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SMN Investment Services GmbH - SMN Diversified Futures Fund (i14)
SMN Investment Services GmbH
SMN Diversified Futures Fund (i14)
Overview
Charts
Stats & Ratios
Show All
Investment Strategy
smn Diversified Futures Fund is a fully systematic long-term Managed Futures Fund (CTA) capitalizing on market divergences in a broad range of global futures markets. The systems investment and risk management decisions are based on market directionality, inter market relationships, volatilities, long and short term market/position correlations and the overall risk regime. The funds main differences to a standard long term trend following approach are: - Focus on maximum level of diversification. Meaningful exposure to smaller markets, commodities and synthetic markets - Active reduction of portfolio risk concentrations through the use of short term correlation data - Dynamic Risk budgeting based on the overall market risk regime
Performance (VAMI)
Monthly Returns
Fund Manager
 Gernot Heitzinger joined the Investment/asset management industry Ãn 1990. He holds a university degree from Wirtschaftsuniversität Wien. Before joining SMN in 2004 he worked as an equity fund Manager and as CIO of an Austrian Pension fund.
General Information
Inception Date
Nov 1996
Minimum Investment
250,000 EUR
Management Fee
1.75%
Performance Fee
10.00%
Highwater Mark
Yes
Phone
+43 1 513 25 51
E-mail
[email protected]
Website
www.smn.at
Statistics
Total Return Cumulative
733.86%
Sharpe Ratio
0.52
Sortino Ratio
0.72
Winning Months (%)
54.24%
Correlation vs. S&P 500 TR
-0.06
Monthly Performance
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
1.73
3.89
3.25
-3.41
5.40
2023
-0.94
-0.08
-1.62
9.51
4.17
3.58
-0.19
-0.51
0.27
-2.51
0.11
-1.79
9.81
2022
-2.43
0.44
11.58
6.30
-2.55
4.77
-3.08
5.50
1.47
1.80
-7.08
-2.81
13.20
2021
-0.32
4.86
-0.17
8.64
3.85
0.41
7.91
4.23
0.55
9.13
-3.24
-0.25
40.81
2020
1.79
-7.51
10.90
-1.13
-1.07
-3.08
5.20
-2.15
-3.49
6.19
-0.36
10.10
14.55
2019
-3.70
1.25
2.60
2.08
-7.26
4.33
3.91
0.77
-13.82
-6.38
0.13
-0.56
-16.89
2018
6.50
-12.63
-1.51
0.89
-4.12
0.24
1.77
5.38
-1.67
-7.90
-1.88
-0.89
-16.07
2017
-1.42
3.68
-3.00
1.49
0.71
-3.05
1.64
1.98
-4.24
9.56
0.23
1.22
8.39
2016
0.15
4.43
-6.01
-3.28
-1.06
3.86
0.93
-0.53
1.24
-6.24
-0.74
-1.01
-8.52
2015
8.94
-1.51
2.38
-5.09
-0.02
-6.84
5.57
-4.61
2.78
-2.01
6.31
-2.22
2.38
2014
-2.72
2.14
-2.02
5.40
-0.77
4.03
1.20
5.21
12.82
2.57
12.44
7.38
57.57
2013
12.75
-5.35
-1.04
1.41
-3.57
-5.38
-4.16
-2.18
-3.85
3.57
5.57
-0.17
-3.85
2012
2.26
1.58
0.29
-0.16
-9.11
-4.94
5.97
-1.88
-5.12
-7.70
2.05
-2.18
-18.31
2011
-1.93
3.30
-5.71
5.69
-7.46
-6.63
7.13
7.98
1.64
-8.74
1.53
-1.37
-6.27
2010
-2.68
-1.08
10.63
1.17
-6.94
1.39
-6.08
5.32
3.29
8.74
-7.45
12.99
18.11
2009
-2.60
2.66
-6.01
-6.49
-6.51
-3.49
0.32
5.83
2.75
-4.35
7.08
-2.88
-13.96
2008
5.56
13.26
-3.18
-5.87
5.31
9.34
-6.12
-1.64
1.89
18.85
7.59
3.34
55.98
2007
1.22
-7.34
-4.62
6.89
6.93
4.66
-6.28
-1.75
5.97
8.84
0.15
1.41
15.43
2006
1.37
-3.30
5.48
6.96
-6.18
-1.91
-2.96
-2.22
-0.45
5.41
2.99
3.89
8.43
2005
-5.14
-2.22
-1.58
-4.99
1.43
3.47
-2.11
2.00
0.51
-0.58
10.55
-1.92
-1.52
2004
1.93
8.36
-6.53
-15.04
-0.82
-4.55
-1.35
-4.03
5.32
2.44
7.63
0.25
-8.49
2003
12.72
8.98
-6.68
2.49
9.33
-7.78
2.42
-4.12
1.68
6.38
-1.32
7.40
33.36
2002
-5.47
-2.68
-3.99
0.25
2.18
7.62
11.54
6.49
6.35
-3.70
-3.97
3.46
17.68
2001
-0.32
2.96
12.49
-12.56
0.69
-5.13
-3.03
0.31
18.69
3.57
-6.99
1.96
9.35
2000
-2.66
1.06
-2.96
1.67
2.60
-1.42
-1.30
5.88
-3.93
-2.17
3.28
9.85
9.38
1999
-3.98
3.54
-4.69
6.49
-7.12
0.40
-2.80
1.75
-1.68
0.31
-0.41
8.22
-1.08
1998
2.55
3.41
0.62
-2.60
3.65
1.84
0.84
5.26
7.10
-5.58
-2.51
2.87
18.09
1997
3.40
3.74
-3.87
-2.04
-0.83
4.26
8.17
-6.76
0.96
-1.57
1.81
6.75
13.77
1996
6.51
1.11
7.69
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
No data filled
Monthly Returns
Performance (VAMI)
Distribution of Monthly Returns
12 Month Rolling ROR
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
AUM
Volatility (12 Months Rolling)
Risk/Return Comparison
Drawdown
Instruments
Data not available
No data filled
Return Statistics
Last Month
-3.41%
Year To Date
5.40%
3 Month ROR
3.61%
12 Months ROR
8.54%
36 Month ROR
62.75%
Total Return Cumulative
733.86%
Total Return Annualized
8.02%
Best Month
18.85%
Winning Months (%)
54.24%
Gain Deviation
3.67
Risk Statistics
Standard Deviation Annualized
18.11%
Max Drawdown (Monthly)
-39.31%
Max Drawdown Length
79
Worst Month
-15.04%
Losing Months (%)
45.76%
Average Losing Month
-3.65%
Loss Deviation
2.78
Correlation vs S&P 500
-0.06
Correlation vs DJ/CS MF
0.79
Risk/Reward Statistics
Sharpe Ratio
0.52
Sortino Ratio
0.72
Omega Ratio
0.97
Skewness
0.29
Kurtosis
0.49
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-39.31%
-
59
-
20
-
04/2015
-
10/2021
-
2
-34.25%
-
24
-
14
-
10/2011
-
11/2014
-
3
-28.83%
-
6
-
38
-
03/2004
-
10/2007
-
4
-20.71%
-
6
-
18
-
01/2009
-
12/2010
-
5
-19.00%
-
4
-
12
-
04/2001
-
07/2002
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
18.85%
-15.04%
0.78%
0.40%
-3.41%
54.24%
3 Months
32.14%
-21.24%
2.34%
1.84%
3.61%
57.62%
6 Months
60.14%
-28.83%
4.60%
3.18%
3.63%
60.92%
1 Year
77.80%
-24.11%
9.52%
5.57%
8.54%
63.64%
2 Years
101.98%
-34.25%
19.39%
15.09%
12.72%
70.36%
3 Years
112.74%
-30.35%
28.44%
27.62%
62.75%
74.24%
5 Years
111.66%
-37.86%
43.19%
47.13%
72.00%
87.08%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
8.02%
25.75%
56.59%
146.87%
479.91%
1192.49%
% Positive
54.24%
57.62%
60.92%
63.64%
70.36%
74.24%
Avg. Pos. Period
4.52%
8.43%
12.21%
20.23%
33.21%
43.36%
Avg. Neg. Period
-3.65%
-5.93%
-7.26%
-9.23%
-13.41%
-14.54%
Sharpe Ratio
0.52
0.87
1.21
1.65
2.25
2.88
Sortino Ratio
0.72
1.37
2.27
4.08
6.33
9.61
Standard Deviation
5.23%
9.30%
13.13%
19.97%
29.79%
34.27%
Downside Deviation
3.10%
4.88%
5.82%
6.64%
8.63%
8.57%
No data filled
Company Information
Minimum Investment
250,000 EUR
AUM
139,192,542 EUR
Management Fee
1.75%
Performance Fee
10.00%
Highwater Mark
Yes
RT per Million
1200
Margin to Equity
20.00%
Legal Structure
SICAV
Investment Restriction
None
Company Information
Company
SMN Investment Services GmbH
Principal
Mr. Gernot Heitzinger
Phone
+43 1 513 25 51
E-mail
[email protected]
License Number
Austrian Financial Market Authority AF25 7050
Location
Vienna, Austria
Performance Compiled by
-
Monthly Performance
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
Year
2024
1.73
3.89
3.25
-3.41
5.40
2023
-0.94
-0.08
-1.62
9.51
4.17
3.58
-0.19
-0.51
0.27
-2.51
0.11
-1.79
9.81
2022
-2.43
0.44
11.58
6.30
-2.55
4.77
-3.08
5.50
1.47
1.80
-7.08
-2.81
13.20
2021
-0.32
4.86
-0.17
8.64
3.85
0.41
7.91
4.23
0.55
9.13
-3.24
-0.25
40.81
2020
1.79
-7.51
10.90
-1.13
-1.07
-3.08
5.20
-2.15
-3.49
6.19
-0.36
10.10
14.55
2019
-3.70
1.25
2.60
2.08
-7.26
4.33
3.91
0.77
-13.82
-6.38
0.13
-0.56
-16.89
2018
6.50
-12.63
-1.51
0.89
-4.12
0.24
1.77
5.38
-1.67
-7.90
-1.88
-0.89
-16.07
2017
-1.42
3.68
-3.00
1.49
0.71
-3.05
1.64
1.98
-4.24
9.56
0.23
1.22
8.39
2016
0.15
4.43
-6.01
-3.28
-1.06
3.86
0.93
-0.53
1.24
-6.24
-0.74
-1.01
-8.52
2015
8.94
-1.51
2.38
-5.09
-0.02
-6.84
5.57
-4.61
2.78
-2.01
6.31
-2.22
2.38
2014
-2.72
2.14
-2.02
5.40
-0.77
4.03
1.20
5.21
12.82
2.57
12.44
7.38
57.57
2013
12.75
-5.35
-1.04
1.41
-3.57
-5.38
-4.16
-2.18
-3.85
3.57
5.57
-0.17
-3.85
2012
2.26
1.58
0.29
-0.16
-9.11
-4.94
5.97
-1.88
-5.12
-7.70
2.05
-2.18
-18.31
2011
-1.93
3.30
-5.71
5.69
-7.46
-6.63
7.13
7.98
1.64
-8.74
1.53
-1.37
-6.27
2010
-2.68
-1.08
10.63
1.17
-6.94
1.39
-6.08
5.32
3.29
8.74
-7.45
12.99
18.11
2009
-2.60
2.66
-6.01
-6.49
-6.51
-3.49
0.32
5.83
2.75
-4.35
7.08
-2.88
-13.96
2008
5.56
13.26
-3.18
-5.87
5.31
9.34
-6.12
-1.64
1.89
18.85
7.59
3.34
55.98
2007
1.22
-7.34
-4.62
6.89
6.93
4.66
-6.28
-1.75
5.97
8.84
0.15
1.41
15.43
2006
1.37
-3.30
5.48
6.96
-6.18
-1.91
-2.96
-2.22
-0.45
5.41
2.99
3.89
8.43
2005
-5.14
-2.22
-1.58
-4.99
1.43
3.47
-2.11
2.00
0.51
-0.58
10.55
-1.92
-1.52
2004
1.93
8.36
-6.53
-15.04
-0.82
-4.55
-1.35
-4.03
5.32
2.44
7.63
0.25
-8.49
2003
12.72
8.98
-6.68
2.49
9.33
-7.78
2.42
-4.12
1.68
6.38
-1.32
7.40
33.36
2002
-5.47
-2.68
-3.99
0.25
2.18
7.62
11.54
6.49
6.35
-3.70
-3.97
3.46
17.68
2001
-0.32
2.96
12.49
-12.56
0.69
-5.13
-3.03
0.31
18.69
3.57
-6.99
1.96
9.35
2000
-2.66
1.06
-2.96
1.67
2.60
-1.42
-1.30
5.88
-3.93
-2.17
3.28
9.85
9.38
1999
-3.98
3.54
-4.69
6.49
-7.12
0.40
-2.80
1.75
-1.68
0.31
-0.41
8.22
-1.08
1998
2.55
3.41
0.62
-2.60
3.65
1.84
0.84
5.26
7.10
-5.58
-2.51
2.87
18.09
1997
3.40
3.74
-3.87
-2.04
-0.83
4.26
8.17
-6.76
0.96
-1.57
1.81
6.75
13.77
1996
6.51
1.11
7.69
There is a substantial risk of loss in trading commodity futures, equities, options and off-exchange foreign currency products. Past performance is not indicative of future results.
Strategy Description
smn Diversified Futures Fund is a fully systematic long-term Managed Futures Fund (CTA) capitalizing on market divergences in a broad range of global futures markets. The systems investment and risk management decisions are based on market directionality, inter market relationships, volatilities, long and short term market/position correlations and the overall risk regime. The funds main differences to a standard long term trend following approach are: - Focus on maximum level of diversification. Meaningful exposure to smaller markets, commodities and synthetic markets - Active reduction of portfolio risk concentrations through the use of short term correlation data - Dynamic Risk budgeting based on the overall market risk regime
Return Statistics
Last Month
-3.41%
Year To Date
5.40%
3 Month ROR
3.61%
12 Months ROR
8.54%
36 Month ROR
62.75%
Total Return Cumulative
733.86%
Total Return Annualized
8.02%
Best Month
18.85%
Winning Months (%)
54.24%
Gain Deviation
3.67
Risk Statistics
Standard Deviation Annualized
18.11%
Max Drawdown (Monthly)
-39.31%
Max Drawdown Length
79
Worst Month
-15.04%
Losing Months (%)
45.76%
Average Losing Month
-3.65%
Loss Deviation
2.78
Correlation vs S&P 500
-0.06
Correlation vs DJ/CS MF
0.79
Risk/Reward Statistics
Sharpe Ratio
0.52
Sortino Ratio
0.72
Omega Ratio
0.97
Skewness
0.29
Kurtosis
0.49
Performance (VAMI)
Fund Manager
 Gernot Heitzinger joined the Investment/asset management industry Ãn 1990. He holds a university degree from Wirtschaftsuniversität Wien. Before joining SMN in 2004 he worked as an equity fund Manager and as CIO of an Austrian Pension fund.
Distribution of Monthly Returns
12 Month Rolling ROR
Drawdown Report
No.
Depth (%)
Length (Months)
Recovery (Months)
Start date
End date
Fund
Index
Fund
Index
Fund
Index
Fund
Index
Fund
Index
1
-39.31%
-
59
-
20
-
04/2015
-
10/2021
-
2
-34.25%
-
24
-
14
-
10/2011
-
11/2014
-
3
-28.83%
-
6
-
38
-
03/2004
-
10/2007
-
4
-20.71%
-
6
-
18
-
01/2009
-
12/2010
-
5
-19.00%
-
4
-
12
-
04/2001
-
07/2002
-
Return Report
Period
Best
Worst
Average
Median
Last
Winning %
1 Month
18.85%
-15.04%
0.78%
0.40%
-3.41%
54.24%
3 Months
32.14%
-21.24%
2.34%
1.84%
3.61%
57.62%
6 Months
60.14%
-28.83%
4.60%
3.18%
3.63%
60.92%
1 Year
77.80%
-24.11%
9.52%
5.57%
8.54%
63.64%
2 Years
101.98%
-34.25%
19.39%
15.09%
12.72%
70.36%
3 Years
112.74%
-30.35%
28.44%
27.62%
62.75%
74.24%
5 Years
111.66%
-37.86%
43.19%
47.13%
72.00%
87.08%
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Annual Compounded Avg
8.02%
25.75%
56.59%
146.87%
479.91%
1192.49%
% Positive
54.24%
57.62%
60.92%
63.64%
70.36%
74.24%
Avg. Pos. Period
4.52%
8.43%
12.21%
20.23%
33.21%
43.36%
Avg. Neg. Period
-3.65%
-5.93%
-7.26%
-9.23%
-13.41%
-14.54%
Sharpe Ratio
0.52
0.87
1.21
1.65
2.25
2.88
Sortino Ratio
0.72
1.37
2.27
4.08
6.33
9.61
Standard Deviation
5.23%
9.30%
13.13%
19.97%
29.79%
34.27%
Downside Deviation
3.10%
4.88%
5.82%
6.64%
8.63%
8.57%
Up Capture vs. S&P 500 TR
Down Capture vs. S&P 500 TR
Drawdown
Volatility (12 Months Rolling)
Instruments
Data not available
AUM
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