IXIS Asset Management : IXIS Mobius

archived programs
Year-to-Date
N / A
Performance
Min Investment
$ 0k
Mgmt. Fee
0%
Perf. Fee
0%
Annualized Vol
0.00%
Sharpe (RFR=1%)
0.00
CAROR
-
Assets
Worst DD
N/A
S&P Correlation
0.00

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.

Strategy Description

Summary

-Assets are calculated in â?¬ currency. General overview of the program: IXIS Mobius is a medium-term systematic trend follower which seeks to take advantage of profitable market phases through proprietary statistical models. The trading program's success is based on the implementation... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 0k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 0%
Performance Fee 0%
Average Commission $0
Available to US Investors Request Information

Subscriptions

High Water Mark No
Subscription Frequency
Redemption Frequency
Investor Requirements
Lock-up Period 0

Trading

Trading Frequency 0 RT/YR/$M
Avg. Margin-to-Equity 0%
Targeted Worst DD
Worst Peak-to-Trough 0%
Sector Focus Not Specified

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Summary

-Assets are calculated in â?¬ currency. General overview of the program: IXIS Mobius is a medium-term systematic trend follower which seeks to take advantage of profitable market phases through proprietary statistical models. The trading program's success is based on the implementation and running of different simple trading systems over a broad range of market segments. Each system has a definite time horizon and was designed to generate profits in particular market phases/configurations as well as to efficiently resist adverse environments. Each market phase is founded on an observed scenario tested over a period of 10 years and on a large number of market segments Each model is applied to the different markets with the same set of parameters. This procedure allows for the testing (and validation) of the strength and depth of a scenario and thus to predict that it can be reproduced with a sufficient confidence level. The trading system was developed in-house by the current portfolio management team. It is based on a diversified approach of trend following, using different systems and allocation methods with time horizons ranging from under 5 to 300 days. The methodology was developed and created drawing from a combination of different ideas and approaches from leading academic and research sources, including cyclical trading and break-out and trend following. The mathematical program was developed using Matlab. The strategies use signal treatment methodology that comes from electrical engineering. There are many filters in the models that are designed to improve our reactivity to moving averages. The trading methodology and resulting models are continually monitored, and enhancements are made to improve the program's effectiveness. Diversified Investment Approach The program has three major performance drivers: 1. Static allocation model (40% of the overall risk budget) - focuses on a short to medium term trading horizon. In this model, 12 trading systems are used with 5 differing approaches (short term opportunistic, short term breakout, trend consolidation, medium term break out and medium term trend following). These systems are applied to approximately 30 of the most liquid markets, focusing on the financial assets. 2. Dynamic allocation model (50% of the overall risk budget) - focuses on a medium to longer term trading horizon. It is a tactical trading model with 4 systems and an allocation model. This model dynamically increases or decreases the exposure of a market, depending on its scoring and profit taking indicators. The approach is designed to help the program resist in range markets (positions are reduced when conflicting signals are given on different time frames) and trend reversals (significant positions are likely to have been exited before the reverse). It is applied to approximately 80 markets (with a focus on currencies and commodities, as its smoother execution mode with no stop losses enable more markets to be traded. 3. Spread strategies (10% of the overall risk budget) - which are mean reverting, short volatility trading systems. In this model, 4 time horizons and 4 trading systems are used on 15 spread indices and 6 spread FX. Risk Control Risk is scrupulously controlled, both by the Mobius team and through the independent IXIS Asset Management risk control department. Portfolio risk is measured and controlled on both an ex-ante and ex-poste basis. Risk is calibrated with regard to the fund's targeted volatility. The main risk measure used for the monitoring of IXIS Mobius is the Value-at-Risk (VaR). Each day VaR at the 95%, 97.5% and 99% confidence intervals are generated. These VaR are calculated for the whole portfolio using all past observations that occurred on the last 500 working days. A 95%-VaR exceeding 1.80% of net assets on any day would cause portfolio rebalancing to bring the VaR into line with the established guidelines.

   

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

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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

Consecutive Gains

Run-up Length (Mos.) Start End
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Consecutive Losses

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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.