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SMN Investment Services GmbH

SMN Diversified Futures Fund

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 ín 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 DateNov 1996
Minimum Investment -
Management Fee3.96%
Performance Fee15.00%
Highwater MarkYes
Phone+43 1 513 25 51
E-mail[email protected]
Websitewww.smn.at

Statistics

Total Return Cumulative 453.43%
Sharpe Ratio 0.43
Sortino Ratio 0.57
Winning Months (%) 53.03%
Correlation vs. S&P 500 TR -0.06

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 1.53 3.70 3.15 -3.57 4.73
2023 -1.13 -0.25 -1.81 9.33 4.00 3.43 -0.38 -0.70 -0.02 -2.70 -0.07 -1.96 7.37
2022 -2.61 0.26 12.16 6.00 -2.78 4.29 -3.25 5.29 1.30 1.63 -7.25 -2.98 11.08
2021 -0.49 4.69 -0.37 8.44 3.66 0.22 7.71 4.03 0.37 10.28 -3.43 -0.43 39.45
2020 1.60 -7.67 10.68 -1.31 -1.25 -3.26 5.01 -2.33 -3.66 5.99 -0.54 9.89 12.04
2019 -3.88 1.08 2.42 1.88 -7.44 4.16 3.70 0.58 -13.98 -6.56 -0.04 -0.76 -18.71
2018 6.46 -12.78 -1.69 0.70 -4.30 0.06 1.57 5.18 -1.84 -8.08 -2.05 -1.08 -17.79
2017 -1.61 3.50 -3.18 1.32 0.51 -3.23 1.45 1.79 -4.41 9.34 0.05 1.05 6.02
2016 -0.03 4.23 -6.18 -3.45 -1.27 3.67 0.76 -0.73 1.06 -6.41 -0.92 -1.19 -10.52
2015 9.34 -1.68 2.29 -5.15 -0.19 -7.02 5.38 -4.79 2.60 -2.19 6.10 -2.40 0.92
2014 -2.90 1.95 -2.20 5.22 -0.95 3.85 1.01 5.03 12.64 2.38 13.69 7.92 57.29
2013 12.57 -5.53 -1.22 1.23 -3.75 -5.56 -4.34 -2.36 -4.04 3.38 5.39 -0.36 -5.95
2012 2.08 1.39 0.10 -0.34 -9.29 -5.12 5.79 -2.06 -5.30 -7.88 1.87 -2.36 -20.11
2011 -2.12 3.45 -5.90 5.51 -7.64 -6.81 6.94 7.79 1.77 -8.92 1.34 -1.56 -7.77
2010 -2.86 -1.27 10.44 0.99 -7.12 1.20 -6.26 5.13 3.10 8.55 -7.63 13.26 16.01
2009 -2.79 2.47 -6.19 -6.68 -6.69 -3.67 0.13 5.65 2.56 -4.54 6.89 -3.06 -15.88
2008 6.45 13.93 -3.36 -6.06 5.12 9.63 -6.30 -1.83 1.71 19.70 7.91 3.39 58.53
2007 1.03 -7.52 -4.80 6.71 6.75 4.47 -6.46 -1.93 5.79 8.82 0.01 1.58 13.56
2006 1.19 -3.48 5.30 6.77 -6.37 -2.09 -3.15 -2.41 -0.63 5.23 2.80 3.70 6.06
2005 -5.32 -2.41 -1.76 -5.18 1.25 3.29 -2.30 1.82 0.33 -0.76 10.37 -2.11 -3.67
2004 1.84 8.73 -5.54 -15.18 -1.01 -4.72 -1.54 -4.22 5.14 2.26 7.45 0.07 -8.77
2003 13.07 9.39 -5.66 1.90 8.70 -6.52 1.84 -3.59 1.48 5.25 -1.14 6.89 33.89
2002 -5.63 -2.87 -4.16 0.07 1.98 7.40 11.96 6.66 6.51 -3.87 -4.15 3.26 16.52
2001 -0.50 3.33 12.93 -12.71 0.49 -5.30 -3.20 0.12 18.43 3.37 -7.16 1.76 8.11
2000 -2.85 0.88 -3.16 1.48 2.39 -1.60 -1.48 5.66 -4.10 -2.35 3.09 10.28 7.54
1999 -4.15 3.34 -4.87 6.28 -7.29 0.21 -2.98 1.55 -1.87 0.13 -0.60 8.01 -3.30
1998 2.48 3.46 0.39 -2.78 3.51 1.73 0.68 5.36 7.30 -5.75 -2.69 2.67 16.79
1997 3.38 3.82 -3.39 -2.23 -1.01 3.89 7.86 -5.69 0.60 -1.76 1.61 5.68 12.55
1996 6.68 0.97 7.71
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 -3.57%
Year To Date 4.73%
3 Month ROR 3.15%
12 Months ROR 6.21%
36 Month ROR 54.75%
Total Return Cumulative 453.43%
Total Return Annualized 6.42%
Best Month 19.70%
Winning Months (%) 53.03%
Gain Deviation 3.77

Risk Statistics

Standard Deviation Annualized 18.27%
Max Drawdown (Monthly) -45.42%
Max Drawdown Length 85
Worst Month -15.18%
Losing Months (%) 46.97%
Average Losing Month -3.69%
Loss Deviation 2.77
Correlation vs S&P 500 -0.06
Correlation vs DJ/CS MF 0.79

Risk/Reward Statistics

Sharpe Ratio 0.43
Sortino Ratio 0.57
Omega Ratio 0.92
Skewness 0.36
Kurtosis 0.61

Drawdown Report

No. Depth (%) Length (Months) Recovery (Months) Start date End date
Fund Index Fund Index Fund Index Fund Index Fund Index
1 -45.42% 59 26 04/2015 04/2022
2 -37.70% 57 15 01/2009 12/2014
3 -29.09% 14 33 03/2004 01/2008
4 -19.59% 4 12 04/2001 07/2002
5 -15.70% 14 15 10/1998 02/2001

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 19.70%-15.18%0.66%0.21%-3.57%53.03%
3 Months 34.15%-20.69%1.98%1.46%3.15%54.57%
6 Months 62.49%-28.74%3.86%2.07%2.60%57.54%
1 Year 78.66%-25.77%8.00%3.67%6.21%59.56%
2 Years 96.20%-37.11%16.14%10.82%7.59%66.45%
3 Years 102.10%-34.73%23.17%21.45%54.75%69.49%
5 Years 100.06%-44.17%33.45%36.92%56.47%84.50%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg6.42%20.23%43.08%105.91%304.52%654.41%
% Positive53.03%54.57%57.54%59.56%66.45%69.49%
Avg. Pos. Period4.50%8.60%12.27%20.23%31.89%40.73%
Avg. Neg. Period-3.69%-5.97%-7.54%-10.00%-15.04%-16.84%
Sharpe Ratio0.430.720.991.351.862.36
Sortino Ratio0.571.051.682.854.205.88
Standard Deviation5.27%9.47%13.45%20.52%30.14%34.01%
Downside Deviation3.16%5.10%6.23%7.55%10.20%10.81%
No data filled

Company Information

Minimum Investment -
AUM139,192,542 EUR
Management Fee3.96%
Performance Fee15.00%
Highwater MarkYes
RT per Million -
Margin to Equity -
Legal StructureSICAV
Investment RestrictionNone

Company Information

CompanySMN Investment Services GmbH
PrincipalMr. Gernot Heitzinger
Phone+43 1 513 25 51
E-mail[email protected]
License NumberAustrian Financial Market Authority AF25 7050
LocationVienna, Austria
Performance Compiled by -

Monthly Performance

  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2024 1.53 3.70 3.15 -3.57 4.73
2023 -1.13 -0.25 -1.81 9.33 4.00 3.43 -0.38 -0.70 -0.02 -2.70 -0.07 -1.96 7.37
2022 -2.61 0.26 12.16 6.00 -2.78 4.29 -3.25 5.29 1.30 1.63 -7.25 -2.98 11.08
2021 -0.49 4.69 -0.37 8.44 3.66 0.22 7.71 4.03 0.37 10.28 -3.43 -0.43 39.45
2020 1.60 -7.67 10.68 -1.31 -1.25 -3.26 5.01 -2.33 -3.66 5.99 -0.54 9.89 12.04
2019 -3.88 1.08 2.42 1.88 -7.44 4.16 3.70 0.58 -13.98 -6.56 -0.04 -0.76 -18.71
2018 6.46 -12.78 -1.69 0.70 -4.30 0.06 1.57 5.18 -1.84 -8.08 -2.05 -1.08 -17.79
2017 -1.61 3.50 -3.18 1.32 0.51 -3.23 1.45 1.79 -4.41 9.34 0.05 1.05 6.02
2016 -0.03 4.23 -6.18 -3.45 -1.27 3.67 0.76 -0.73 1.06 -6.41 -0.92 -1.19 -10.52
2015 9.34 -1.68 2.29 -5.15 -0.19 -7.02 5.38 -4.79 2.60 -2.19 6.10 -2.40 0.92
2014 -2.90 1.95 -2.20 5.22 -0.95 3.85 1.01 5.03 12.64 2.38 13.69 7.92 57.29
2013 12.57 -5.53 -1.22 1.23 -3.75 -5.56 -4.34 -2.36 -4.04 3.38 5.39 -0.36 -5.95
2012 2.08 1.39 0.10 -0.34 -9.29 -5.12 5.79 -2.06 -5.30 -7.88 1.87 -2.36 -20.11
2011 -2.12 3.45 -5.90 5.51 -7.64 -6.81 6.94 7.79 1.77 -8.92 1.34 -1.56 -7.77
2010 -2.86 -1.27 10.44 0.99 -7.12 1.20 -6.26 5.13 3.10 8.55 -7.63 13.26 16.01
2009 -2.79 2.47 -6.19 -6.68 -6.69 -3.67 0.13 5.65 2.56 -4.54 6.89 -3.06 -15.88
2008 6.45 13.93 -3.36 -6.06 5.12 9.63 -6.30 -1.83 1.71 19.70 7.91 3.39 58.53
2007 1.03 -7.52 -4.80 6.71 6.75 4.47 -6.46 -1.93 5.79 8.82 0.01 1.58 13.56
2006 1.19 -3.48 5.30 6.77 -6.37 -2.09 -3.15 -2.41 -0.63 5.23 2.80 3.70 6.06
2005 -5.32 -2.41 -1.76 -5.18 1.25 3.29 -2.30 1.82 0.33 -0.76 10.37 -2.11 -3.67
2004 1.84 8.73 -5.54 -15.18 -1.01 -4.72 -1.54 -4.22 5.14 2.26 7.45 0.07 -8.77
2003 13.07 9.39 -5.66 1.90 8.70 -6.52 1.84 -3.59 1.48 5.25 -1.14 6.89 33.89
2002 -5.63 -2.87 -4.16 0.07 1.98 7.40 11.96 6.66 6.51 -3.87 -4.15 3.26 16.52
2001 -0.50 3.33 12.93 -12.71 0.49 -5.30 -3.20 0.12 18.43 3.37 -7.16 1.76 8.11
2000 -2.85 0.88 -3.16 1.48 2.39 -1.60 -1.48 5.66 -4.10 -2.35 3.09 10.28 7.54
1999 -4.15 3.34 -4.87 6.28 -7.29 0.21 -2.98 1.55 -1.87 0.13 -0.60 8.01 -3.30
1998 2.48 3.46 0.39 -2.78 3.51 1.73 0.68 5.36 7.30 -5.75 -2.69 2.67 16.79
1997 3.38 3.82 -3.39 -2.23 -1.01 3.89 7.86 -5.69 0.60 -1.76 1.61 5.68 12.55
1996 6.68 0.97 7.71
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 -3.57%
Year To Date 4.73%
3 Month ROR 3.15%
12 Months ROR 6.21%
36 Month ROR 54.75%
Total Return Cumulative 453.43%
Total Return Annualized 6.42%
Best Month 19.70%
Winning Months (%) 53.03%
Gain Deviation 3.77

Risk Statistics

Standard Deviation Annualized 18.27%
Max Drawdown (Monthly) -45.42%
Max Drawdown Length 85
Worst Month -15.18%
Losing Months (%) 46.97%
Average Losing Month -3.69%
Loss Deviation 2.77
Correlation vs S&P 500 -0.06
Correlation vs DJ/CS MF 0.79

Risk/Reward Statistics

Sharpe Ratio 0.43
Sortino Ratio 0.57
Omega Ratio 0.92
Skewness 0.36
Kurtosis 0.61

Performance (VAMI)

Fund Manager

  Gernot Heitzinger joined the Investment/asset management industry ín 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 -45.42% 59 26 04/2015 04/2022
2 -37.70% 57 15 01/2009 12/2014
3 -29.09% 14 33 03/2004 01/2008
4 -19.59% 4 12 04/2001 07/2002
5 -15.70% 14 15 10/1998 02/2001

Return Report

Period BestWorstAverageMedianLastWinning %
1 Month 19.70%-15.18%0.66%0.21%-3.57%53.03%
3 Months 34.15%-20.69%1.98%1.46%3.15%54.57%
6 Months 62.49%-28.74%3.86%2.07%2.60%57.54%
1 Year 78.66%-25.77%8.00%3.67%6.21%59.56%
2 Years 96.20%-37.11%16.14%10.82%7.59%66.45%
3 Years 102.10%-34.73%23.17%21.45%54.75%69.49%
5 Years 100.06%-44.17%33.45%36.92%56.47%84.50%

Time Window Analysis

1 Month3 Months6 Months1 Year2 Years3 Years
Annual Compounded Avg6.42%20.23%43.08%105.91%304.52%654.41%
% Positive53.03%54.57%57.54%59.56%66.45%69.49%
Avg. Pos. Period4.50%8.60%12.27%20.23%31.89%40.73%
Avg. Neg. Period-3.69%-5.97%-7.54%-10.00%-15.04%-16.84%
Sharpe Ratio0.430.720.991.351.862.36
Sortino Ratio0.571.051.682.854.205.88
Standard Deviation5.27%9.47%13.45%20.52%30.14%34.01%
Downside Deviation3.16%5.10%6.23%7.55%10.20%10.81%

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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Data and information is provided for informational purposes only. Past performance is not necessarily indicative of future results.