Steeve BRUMENT
Head of Quantitative Multi-Asset Strategies / Deputy Global Head of Multi-Asset
Candriam Diversified Futures
Fund details
AUM - 04 FEB 2025
EUR 241.310.948,96
Last NAV - 04 FEB 2025
EUR 13.176,69
Morningstar™ category
EAA Fund Systematic Trend EUR
Morningstar™ Rating Overall
- 31 DEC 2024
Morningstar is an independent provider of investment analysis. The Morningstar rating is a quantitative assessment of the past performance of a fund taking into account the risk and the costs charged. It does not take into account qualitative elements and is calculated on the basis of a (mathematical) formula. The funds are ranked by category and compared to similar funds, based on their score and receive one to five stars. In each category, the top 10% receive 5 stars, the next 22.5% 4 stars, the following 35% 3 stars, the next 22.5% 2 stars, and the last 10% receive 1 star. The rating is calculated monthly based on historical performance over 3, 5 and 10 years and does not take into account the future. )
Marketing Communication. Please refer to the prospectus of the fund and to the key investor information document before making any investment decision. The documents can be obtained free of charge.
Risks
Lower Risk
Potentially lower return
Higher Risk
Potentially higher return
1
2
3
4
5
6
7
Definition
The summary risk indicator ("SRI") is an indicator with a rating ranging from 1 to 7 and corresponds to increasing levels of risk and return. The methodology for calculating this regulatory indicator is available in the KID.
The summary risk indicator ("SRI") is a guide to the level of risk of this product compared to other products.
It shows how likely it is that the product will lose money because of movements in the markets or because we are not able to pay you.;
The summary risk indicator ("SRI") is an indicator with a rating ranging from 1 to 7 and corresponds to increasing levels of risk and return. The methodology for calculating this regulatory indicator is available in the KID.<br>The summary risk indicator ("SRI") is a guide to the level of risk of this product compared to other products.<br> It shows how likely it is that the product will lose money because of movements in the markets or because we are not able to pay you.
Historical NAV
Candriam Diversified Futures
Historical NAV
€STR (Euro Short Term Rate) Capitalized
C Cap
This graph represents the synthetic net asset value of the fund. It is provided for information and illustrative purposes only. The synthetic net asset value is obtained by a recalculation of the values of the fund’s assets by leveling out the effect of securities transactions (split, coupon, dividend distribution...) in order to reflect the real performance of the fund share or unit. Data may be rounded for convenience. Data expressed in a currency other than that of the investor's country of residence is subject to exchange rate fluctuations, with a positive or negative impact. Gross performance may be impacted by commissions, fees and other expenses.
Legal documents
Select and download all documents
PDF
About this fund
Candriam Candriam Diversified Futures is a Fonds Commun de Placement (FCP) under French law. Its investment objective is to achieve an absolute performance net of all management fees exceeding the capitalised €STR index for euro denominated units, exceeding the capitalised SONIA index for GBP denominated units, and exceeding the capitalised EFFR index for USD denominated units, independent of trends on the international equities, interest rates, currencies and volatility markets by means of systematic quantitative strategies with an annualised target volatility of less than 12% under normal market conditions. Your money will be mainly invested in financial instruments selected by the Management Company. These instruments will be subject to market trends and uncertainties. The fund does not have a sustainable investment objective and does not specifically promote environmental and/or social characteristics. The fund seeks to exclude investments in companies that do not comply with certain internationally recognised standards and principles, or companies that are particularly exposed to certain controversial activities. The investment horizon is 3 years. The fund is managed actively, with reference to the index mentioned on the section "characteristics". For further information about this index and its use, please consult the fund's key information document (KID).
Principal assets traded:
Equity indices, volatility indices, interest rate indices, and foreign exchange indices via derivative products (futures and options). As part of the strategy of the portfolio fund: bonds and other debt securities, and money market instruments, of all types of issuers with a short-term rating of at least A-2 when acquired (or equivalent) from one of the rating agencies (i.e. issuers with a very good rating).
Investment strategy:
Portfolio management is built around a prudent portfolio foundation strategy via bonds and money market instruments, and a dynamic strategy.
The dynamic strategy is built around systematic strategies based on quantitative models that are able to generate asset purchase or sale signals. Three strategies with very little correlation are applied:
* on the one hand, the main, trend-following strategy based on statistical and technical analyses aimed at determining the best market trends irrespective of expectations for those markets,
* on the other hand, a contrarian strategy that goes against the main trends, benefiting from excess market movements both upwards and downwards,
* and lastly a form recognition model based on short-term statistical analysis aimed at determining whether recent market movements have occurred previously.
Management takes a position if this behaviour has been profitable in the past.
The fund does not have sustainable investment as its objective and does not specifically promote environmental and/or social characteristics.
The management team may use derivative instruments such as futures, options and forward foreign exchange and notably in these market categories: interest rates, government bonds, stock exchange indices, currencies, etc. Total return swaps, or other derivative financial instruments which have the same characteristics, may also be used.
Derivatives are used for the purpose of (long or short) exposure, hedging or arbitrage.
Benchmark: €STR (Euro Short Term Rate) Capitalized.
The fund is managed actively and the investment process includes the reference to a benchmark.
Use of the benchmark:
- to calculate the performance fee for some share classes,
- for performance comparison purposes.
Over the recommended investment term, and in connection with its systematic management, the fund seeks, by investing in the main assets traded, to achieve an absolute performance better than the €STR (Euro Short Term Rate) Capitalized and annualised volatility (indicator of the upward and downward fluctuations of the fund value) of less than 12% under normal market conditions.
Equity indices, volatility indices, interest rate indices, and foreign exchange indices via derivative products (futures and options). As part of the strategy of the portfolio fund: bonds and other debt securities, and money market instruments, of all types of issuers with a short-term rating of at least A-2 when acquired (or equivalent) from one of the rating agencies (i.e. issuers with a very good rating).
Investment strategy:
Portfolio management is built around a prudent portfolio foundation strategy via bonds and money market instruments, and a dynamic strategy.
The dynamic strategy is built around systematic strategies based on quantitative models that are able to generate asset purchase or sale signals. Three strategies with very little correlation are applied:
* on the one hand, the main, trend-following strategy based on statistical and technical analyses aimed at determining the best market trends irrespective of expectations for those markets,
* on the other hand, a contrarian strategy that goes against the main trends, benefiting from excess market movements both upwards and downwards,
* and lastly a form recognition model based on short-term statistical analysis aimed at determining whether recent market movements have occurred previously.
Management takes a position if this behaviour has been profitable in the past.
The fund does not have sustainable investment as its objective and does not specifically promote environmental and/or social characteristics.
The management team may use derivative instruments such as futures, options and forward foreign exchange and notably in these market categories: interest rates, government bonds, stock exchange indices, currencies, etc. Total return swaps, or other derivative financial instruments which have the same characteristics, may also be used.
Derivatives are used for the purpose of (long or short) exposure, hedging or arbitrage.
Benchmark: €STR (Euro Short Term Rate) Capitalized.
The fund is managed actively and the investment process includes the reference to a benchmark.
Use of the benchmark:
- to calculate the performance fee for some share classes,
- for performance comparison purposes.
Over the recommended investment term, and in connection with its systematic management, the fund seeks, by investing in the main assets traded, to achieve an absolute performance better than the €STR (Euro Short Term Rate) Capitalized and annualised volatility (indicator of the upward and downward fluctuations of the fund value) of less than 12% under normal market conditions.
Investment Team
Historical NAV
Historical NAV
Candriam Diversified Futures
Historical NAV
€STR (Euro Short Term Rate) Capitalized
C Cap
This graph represents the synthetic net asset value of the fund. It is provided for information and illustrative purposes only. The synthetic net asset value is obtained by a recalculation of the values of the fund’s assets by leveling out the effect of securities transactions (split, coupon, dividend distribution...) in order to reflect the real performance of the fund share or unit. Data may be rounded for convenience. Data expressed in a currency other than that of the investor's country of residence is subject to exchange rate fluctuations, with a positive or negative impact. Gross performance may be impacted by commissions, fees and other expenses.
Cumulative Return
Past performance is not a reliable indicator of future performances. Markets could develop very differently in the future.
It can help you assess how the fund has been managed in the past.
| 1 Year | 3 Years | 5 Years | 10 Years | |
|---|---|---|---|---|
| Fund | -1,23 | 4,43 | 5,13 | 2,42 |
| Benchmark | 3,69 | 2,45 | 1,26 | 0,47 |
| Difference | -4,91 | 1,99 | 3,86 | 1,95 |
Additional information
The returns listed above are provided on the basis of the Net Asset Value (NAV), net of commissions and reinvested income. All management fees and commissions are included in the calculation of past performance except for any entry and exit charges. Taxes are not included in the calculation of returns. The value or price converted into euros may be reduced or increased depending on fluctuations in the exchange rate. The fund is not a guaranteed investment. The NAVs are net of fees and are provided by the accounting department and the benchmark by the official providers.
Market developments (currency conversion, coupon, split, …) have an influence on the chart. This graph is provided for information purposes only and does not precisely illustrate the evolution of the fund's net assets. Data may be rounded for convenience. Data expressed in a currency other than that of the investor's country of residence is subject to exchange rate fluctuations, with a positive or negative impact. Gross performance may be impacted by commissions, fees and other expenses
Annual return
This chart shows the fund’s performance as the percentage loss or gain per year over the last 10 years.
It can help you to assess how the fund has been managed in the past and compare it to its benchmark.
The index composition may change over time. The performance reported may therefore differ from the performance of the relevant index before its change. Performance is shown after deduction of ongoing charges. Any entry and exit charges are excluded from the calculation. Performances expressed in a currency other than that of the investor's country of residence are subject to exchange rate fluctuations, with a negative or positive impact on gains. If the present document refers to a specific tax treatment, such information depends on the individual situation of each investor and may change. If for one year, there is no performance information, it is because there is no data or the data is insufficient to provide investors with useful or reliable indications on this performance.
As of 01/01/2022, the index used as a benchmark, Eonia Capi 7d, has been replaced by ???STR (Euro Short Term Rate) Capitalized.
| 2015 | 2016 | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 | 2024 | |
|---|---|---|---|---|---|---|---|---|---|---|
| Fund | -0,22 % | 9,07 % | -10,89 % | -4,81 % | 11,99 % | 11,99 % | 1,54 % | 13,78 % | 2,30 % | -1,79 % |
| Benchmark | -0,11 % | -0,32 % | -0,36 % | -0,37 % | -0,40 % | -0,47 % | -0,49 % | -0,01 % | 3,29 % | 3,80 % |
| Difference | -0,12 % | 9,39 % | -10,53 % | -4,44 % | 12,38 % | 12,46 % | 2,03 % | 13,80 % | -0,98 % | -5,58 % |
Additional information
The returns listed above are provided on the basis of the Net Asset Value (NAV), net of commissions and reinvested income. All management fees and commissions are included in the calculation of past performance except for any entry and exit charges. Taxes are not included in the calculation of returns. The value or price converted into euros may be reduced or increased depending on fluctuations in the exchange rate. The fund is not a guaranteed investment. The NAVs are net of fees and are provided by the accounting department and the benchmark by the official providers.
Market developments (currency conversion, coupon, split, …) have an influence on the chart. This graph is provided for information purposes only and does not precisely illustrate the evolution of the fund's net assets. Data may be rounded for convenience. Data expressed in a currency other than that of the investor's country of residence is subject to exchange rate fluctuations, with a positive or negative impact. Gross performance may be impacted by commissions, fees and other expenses
Risk And Reward Indicators
Lower Risk
Potentially lower return
Higher Risk
Potentially higher return
1
2
3
4
5
6
7
Definition
The summary risk indicator ("SRI") is an indicator with a rating ranging from 1 to 7 and corresponds to increasing levels of risk and return. The methodology for calculating this regulatory indicator is available in the KID.<br>The summary risk indicator ("SRI") is a guide to the level of risk of this product compared to other products.<br> It shows how likely it is that the product will lose money because of movements in the markets or because we are not able to pay you.- SRI Value
- 5
Main Risks
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Arbitrage risk
Arbitrage is a technique which consists in benefiting from the differences in prices recorded (or anticipated) between markets and/or sectors and/or securities and/or currencies and/or instruments. If such arbitrage transactions perform unfavourably (a rise in sell transactions and/or fall in buy transactions), the funds net asset value may fall.
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Counterparty Risk
When the fund carry out over-the-counter transactions (i.e. involving instruments not listed on the markets), they are exposed to a risk of default by the counterparty to the transaction.
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Currency risk
Funds may hold exposure to a currency different from its valuation currency. Changes in the exchange rate of this currency may negatively affect the value of assets in the portfolio.
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Derivative risk
Derivatives are investments whose value depends on (or is derived from) the value of an underlying instrument, such as a security, asset, reference rate or index. Derivative strategies often involve leverage, which may exaggerate a loss, potentially causing the Sub-Fund to lose more money than it would have lost had it invested in the underlying instrument. Using derivatives may result in a higher portfolio volatility related to this underlying asset and an increase of the counterparty risk.
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Emerging market risk
These markets are characterized by higher volatility issues and a lower liquidity because of legal, political and structural matters. Market movements can be stronger and faster on emerging markets than on “developed markets”, which can lead to a substantial decline in the net asset value in the event of the adverse movements relative to the positions taken.
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Equity Risk
Some funds may be exposed to equity market risk through direct investment (through transferable securities and/or derivative products), meaning submitted to the positive or negative evolution of stock exchanges. These evolutions can be huge and be mainly driven by expectations relative to macro-economy and company results, speculation and irrational factors (including trends, opinions or rumours).
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Interest rate risk
A change in interest rates, resulting notably from inflation, may cause a risk of losses and reduce the net asset value of the fund.
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Leverage risk
The use of Leverage tend to magnify returns on underlying assets, both on the upside and downside. Consequently, a minor trend on the market can lead to substantial gains or losses. In some cases, the entire investment can be wiped out.
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Model risk
Fund management process relies on establishing a model which is used to identify signals based on past statistical results. Models full efficiency and internally developed strategies may represent a risk.
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Risk of loss of capital
Investors are advised that any capital they invest is not guaranteed and that they may therefore not receive back the full amount invested. They may thus suffer a loss.
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Sustainability Risk
The sustainability risk refers to any environmental, social or governance event or condition that could affect the performance and / or the reputation of issuers in the portfolio. It may be issuer specific, in line with their activities and practices, but may also be due to external factors.
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Volatility risk
A fund may be exposed (taking directional positions or using arbitrage strategies for example) to market volatility risk and could therefore, based on its exposure, suffer losses in the event of changes in the volatility level of these markets.
Other Risks
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Conservation risk
The insolvency, negligence or fraudulent acts of a custodian or a sub-custodian may result in the loss of assets. This risk is mitigated by the regulatory obligations of the depositaries.
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Credit risk
It constitutes the risk that an issuer or a counterparty default. This risk includes the risk of changes in credit spreads and default risk. The level of credit risk is usually evaluated by using “ratings” representing a comparative assessment of the credit quality (solvency level) of an issuer, issuer or portfolio. “High Yield” investments present the lowest rating levels and therefore a high credit risk.
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Delivery risk
In case of liquidation of assets that are subject to a transaction with a counterparty, this last, although contractually obliged, may not be able in operational terms to return the assets quickly enough to allow the fund to honour the sale of these instruments on the market..
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ESG Investment Risk
ESG investment risk refers to the risks arising from the inclusion of ESG factors in the management process, such as the exclusion of activities or issuers and the inclusion of sustainability risks in the selection and/or allocation of issuers in the portfolio.
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Legal risk
Litigations of all kinds can occur with a counterparty or a third party. The Management Company aims to reduce these risks by putting in place controls and procedures.
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Liquidity risk
lt occurs when a portfolio position cannot be sold, liquidated or closed at a limited cost and within a sufficiently short time, which jeopardizing the fund's ability to comply at any time with its obligations to redeem the shares of investors at their request.
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Operational risk
Operational risk encompasses the risks of direct or indirect loss related to a number of factors (eg human errors, fraud and malicious acts, information system failures and external events, etc.) that could have an impact on the fund and / or the investors. The Management Company aims to reduce this risk through the implementation of controls and procedures.
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Risk of conflict of interest
The selection of a counterparty based on reasons other than the sole interest of the fund and/or unequal treatment in the management of similar portfolios can result in conflicts of interest.
Risk And Reward Indicators 31/1/25
Companies
Other Controversial Activity Exclusion
Candriam's Controversial Activities Analysis excludes companies involved in harmful or controversial activities. Involvement is assessed using activity-specific revenuebased threshold levels.
Fund Characteristics
- Fund name
- Candriam Diversified Futures
- Benchmark
- €STR (Euro Short Term Rate) Capitalized
- Currency
- EUR
- Legal Form
- FCP under French law
- Legal status
- UCITS
- Creation Date
- Domicile Country
- France
- Management company, having its registered office in Luxembourg
- CANDRIAM, management Company having its registered office in Luxembourg.
- Depository bank
- CACEIS Bank
- Transfer agent
- CACEIS Bank
- Regulator name
- AMF
- Term of fund
- The fund has no limited term
- Anti Dilution system
- no
Swing Pricing is a mechanism by which the net asset value is adjusted upwards (or downwards) if the change in liabilities is positive (or negative) in such a way as to reduce for existing investors the portfolio restructuring costs linked to subscription/ redemption movements in the fund. On valuation days where the difference between the amount of subscriptions and the amount of redemptions of a sub-fund (i.e. net transactions) exceeds a threshold set beforehand by the Board of Directors, the latter shall be entitled to:
- value the net asset value by adding to the assets (in the case of net subscriptions) or deducting from assets (at net redemptions) a fixed percentage of the fees corresponding to market practices and reflecting the fees and/or conditions of liquidity when buying or selling securities;
- value the securities portfolio on the basis of bid or ask prices;
- assess the net asset value by setting a level of spreads representative of the relevant market;
- The dilution mechanism must not exceed 2% of the net asset value, except in exceptional circumstances, as in the event of a sharp decrease in liquidity, which would then be detailed for the sub-fund concerned in the annual (semi-) annual report of the SICAV.
Instrument
- Share Class
- C - Cap
- Benchmark
- €STR (Euro Short Term Rate) Capitalized
- Currency
- EUR
- First NAV Date
- 16/11/09
- ISIN
- FR0010794792
- Recommended investment horizon
- 3 years
- Bloomberg ticker
- DEXDIFC FP Equity
- Morningstar ticker
- F00000GVD8
- Marketing authorization
- Austria; France; Germany; Italy; Luxembourg; Spain; Switzerland
Tax, Charges & Fees
- Management fees (max)
- 1.70 %
- Subscription
- 1.00 %
- Redemption
- 1.00 %
- Entry Costs
- 1.00%
- Exit Costs
- 0.00%
Transaction Fees
- Portfolio transaction costs
- 1.00%
Performance fees
- Performance fee value
- 20.00%
Ongoing cost
- Ongoing cost value
- 1.70%
Orders
Order Subscription
- Subscription cut off
- D 12:00
Order redemption
- Redemption cut off
- D 12:00
The corresponding time zone is the one associated with the fund's domicile.
NAV
Nav Specification
- Frequency valuation
- Daily
- NAV date
- D
- NAV calculation Day
- D+1
Nav Aum
- Aum currency
- EUR
- Aum value
- 241.310.948,96
- Aum date
- Yesterday
Nav aum for share class
- Last nav date
- Yesterday
- Last nav value
- 13176,69
Legal documents - C Cap
Download all legal documentsShareholder Documents
Download all shareholder documentsAnnual and semi-annual reports
Download all annual documentsFactsheet and Fund Comments
Download all fact sheet documentsAwards
2023 UCITS Hedge Awards
- Event date
- Category
- CTA trend following - Best Performing Fund over 3, 4 and 5 Years
- Organiser
- The Hedge fund journal
Pyramides de la Gestion de Patrimoine 2023
- Event date
- Category
- Absolute Performance
- Organiser
- Investissements Conseils
Alternative Investments Award Austria 2022
- Event date
- Category
- MANAGED FUTURES - Trendfolger
- Organiser
- GELD-Magazin
Europe 2022 Lipper Fund Awards
- Event date
- Category
- Alternative Managed Futures - 3 years
- Organiser
- Refintiv
France 2022 Lipper Fund Awards
- Event date
- Category
- Alternative Managed Futures - 3 years
- Organiser
- Refinitiv
Switzerland 2022 Lipper Fund Awards
- Event date
- Category
- Alternative Managed Futures - 3 years
- Organiser
- Refinitiv
UCITS Hedge Awards 2022
- Event date
- Category
- Trend Following CTA (AUM < $1bn) Best Performing Fund over 3 years
- Organiser
- The Hedge Fund Journal
France 2021 Lipper Fund Awards
- Event date
- Category
- Alternative Managed Futures 3 years
- Organiser
- Refinitiv
MondoAlternative Awards 2021
- Event date
- Category
- Best Liquid Alternative Managed Futures Fund 2020
- Organiser
- Mondo Investor
Mountain View Fund Award 2021
- Event date
- Category
- Managed Futures (Alternative Investments)
- Organiser
- Mountain View
UCITS Hedge Awards 2021
- Event date
- Category
- Trend Following CTA > $100m Best Performing Fund over a 2 Year Period
- Organiser
- Hedge Fund Journal
References to rankings, awards and/or ratings are not indicators of the future performance of the funds or the asset manager.
Other information
This is a marketing communication. Please refer to the prospectus of the funds and to the key information document before making any investment decision. This marketing communication does not constitute an offer to buy or sell financial instruments, nor does it represent an investment recommendation or confirm any kind of transaction, except where expressly agreed. Although Candriam selects carefully the data and sources within this document, errors or omissions cannot be excluded a priori. Candriam cannot be held liable for any direct or indirect losses as a result of the use of this document. The intellectual property rights of Candriam must be respected at all times, contents of this document may not be reproduced without prior written approval.
Warning: Past performance of a given financial instrument or index or an investment service or strategy, or simulations of past performance, or forecasts of future performance does not predict future returns. Gross performances may be impacted by commissions, fees and other expenses. Performances expressed in a currency other than that of the investor's country of residence are subject to exchange rate fluctuations, with a negative or positive impact on gains. If the present document refers to a specific tax treatment, such information depends on the individual situation of each investor and may change.
In respect to money market funds, please be aware that an investment in a fund is different from an investment in deposits and that the investment’s principal is capable of fluctuation. The fund does not rely on external support for guaranteeing its liquidity or stabilizing its NAV per unit or share. The risk of loss of the principal is borne by the investor.
Candriam consistently recommends investors to consult via our website https://www.candriam.com the key information document, prospectus, and all other relevant information prior to investing in one of our funds, including the net asset value (“NAV) of the funds. Investor rights and complaints procedure, are accessible on Candriam’s dedicated regulatory webpages https://www.candriam.com/en/professional/legal-information/regulatory-information/. This information is available either in English or in local languages for each country where the fund’s marketing is approved.
According to the applicable laws and regulations, Candriam may decide to terminate the arrangements made for the marketing of a relevant fund at any time.
Information on sustainability-related aspects: the information on sustainability-related aspects contained in this communication are available on Candriam webpage https://www.candriam.com/en/professional/sfdr/. The decision to invest in the promoted product should take into account all the characteristics or objectives of the promoted product as described in its prospectus, or in the information documents which are to be disclosed to investors in accordance with the applicable law.