Vikström & Andersson Asset Management AB : Density Program

archived programs
Year-to-Date
N / A
Feb Performance
-3.09%
Min Investment
$ 180k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
14.02%
Sharpe (RFR=1%)
0.62
CAROR
9.15%
Assets
$ 49.0M
Worst DD
-18.35
S&P Correlation
-0.23

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
1/2002
Density Program -3.09 - - - - - -10.99 165.73
S&P 500 1.11 - - - - - 80.04 186.34
+/- S&P 500 -4.20 - - - - - -91.03 -20.61

Strategy Description

Summary

Density Fund is a global managed future fund (CTA) trading in liquid markets all over the world. The fund was launched on 1 September 2008 with Skandinaviska Enskilda Banken as a reference and seed investor. The base currency is EUR and the minimum investment for new investors will... Read More

Account & Fees

Type Fund
Minimum Investment $ 180k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
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 QEP
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 2.00%
4-12 Months 19.00%
1-3 Months 77.00%
1-30 Days
Intraday 2.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Counter-trend
10.00%
Trend-following
90.00%
Strategy Pie Chart

Composition

Other
40.00%
Interest Rates
20.00%
Stock Indices
20.00%
Currency Futures
15.00%
Currency FX
5.00%
Composition Pie Chart

Summary

Density Fund is a global managed future fund (CTA) trading in liquid markets all over the world. The fund was launched on 1 September 2008 with Skandinaviska Enskilda Banken as a reference and seed investor. The base currency is EUR and the minimum investment for new investors will be EUR 125 000.Density Fund is based in Luxembourg and regulated by CSSF under the SIF law.

Investment Strategy

The managers use sophisticated statistical models to time trades as well as to decide on direction, position size and overall portfolio risk. These models are applied to a wide range of markets to achieve a high level of diversification. At the moment the program uses six different models to trade 58 different markets, covering four major asset classes; Stock indices (17%), fixed income (22%), foreign exchange (35%) and commodities (27%). The main investment objective for Density Fund is to give investors high risk adjusted returns and low systematic correlation with Stock- and Fixed Income markets.

   

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
-18.35 15 - 9/1/2011 12/1/2012
-15.43 12 12 2/1/2009 2/1/2010
-14.27 4 3 2/1/2011 6/1/2011
-13.96 4 4 3/1/2004 7/1/2004
-10.80 3 10 4/1/2006 7/1/2006
-9.23 2 2 6/1/2007 8/1/2007
-4.81 2 3 1/1/0001 2/1/2002
-4.75 3 4 6/1/2005 9/1/2005
-4.67 3 2 12/1/2004 3/1/2005
-4.42 1 5 2/1/2003 3/1/2003
-3.23 1 1 6/1/2008 7/1/2008
-2.69 1 2 9/1/2002 10/1/2002
-1.03 2 1 12/1/2003 2/1/2004
-0.47 1 1 11/1/2007 12/1/2007
-0.02 1 1 8/1/2003 9/1/2003
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Consecutive Gains

Run-up Length (Mos.) Start End
33.24 7 3/1/2002 9/1/2002
25.73 7 8/1/2008 2/1/2009
21.11 6 1/1/2008 6/1/2008
20.81 3 7/1/2011 9/1/2011
20.77 3 10/1/2004 12/1/2004
14.79 3 9/1/2007 11/1/2007
12.95 3 8/1/2010 10/1/2010
12.60 4 11/1/2002 2/1/2003
11.62 4 1/1/2006 4/1/2006
11.44 3 4/1/2007 6/1/2007
8.09 3 12/1/2010 2/1/2011
8.08 3 4/1/2005 6/1/2005
7.52 3 10/1/2003 12/1/2003
7.20 6 8/1/2006 1/1/2007
6.92 1 5/1/2012 5/1/2012
6.35 4 3/1/2010 6/1/2010
5.83 1 8/1/2003 8/1/2003
4.75 2 10/1/2005 11/1/2005
4.58 4 11/1/2011 2/1/2012
4.36 2 4/1/2003 5/1/2003
4.15 1 8/1/2004 8/1/2004
3.61 1 1/1/2013 1/1/2013
3.49 1 5/1/2009 5/1/2009
3.14 1 11/1/2009 11/1/2009
2.71 1 7/1/2012 7/1/2012
2.63 1 4/1/2011 4/1/2011
1.86 1 2/1/2005 2/1/2005
1.06 1 3/1/2004 3/1/2004
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Consecutive Losses

Run-up Length (Mos.) Start End
-13.96 4 4/1/2004 7/1/2004
-11.86 1 10/1/2011 10/1/2011
-10.80 3 5/1/2006 7/1/2006
-9.59 5 8/1/2012 12/1/2012
-9.23 2 7/1/2007 8/1/2007
-8.90 3 12/1/2009 2/1/2010
-8.85 1 3/1/2011 3/1/2011
-8.35 2 5/1/2011 6/1/2011
-6.97 1 6/1/2012 6/1/2012
-6.97 2 3/1/2009 4/1/2009
-6.51 5 6/1/2009 10/1/2009
-5.08 1 7/1/2010 7/1/2010
-4.81 2 1/1/2002 2/1/2002
-4.75 3 7/1/2005 9/1/2005
-4.42 1 3/1/2003 3/1/2003
-4.11 2 3/1/2012 4/1/2012
-3.61 1 1/1/2005 1/1/2005
-3.23 1 7/1/2008 7/1/2008
-3.09 1 2/1/2013 2/1/2013
-3.01 1 11/1/2010 11/1/2010
-2.91 1 3/1/2005 3/1/2005
-2.69 1 10/1/2002 10/1/2002
-1.95 2 2/1/2007 3/1/2007
-1.03 2 1/1/2004 2/1/2004
-0.51 1 12/1/2005 12/1/2005
-0.47 1 12/1/2007 12/1/2007
-0.41 2 6/1/2003 7/1/2003
-0.08 1 9/1/2004 9/1/2004
-0.02 1 9/1/2003 9/1/2003
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods134.00132.00129.00123.00117.00111.0099.0087.0075.00
Percent Profitable59.7062.8865.1273.1782.0587.3987.8894.25100.00
Average Period Return0.812.575.2110.4015.8521.2434.3350.2169.17
Average Gain3.246.7010.9516.3720.5725.1939.6154.0469.17
Average Loss-2.79-4.41-5.50-5.88-5.73-6.12-3.98-12.59
Best Period14.3723.0331.6546.1068.3568.3878.87104.88114.13
Worst Period-11.86-11.09-13.88-15.43-14.57-15.09-7.38-14.1715.68
Standard Deviation4.057.2210.0414.2217.9120.2523.1326.2821.32
Gain Standard Deviation2.945.567.3211.7016.2218.4919.4021.7921.32
Loss Standard Deviation2.473.213.474.024.014.931.751.39
Sharpe Ratio (1%)0.180.320.470.660.800.951.351.763.00
Average Gain / Average Loss1.161.521.992.783.594.129.964.29
Profit / Loss Ratio1.722.573.727.5916.4128.5172.2470.38
Downside Deviation (10%)2.563.955.146.056.106.497.658.561.51
Downside Deviation (5%)2.403.444.084.113.493.352.534.00
Downside Deviation (0%)2.363.313.833.672.942.751.503.03
Sortino Ratio (10%)0.160.340.530.891.361.692.433.3527.51
Sortino Ratio (5%)0.300.681.152.294.115.7412.3611.53
Sortino Ratio (0%)0.340.781.362.835.397.7222.8516.55

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.