EVOLUTIQ GmbH : Pred-X Model

archived programs
Year-to-Date
N / A
Mar Performance
2.93%
Min Investment
$ 500k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
6.73%
Sharpe (RFR=1%)
-1.08
CAROR
-
Assets
$ 1.9M
Worst DD
-9.55
S&P Correlation
-0.11

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
3/2015
Pred-X Model 2.93 - - - - -1.68 - -6.79
S&P 500 6.60 - - - - 55.32 - 60.98
+/- S&P 500 -3.67 - - - - -57.00 - -67.77

Strategy Description

Summary

EVOLUTIQ’s Pred-X Model is an absolute return, systematic directional multi asset class CTA strategy. It’s target return is 10% p.a. with a target volatility of 7% p.a. The target Sortino ratio of 1.5 allows to customize the strategy to achieve investor specific volatility levels while... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
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 Any Investor
Lock-up Period 0

Trading

Trading Frequency 5000 RT/YR/$M
Avg. Margin-to-Equity 6%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
60.00%
Currency Futures
20.00%
Interest Rates
20.00%
Composition Pie Chart

Summary

EVOLUTIQ’s Pred-X Model is an absolute return, systematic directional multi asset class CTA strategy. It’s target return is 10% p.a. with a target volatility of 7% p.a. The target Sortino ratio of 1.5 allows to customize the strategy to achieve investor specific volatility levels while retaining the target Sortino ratio.

Investment Strategy

The Pred-X model is the proprietary in-house developed market prediction and simulation algorithm of EVOLUTIQ. It is built upon doctoral research conducted by Dr. Oliver Steinki on the applicability of ensemble methods in option pricing models by using Lévy processes and was further enhanced by Dr. Peter Miko’s academic research in the field of artificial intelligence.

Risk Management

Systematic risk management techniques to adhere to certain risk limits, to achieve a pre-specified volatility target and to achieve a more optimal position sizing and risk diversification.

   

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
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Compound RoR:
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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
-9.55 -1 - 1/1/0001 12/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
3.59 1 1/1/2016 1/1/2016
2.93 1 3/1/2016 3/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-9.55 10 3/1/2015 12/1/2015
-3.35 1 2/1/2016 2/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods13.0011.008.00
Percent Profitable15.3818.180.00
Average Period Return-0.52-1.96-4.91
Average Gain3.262.39
Average Loss-1.21-2.93-4.91
Best Period3.593.05-1.68
Worst Period-3.35-4.59-6.93
Standard Deviation1.942.402.00
Gain Standard Deviation0.470.94
Loss Standard Deviation1.061.142.00
Sharpe Ratio (1%)-0.31-0.92-2.71
Average Gain / Average Loss2.690.82
Profit / Loss Ratio0.490.18
Downside Deviation (10%)1.753.887.62
Downside Deviation (5%)1.513.035.73
Downside Deviation (0%)1.452.825.26
Sortino Ratio (10%)-0.53-0.82-0.97
Sortino Ratio (5%)-0.40-0.73-0.95
Sortino Ratio (0%)-0.36-0.70-0.93

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.