Ion Asset Architecture : Ion Nivium Fund

archived programs
Year-to-Date
N / A
Jun Performance
1.19%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
2.50%
Sharpe (RFR=1%)
0.60
CAROR
2.50%
Assets
$ 5.4M
Worst DD
-2.31
S&P Correlation
-0.09

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 Jun Qtr 2019 1yr 3yr 5yr 10yr Since
5/2013
Ion Nivium Fund 1.19 0.16 - 3.43 - - - 5.48
S&P 500 -2.10 -0.23 - 5.25 - - - 26.51
+/- S&P 500 3.29 0.39 - -1.82 - - - -21.03

Strategy Description

Summary

The Ion Nivium fund is a quantitative global macro fund which invests primarily in foreign exchange, interest rate and sovereign credit markets, and secondarily in corporate credit index, equity index and commodity markets. The geographical focus is the G10 and liquid emerging markets.... Read More

Account & Fees

Type
Fund
Minimum Investment
$ 100k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
30.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
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
0%
Intraday
0%

Decision-Making

Discretionary
Systematic
100.00%

Strategy

Composition

Summary

The Ion Nivium fund is a quantitative global macro fund which invests primarily in foreign exchange, interest rate and sovereign credit markets, and secondarily in corporate credit index, equity index and commodity markets. The geographical focus is the G10 and liquid emerging markets. The fund invests based on proprietary quantitative models that identify deviations from fair value across a variety of time horizons and the holding period of the fund’s positions varies from a few days to several months.

   

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
-2.31 4 - 1/1/2015 5/1/2015
-1.14 2 2 3/1/2014 5/1/2014
-0.64 2 3 10/1/2013 12/1/2013
-0.02 1 1 7/1/2014 8/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
3.88 5 9/1/2014 1/1/2015
2.06 6 5/1/2013 10/1/2013
1.51 2 6/1/2014 7/1/2014
1.19 1 6/1/2015 6/1/2015
0.97 3 1/1/2014 3/1/2014
0.44 1 4/1/2015 4/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-1.45 1 5/1/2015 5/1/2015
-1.31 2 2/1/2015 3/1/2015
-1.14 2 4/1/2014 5/1/2014
-0.64 2 11/1/2013 12/1/2013
-0.02 1 8/1/2014 8/1/2014
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods26.0024.0021.0015.009.00
Percent Profitable69.2370.8376.19100.00100.00
Average Period Return0.210.631.403.124.73
Average Gain0.551.252.023.124.73
Average Loss-0.57-0.87-0.60
Best Period1.813.004.535.176.34
Worst Period-1.45-2.28-1.481.182.67
Standard Deviation0.721.291.791.361.29
Gain Standard Deviation0.480.911.561.361.29
Loss Standard Deviation0.540.680.61
Sharpe Ratio (1%)0.170.300.501.562.50
Average Gain / Average Loss0.971.433.38
Profit / Loss Ratio2.193.4810.81
Downside Deviation (10%)0.631.261.882.303.11
Downside Deviation (5%)0.460.700.60
Downside Deviation (0%)0.420.580.40
Sortino Ratio (10%)-0.32-0.47-0.57-0.82-0.92
Sortino Ratio (5%)0.270.551.50
Sortino Ratio (0%)0.491.083.53

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.