Genio Capital Ltd. : Genio PRIMO Systematic Macro Program

Year-to-Date
2.37%
Oct Performance
-1.49%
Min Investment
$ 2,000k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
6.94%
Sharpe (RFR=1%)
1.02
CAROR
8.11%
Assets
$ 5.5M
Worst DD
-4.22
S&P Correlation
0.35

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
7/2016
Genio PRIMO Systematic Macro Program -1.49 -1.52 2.37 2.73 24.06 - - 29.68
S&P 500 2.04 1.92 21.16 12.01 41.41 - - 38.33
+/- S&P 500 -3.53 -3.44 -18.79 -9.28 -17.36 - - -8.65

Strategy Description

Summary

The program consists of relative value and directional models, with a different angle on catching trends, focusing on the major 25 markets that are the main drivers. The investment horizon is on average 25 days (range 1-180 days).... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
5.00
Management Fee
1.00%
Performance Fee
15.00%
Average Commission
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
1-7 Days
Investor Requirements
Any Investor
Lock-up Period
0

Trading

Trading Frequency
1200 RT/YR/$M
Avg. Margin-to-Equity
8%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
3.40%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
5.00%
1-3 Months
10.00%
1-30 Days
80.00%
Intraday
5.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Composition

Stock Indices
25.00%
Interest Rates
24.00%
Currency Futures
15.00%
Energy
15.00%
Precious Metals
5.00%
Grains
5.00%
VIX
5.00%
Livestock
3.00%
Softs
3.00%
Composition Pie Chart

Summary

The program consists of relative value and directional models, with a different angle on catching trends, focusing on the major 25 markets that are the main drivers. The investment horizon is on average 25 days (range 1-180 days).

Investment Strategy

The program takes advantage of predicted investor behavior during different economic regimes and cycles by trading a portfolio of 20-30 futures markets, both as relative value types of trades (as pairs or baskets) and as directional trades, trading on a wide range of time horizons. The models are categorized into four major groups (economic regimes, inflation, relative value risk premia, momentum). All models within a group target the same alpha (exaggerated moves, directional moves, spread moves) but can be market or instrument specific - or use different statistical methodologies/time frames to extract the alpha if/when it is available. The main input is price, but also fundamental data is used by some models. Sophisticated mathematical methods are used to find overextended markets to trade against, but we can also be part of the crowd/trend. Shorter-term models are used for risk management and catching faster sudden moves in the markets.

Risk Management

This strategy is 100% based on an in-house system and models that manages everything related to portfolio positions. As with other systematic strategies, risk management is incorporated real-time on a position level, model level, asset class level and portfolio level.

   

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
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

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
-4.22 2 - 8/1/2019 10/1/2019
-2.60 4 2 2/1/2017 6/1/2017
-2.28 2 8 8/1/2018 10/1/2018
-1.90 1 1 12/1/2016 1/1/2017
-1.21 1 1 9/1/2016 10/1/2016
-1.04 2 1 5/1/2018 7/1/2018
-0.71 1 1 8/1/2017 9/1/2017
-0.63 1 1 2/1/2018 3/1/2018
-0.16 1 1 11/1/2017 12/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
6.88 6 3/1/2019 8/1/2019
6.60 2 4/1/2018 5/1/2018
6.50 1 2/1/2017 2/1/2017
5.81 3 7/1/2016 9/1/2016
4.73 2 1/1/2018 2/1/2018
4.16 2 11/1/2016 12/1/2016
3.52 2 7/1/2017 8/1/2017
1.88 1 8/1/2018 8/1/2018
1.59 2 10/1/2017 11/1/2017
1.19 1 11/1/2018 11/1/2018
0.76 1 5/1/2017 5/1/2017
0.42 1 1/1/2019 1/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.22 2 9/1/2019 10/1/2019
-2.28 2 9/1/2018 10/1/2018
-1.90 1 1/1/2017 1/1/2017
-1.86 2 3/1/2017 4/1/2017
-1.50 1 6/1/2017 6/1/2017
-1.21 1 10/1/2016 10/1/2016
-1.04 2 6/1/2018 7/1/2018
-0.83 1 12/1/2018 12/1/2018
-0.71 1 9/1/2017 9/1/2017
-0.63 1 3/1/2018 3/1/2018
-0.42 1 2/1/2019 2/1/2019
-0.16 1 12/1/2017 12/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods40.0038.0035.0029.0023.0017.00
Percent Profitable60.0078.9585.7196.55100.00100.00
Average Period Return0.672.014.007.8813.4217.88
Average Gain1.822.814.808.1813.4217.88
Average Loss-1.05-0.98-0.82-0.43
Best Period6.506.1210.7614.9919.1527.40
Worst Period-2.77-1.69-1.94-0.436.2811.36
Standard Deviation2.002.323.294.013.124.22
Gain Standard Deviation1.721.922.813.753.124.22
Loss Standard Deviation0.790.480.74
Sharpe Ratio (1%)0.290.761.071.723.823.76
Average Gain / Average Loss1.732.875.8518.84
Profit / Loss Ratio2.6010.7535.11527.48
Downside Deviation (10%)1.041.081.391.350.27
Downside Deviation (5%)0.870.600.560.27
Downside Deviation (0%)0.820.490.400.08
Sortino Ratio (10%)0.250.731.112.1421.23
Sortino Ratio (5%)0.682.946.2725.85
Sortino Ratio (0%)0.824.0710.0497.76

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.