
-1.97 2 5/1/1996 6/1/1996
-1.93 2 6/1/2000 7/1/2000
-1.93 1 12/1/1996 12/1/1996
-1.84 1 11/1/2001 11/1/2001
-1.79 1 5/1/1999 5/1/1999
-1.79 1 5/1/1993 5/1/1993
-1.67 1 8/1/1999 8/1/1999
-1.65 1 2/1/2006 2/1/2006
-1.64 1 3/1/2011 3/1/2011
-1.60 1 1/1/2014 1/1/2014
-1.59 2 7/1/1995 8/1/1995
-1.56 1 3/1/1999 3/1/1999
-1.40 1 11/1/2007 11/1/2007
-1.40 2 1/1/2002 2/1/2002
-1.29 1 10/1/1994 10/1/1994
-1.26 1 10/1/1995 10/1/1995
-1.13 1 4/1/2001 4/1/2001
-0.91 1 4/1/2002 4/1/2002
-0.90 1 2/1/2013 2/1/2013
-0.66 1 11/1/2010 11/1/2010
-0.60 2 11/1/2003 12/1/2003
-0.59 1 3/1/2012 3/1/2012
-0.53 2 10/1/1998 11/1/1998
-0.50 1 1/1/2011 1/1/2011
-0.49 1 6/1/2001 6/1/2001
-0.48 1 3/1/1993 3/1/1993
-0.32 1 1/1/2008 1/1/2008
-0.24 1 1/1/2009 1/1/2009
-0.24 1 8/1/2005 8/1/2005
-0.22 1 4/1/1995 4/1/1995
-0.15 1 10/1/2005 10/1/2005
-0.15 1 8/1/1997 8/1/1997
-0.05 1 4/1/1994 4/1/1994
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods262.00260.00257.00251.00245.00239.00227.00215.00203.00
Percent Profitable57.2565.7772.7681.2784.9087.8791.1993.0296.55
Average Period Return0.732.174.399.2114.4320.0632.4746.2161.25
Average Gain2.414.417.0212.1717.5923.2436.0650.0263.68
Average Loss-1.52-2.14-2.64-3.64-3.36-2.92-4.71-4.66-6.68
Best Period12.7314.6720.3730.3839.1154.7880.57109.16131.67
Worst Period-5.83-6.00-8.54-10.56-8.07-7.65-8.90-7.50-9.05
Standard Deviation2.564.325.949.0012.0115.1220.9225.5029.63
Gain Standard Deviation1.963.524.637.1510.1313.2818.2322.1227.16
Loss Standard Deviation1.171.552.112.542.331.982.781.702.31
Sharpe Ratio (1%)0.250.440.650.911.081.191.411.651.90
Average Gain / Average Loss1.592.062.653.345.237.967.6610.759.53
Profit / Loss Ratio2.133.967.0914.4929.4257.6579.25143.27266.83
Downside Deviation (10%)1.472.192.934.064.785.267.077.968.08
Downside Deviation (5%)1.291.661.972.292.101.862.472.372.27
Downside Deviation (0%)1.251.541.761.911.581.221.611.301.30
Sortino Ratio (10%)0.220.430.651.041.431.872.363.104.16
Sortino Ratio (5%)0.501.151.973.596.169.7011.9017.8224.78
Sortino Ratio (0%)0.581.412.494.819.1216.4220.1335.4447.02

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.