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Transtrend B.V.

Diversified Trend Program - Enhanced Risk (USD)

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2017-2.20%4.38%-3.02%-2.12%-1.10%-3.89%0.94%     -7.03%
20164.71%5.65%-1.89%-4.04%-3.23%7.54%2.91%-1.85%-1.30%-3.86%0.99%2.61%7.65%
20154.10%-1.01%2.03%-3.53%-3.01%-5.63%7.84%-6.25%5.02%-2.48%7.08%-5.24%-2.46%
2014-3.25%1.04%0.63%1.50%3.33%0.96%-1.41%4.08%3.48%-2.06%6.91%1.44%17.48%
20130.17%-1.32%2.18%2.90%-4.58%-0.54%0.44%-2.53%-1.18%1.31%0.87%1.92%-0.61%
20121.09%2.31%-0.89%0.55%7.53%-5.27%4.04%-1.41%-3.07%-3.65%-0.34%0.50%0.73%
2011-0.77%1.77%-2.14%2.85%-4.46%-2.59%1.89%-3.20%-2.00%-2.11%0.48%1.58%-8.65%
2010-3.90%1.18%8.18%1.82%-4.58%-0.22%-0.86%2.75%3.59%3.91%-0.82%3.60%14.89%
2009-0.27%0.76%-3.34%0.18%1.28%-1.10%-2.30%0.23%-0.93%-3.48%2.11%-4.79%-11.27%
2008-0.48%5.55%1.33%0.59%3.28%3.03%-2.38%-1.38%4.95%7.12%2.57%2.29%29.38%
20071.64%-4.07%-3.24%5.69%6.84%3.65%-2.50%-2.44%7.81%9.02%-2.16%1.32%22.38%
20061.78%-2.26%0.89%1.94%-3.78%-1.26%-3.69%4.72%0.12%4.56%3.68%5.29%12.04%
2005-4.35%2.74%2.03%-3.48%1.03%4.02%3.26%-0.49%1.80%-0.67%3.40%-3.00%5.99%
20042.08%4.95%-2.18%-3.17%-0.31%-2.35%-1.34%-0.42%1.63%3.20%8.97%1.71%12.82%
20035.18%4.03%-5.04%3.77%5.81%-2.45%-2.36%-0.09%-2.04%2.48%-0.69%0.22%8.48%
2002-1.17%-0.69%2.00%-0.99%2.34%8.41%5.97%2.78%3.44%-2.72%-1.71%6.58%26.26%
20010.72%0.60%6.75%-1.48%1.29%-1.36%4.72%2.37%7.82%1.07%-3.12%4.86%26.36%
20001.55%-1.99%-2.29%0.14%2.52%-2.44%-0.77%1.81%0.62%2.54%5.97%4.47%12.40%
1999-3.86%1.22%-2.77%3.11%-3.10%4.51%1.95%-2.51%0.63%-6.82%1.84%4.29%-2.21%
19980.25%0.21%2.79%-5.43%3.55%1.36%-4.75%19.57%1.93%0.86%-1.06%2.70%21.95%
19979.64%5.12%-2.17%-4.07%-0.62%0.20%19.27%1.02%1.87%-8.58%5.72%7.95%37.93%
19965.38%-6.65%-0.48%8.59%-4.40%-0.30%3.88%7.26%7.51%10.37%1.46%-3.12%31.68%
1995-6.16%9.57%10.15%2.16%6.49%3.63%-3.70%-0.58%1.75%-3.81%2.07%5.70%29.09%

Performance statistics — Jan 1995 to Jul 2017

Cumulative total return 1133.35%
Annualized compound return 11.77%
Annualized standard deviation 13.81%
Monthly correlation to S&P 500 TRI -0.04
Annualized sharpe ratio (0%) 0.70
Monthly maximum loss (Oct 1997) -8.58%
Maximum drawdown (Mar 2009 - Jan 2010) -15.15%

Annual performance (%) — Jan 1995 to Jul 2017

Year or YTD Transtrend B.V. S&P 500 TRIBTOP50 Index
2017-7.0311.59-4.21
20167.6511.96-4.44
2015-2.461.38-0.92
201417.4813.6912.33
2013-0.6132.390.74
20120.7316.00-1.83
2011-8.652.11-4.25
201014.8915.066.38
2009-11.2726.46-4.77
200829.38-37.0013.58
200722.385.497.57
200612.0415.795.61
20055.994.912.76
200412.8210.880.86
20038.4828.6815.55
200226.26-22.1013.68
200126.36-11.893.83
200012.40-9.106.60
1999-2.2121.041.64
199821.9528.5813.18
199737.9333.3610.85
199631.6822.9611.14
199529.0937.5813.90

Performance comparison: Growth of $10,000 invested since inception — Jan 1995 to Jul 2017

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — Aug 2007 to Jul 2017

Distribution of monthly returns — Jan 1995 to Jul 2017

Underwater curve — Jan 1995 to Jul 2017

1including notional funds

Explanatory Notes

• These explanatory notes are an integral part of the performance data used.
• For its Diversified Trend Program, Transtrend provides composite rates of return data of the various subsets.
• The composite rate of return reflects the pro forma net performance for the period divided by the aggregate Nominal Account Size at the beginning of such period. Nominal Account Size means the account size agreed to by the client and Transtrend that establishes the level of trading. Accounts in which the Nominal Account Size exceeds the amount of the Actual Funds are Partially-Funded Accounts and such excess is defined as Notional Funds. Drawdown is expressed as a percentage of the aggregate Nominal Account Size and is based on monthly returns. Peak-to-valley drawdowns based on daily returns are generally larger than peak-to-valley drawdowns based on monthly returns.
• Up to July 2003, an adjusted aggregate Nominal Account Size was calculated in certain months to take account of instructions to increase or decrease the Nominal Account Size of an individual account intra-month, although in certain instances the composite rate of return was calculated by excluding accounts with significant instructed increases or decreases of the Nominal Account Size which would materially distort the composite rate of return. As of July 2003, composite rates of return are calculated on a daily basis which compound to a monthly return. Thus, instructed increases or decreases of the Nominal Account Size of an individual account intra-month, are taken into account when they occur without distorting the monthly composite rate of return.
• In order to aggregate and compare the performance of individual accounts a pro forma reporting format is used, i.e. a standardized format irrespective of specific terms and conditions that may govern individual accounts in practice.
• The composite rate of return takes into account actual trading profits and losses, actual transaction costs, pro forma advisory fees (as of January 1, 2017, a monthly management fee of 1/12 of 1% of the aggregate Nominal Account Size at the beginning of the month taking into account intra-month instructed increases or decreases on a pro rata basis, and a performance fee of 20%; from January 1, 2014 until December 31, 2016 these rates were 2% and 20% and before January 1, 2014 they were 3% and 25%), pro forma operating expenses (as of January 1, 2017, 1/12 of 0.25% of the aggregate Nominal Account Size at the beginning of the month taking into account intra-month instructed increases or decreases on a pro rata basis; before January 1, 2017, operating expenses were assumed to be included in the management fee and were not separately taken into account) and pro forma interest income or expenses. Management fee and operating expenses are hurdle rates for performance fee, no performance fee on pro forma interest income and a book entry reversal of performance fee in down months are taken into account. As Transtrend is not privy in all cases to the arrangements between Transtrend's customers and their brokers, the amount of interest income earned by such accounts is estimated at a rate relevant to the underlying currency subset of the Diversified Trend Program. Before May 1, 2004, pro forma interest income was calculated at a rate equal to 90% of the relevant 3-month interest rate on the aggregate Nominal Account Size. From May 1, 2004 until August 31, 2008, the composite rate of return included pro forma interest income at a rate equal to 90% of the relevant 3-month interest rate on Actual Funds. As of September 1, 2008, pro forma interest income on Actual Funds is calculated at a rate equal to 90% of the relevant overnight interest rate with a floor of 0%. As of January 1, 2017, in case of a negative relevant overnight interest rate, the pro forma interest expenses on Actual Funds are calculated at a rate equal to 100% of the relevant overnight interest rate.
• A negative monthly composite rate of return is mitigated by a consistent book entry reversal of the accrued pro forma performance fees and, before May 1, 2004, by pro forma interest income on the aggregate Nominal Account Size instead of Actual Funds, irrespective whether the book entry reversal was actually effectuated or interest was actually received. A similar effect occurs for a positive monthly composite rate of return, where a consistent book entry of pro forma performance fees is made, irrespective whether the book entry was actually effectuated. The consistent book entry (reversal) of pro forma performance fees likely reduces the volatility of the composite rates of return in comparison to situations where performance fees are periodically settled. Periodic settlement of performance fees empties the performance fee reserve so that negative, or positive, rates of return occurring after the fixed settlement date will only be moderated by the give-back, or accrual, respectively, of the amount of newly built-up performance fees after this settlement date. Consistently giving back accrued pro forma performance fees in periods of negative rates of return may also result in an underestimation of drawdowns in comparison to situations where performance fees are periodically settled.
• As the rates of the management fees and performance fees charged by Transtrend to its clients have come down considerably, the pro forma advisory fees were adjusted over the years to bring them more in line with actual advisory fees. Lowering the pro forma management fee has, with all other things being equal, the following effects: a) drawdowns will be less deep and b) the duration of peak-to-valley drawdowns may be shorter. Due to the consistent book entry (reversal) of pro forma performance fees, lowering the pro forma performance fee has, with all other things being equal, the following effects: a) drawdowns will be deeper and b) volatility will be higher.
• The rate of return on an individual account may deviate from the composite rate of return of the subset it is part of, e.g. because of differences in Nominal Account Size, portfolio composition, advisory fee structure, actual operating expenses or the amount of Actual Funds in relation to the Nominal Account Size.

• Transtrend’s latest Disclosure Document is available upon request. It can also be retrieved from Transtrend’s website. The Disclosure Document contains composite performance tables for each subset. It also provides further explanations and itemizes principal risk factors.
• Although Transtrend has exerted great care in creating this performance report, it cannot be held responsible for computational or clerical errors, nor for errors in transmission.

THE VALUE OF YOUR INVESTMENT CAN FLUCTUATE. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Company background

Transtrend is a Dutch limited liability company formed in November 1991.  Transtrend has been registered as a CTA under the CE Act since September 23, 1994, and is a member of the NFA in this capacity.

Markets traded

Futures, forward and swap contracts on short-term and long-term interest rates, FX, equity indices, single stocks and other equity related markets, agriculturals, energy, and metals.  Approximately 50 exchanges in 30 countries.

Strategy

Transtrend specializes in the design and management of consistent systematic trading strategies based on quantitative analysis of price behavior while attempting to control risks.

Key personnel

Johannes P.A. van den Broek, Managing Director — Johannes “Joep” P.A. van den Broek graduated in August 1995 with a master’s degree in Business Economics from Erasmus University Rotterdam in The Netherlands. He joined Transtrend as a trader in December 1995. In October 1997, he was appointed Deputy Director (Trading) thereby becoming a member of Transtrend’s management team. Effective as of January 1, 1999, Mr. Van den Broek was appointed Managing Director of Transtrend. Mr. Van den Broek has been registered as an Associated Person of Transtrend since October 2, 1998, and listed as a Principal since January 22, 1999, and has been an associate member of the NFA since July 30, 1998. Since November 2003 and September 2007 respectively, Mr. Van den Broek has been serving as a director of Transtrend Fund Alliance and Transtrend Equity Strategies, two Luxembourg domiciled funds which retain Transtrend as their trading advisor. Since June 2009, Mr. Van den Broek has also been serving as a supervisory board member of KenTyde B.V. (“KenTyde”), a managed futures trader located in Rotterdam. Mr. Van den Broek was approved as a swap associated person of Transtrend on January 15, 2013.

Harold de Boer, Principal — Harold M. de Boer graduated in 1990 with a master’s degree in Applied Mathematics from the University of Twente in The Netherlands. In December 1989 he worked in conjunction with the predecessor of Transtrend (Nidera Handelscompagnie B.V., an international trading and agribusiness company) for his thesis titled “Cointegration in Commodity Futures Markets”. In April 1990, he joined the predecessor of Transtrend as a research analyst. In April 1992 he became responsible for Transtrend’s research department, and as of October 1997, he became a member of Transtrend’s management team with the title of Deputy Director (Research). Effective August 1, 1999, he was appointed a Director of Transtrend and effective March 1, 2007 he assumed the role of Managing Director of Transtrend. Mr. De Boer’s primary responsibility is research and product development. Mr. De Boer has been listed as a Principal since November 15, 1999. Since June 2009, Mr. De Boer has also been serving as a supervisory board member of KenTyde. Mr. De Boer has been approved as a swaps Associated Person of Transtrend since January 15, 2013.

1including notional funds

Explanatory Notes

• These explanatory notes are an integral part of the performance data used.
• For its Diversified Trend Program, Transtrend provides composite rates of return data of the various subsets.
• The composite rate of return reflects the pro forma net performance for the period divided by the aggregate Nominal Account Size at the beginning of such period. Nominal Account Size means the account size agreed to by the client and Transtrend that establishes the level of trading. Accounts in which the Nominal Account Size exceeds the amount of the Actual Funds are Partially-Funded Accounts and such excess is defined as Notional Funds. Drawdown is expressed as a percentage of the aggregate Nominal Account Size and is based on monthly returns. Peak-to-valley drawdowns based on daily returns are generally larger than peak-to-valley drawdowns based on monthly returns.
• Up to July 2003, an adjusted aggregate Nominal Account Size was calculated in certain months to take account of instructions to increase or decrease the Nominal Account Size of an individual account intra-month, although in certain instances the composite rate of return was calculated by excluding accounts with significant instructed increases or decreases of the Nominal Account Size which would materially distort the composite rate of return. As of July 2003, composite rates of return are calculated on a daily basis which compound to a monthly return. Thus, instructed increases or decreases of the Nominal Account Size of an individual account intra-month, are taken into account when they occur without distorting the monthly composite rate of return.
• In order to aggregate and compare the performance of individual accounts a pro forma reporting format is used, i.e. a standardized format irrespective of specific terms and conditions that may govern individual accounts in practice.
• The composite rate of return takes into account actual trading profits and losses, actual transaction costs, pro forma advisory fees (as of January 1, 2017, a monthly management fee of 1/12 of 1% of the aggregate Nominal Account Size at the beginning of the month taking into account intra-month instructed increases or decreases on a pro rata basis, and a performance fee of 20%; from January 1, 2014 until December 31, 2016 these rates were 2% and 20% and before January 1, 2014 they were 3% and 25%), pro forma operating expenses (as of January 1, 2017, 1/12 of 0.25% of the aggregate Nominal Account Size at the beginning of the month taking into account intra-month instructed increases or decreases on a pro rata basis; before January 1, 2017, operating expenses were assumed to be included in the management fee and were not separately taken into account) and pro forma interest income or expenses. Management fee and operating expenses are hurdle rates for performance fee, no performance fee on pro forma interest income and a book entry reversal of performance fee in down months are taken into account. As Transtrend is not privy in all cases to the arrangements between Transtrend's customers and their brokers, the amount of interest income earned by such accounts is estimated at a rate relevant to the underlying currency subset of the Diversified Trend Program. Before May 1, 2004, pro forma interest income was calculated at a rate equal to 90% of the relevant 3-month interest rate on the aggregate Nominal Account Size. From May 1, 2004 until August 31, 2008, the composite rate of return included pro forma interest income at a rate equal to 90% of the relevant 3-month interest rate on Actual Funds. As of September 1, 2008, pro forma interest income on Actual Funds is calculated at a rate equal to 90% of the relevant overnight interest rate with a floor of 0%. As of January 1, 2017, in case of a negative relevant overnight interest rate, the pro forma interest expenses on Actual Funds are calculated at a rate equal to 100% of the relevant overnight interest rate.
• A negative monthly composite rate of return is mitigated by a consistent book entry reversal of the accrued pro forma performance fees and, before May 1, 2004, by pro forma interest income on the aggregate Nominal Account Size instead of Actual Funds, irrespective whether the book entry reversal was actually effectuated or interest was actually received. A similar effect occurs for a positive monthly composite rate of return, where a consistent book entry of pro forma performance fees is made, irrespective whether the book entry was actually effectuated. The consistent book entry (reversal) of pro forma performance fees likely reduces the volatility of the composite rates of return in comparison to situations where performance fees are periodically settled. Periodic settlement of performance fees empties the performance fee reserve so that negative, or positive, rates of return occurring after the fixed settlement date will only be moderated by the give-back, or accrual, respectively, of the amount of newly built-up performance fees after this settlement date. Consistently giving back accrued pro forma performance fees in periods of negative rates of return may also result in an underestimation of drawdowns in comparison to situations where performance fees are periodically settled.
• As the rates of the management fees and performance fees charged by Transtrend to its clients have come down considerably, the pro forma advisory fees were adjusted over the years to bring them more in line with actual advisory fees. Lowering the pro forma management fee has, with all other things being equal, the following effects: a) drawdowns will be less deep and b) the duration of peak-to-valley drawdowns may be shorter. Due to the consistent book entry (reversal) of pro forma performance fees, lowering the pro forma performance fee has, with all other things being equal, the following effects: a) drawdowns will be deeper and b) volatility will be higher.
• The rate of return on an individual account may deviate from the composite rate of return of the subset it is part of, e.g. because of differences in Nominal Account Size, portfolio composition, advisory fee structure, actual operating expenses or the amount of Actual Funds in relation to the Nominal Account Size.

• Transtrend’s latest Disclosure Document is available upon request. It can also be retrieved from Transtrend’s website. The Disclosure Document contains composite performance tables for each subset. It also provides further explanations and itemizes principal risk factors.
• Although Transtrend has exerted great care in creating this performance report, it cannot be held responsible for computational or clerical errors, nor for errors in transmission.

THE VALUE OF YOUR INVESTMENT CAN FLUCTUATE. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS.

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656