Index Mechanics BV : Index Investments Program

archived programs
Year-to-Date
N / A
Aug Performance
-2.22%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
27.50%
Annualized Vol
14.45%
Sharpe (RFR=1%)
-1.89
CAROR
-
Assets
$ 1.4M
Worst DD
-18.21
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 Aug Qtr 2019 1yr 3yr 5yr 10yr Since
1/2016
Index Investments Program -2.22 -14.21 - - - - - -16.78
S&P 500 -0.12 3.53 - - - - - 11.89
+/- S&P 500 -2.10 -17.74 - - - - - -28.67

Strategy Description

Summary

Index Mechanics operandus can be best described as a short term systematically managed futures strategy that applies dynamic risk management techniques to trade a universe of 25 index futures. Trading markets randomly. After many years of research and market analysis, the investment... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 50k
CTA Max Funding Factor
1.00
Management Fee
0%
Performance Fee
27.50%
Average Commission
$15.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
850 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
-25.00%
Worst Peak-to-Trough
26.57%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
20.00%
1-30 Days
80.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Other
100.00%
Strategy Pie Chart

Composition

Stock Indices
34.00%
Currency Futures
33.00%
Industrial Metals
33.00%
Composition Pie Chart

Summary

Index Mechanics operandus can be best described as a short term systematically managed futures strategy that applies dynamic risk management techniques to trade a universe of 25 index futures. Trading markets randomly. After many years of research and market analysis, the investment team believes that the ability to predicting market direction through fundamental or technical analysis is limited and risk management is a more powerful tool for producing consistent positive performance. As such the strategy is built upon the selection of a sub-set of markets determined by volatility and correlation and innovative systematic money- and risk management algorithms. The strategy provides: 1. A discriminate level of downside protection for beta- or beta- correlated strategies. 2. A distinctive risk adjusted return. 3. A high degree of diversification, low correlation, with leading Managed Futures competitors. Go to: www.indexmechanics.com. Performance capsule IASG: Net of fees.

Investment Strategy

After entering the market randomly, every trade is nurtured arithmetic on the basis of innovative Money- & Risk management algorithms. Trading up- and down markets. Focusing on Global financial indices like equity-, metal-, commodity- and currency- indices. Short term.

Risk Management

The strategy trades highly liquid exchange-traded futures purely along arithmetic parameters. Risk management is fully automated. The operandus can at any time be (net) long, short or neutral in any given market, and it may include any Index.

   

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
-18.21 5 - 3/1/2016 8/1/2016
-2.98 2 1 1/1/0001 2/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
4.88 1 3/1/2016 3/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-18.21 5 4/1/2016 8/1/2016
-2.98 2 1/1/2016 2/1/2016
Show More

Time Windows Analysis

 12 Month18 Month2 Year3 Year4 Year1 Month3 Month
Number of Periods39.0033.0027.0015.003.008.006.00
Percent Profitable94.87100.00100.00100.00100.0012.5033.33
Average Period Return34.7455.7372.99145.84153.90-2.19-6.78
Average Gain36.7555.7372.99145.84153.904.881.92
Average Loss-2.55-3.20-11.13
Best Period71.8883.56139.53191.04191.984.882.10
Worst Period-3.0427.8633.50110.97123.45-10.04-16.05
Standard Deviation23.3414.6122.2623.2234.904.178.88
Gain Standard Deviation22.2114.6122.2623.2234.900.25
Loss Standard Deviation0.693.287.46
Sharpe Ratio (1%)1.453.713.196.154.29-0.55-0.79
Average Gain / Average Loss14.391.520.17
Profit / Loss Ratio266.220.220.09
Downside Deviation (10%)1.804.4111.38
Downside Deviation (5%)0.814.1910.68
Downside Deviation (0%)0.594.1310.51
Sortino Ratio (10%)16.55-0.59-0.70
Sortino Ratio (5%)41.53-0.54-0.66
Sortino Ratio (0%)59.01-0.53-0.65

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Month 2 12.96 2/2015
Systematic Trader Index Month 2 12.96 2/2015
Diversified Trader Index Month 2 12.96 2/2015
Diversified Trader Index Month 8 15.33 1/2015
Systematic Trader Index Month 9 15.33 1/2015
IASG CTA Index Month 10 15.33 1/2015
IASG CTA Index Month 6 11.82 12/2014
Systematic Trader Index Month 8 11.82 12/2014
Diversified Trader Index Month 8 11.82 12/2014

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.