MaCX Asset : MaCX Evolution

Year-to-Date
3.75%
Sep Performance
-2.49%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
7.43%
Sharpe (RFR=1%)
0.51
CAROR
4.58%
Assets
$ 88.9M
Worst DD
-11.58
S&P Correlation
0.17

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
9/2013
MaCX Evolution -2.49 0.10 3.75 4.28 9.70 17.80 - 31.33
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 - 75.22
+/- S&P 500 -4.21 -1.09 -14.99 2.14 -26.19 -31.59 - -43.90

Strategy Description

Summary

MaCX Asset AG is a Swiss investment manager creating and running systematic trading strategies. We are a group of quantitatively minded people brought together by a passion for technology, innovation and a fascination for financial markets. We combine expertise from different fields... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.00
Management Fee
1.00%
Performance Fee
20.00%
Average Commission
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
1200 RT/YR/$M
Avg. Margin-to-Equity
12%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
5.00%
4-12 Months
10.00%
1-3 Months
19.00%
1-30 Days
66.00%
Intraday
0%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Summary

MaCX Asset AG is a Swiss investment manager creating and running systematic trading strategies. We are a group of quantitatively minded people brought together by a passion for technology, innovation and a fascination for financial markets. We combine expertise from different fields to continuously develop trading models and improve their execution.

Investment Strategy

The MaCX Evolution strategy is a 100 % systematic strategy consisting of a portfolio of quantitative trading approaches implemented globally through exchange traded futures. While the core of our strategy is strongly based on trend following principals that have been tested in the markets over the past 12 years, much development has been continuously done to refine it. In particular, over the last four years, we have focused a significant part of our effort on proactively designing additional diversifying strategy components. Such components can add to or complement our original momentum approach. The resulting unique components of the MaCX Evolution strategy range from traditional systematic strategies (momentum, value, term structure and carry) to state-of-the-art implementations based on Machine Learning. These components and their various implementations across time frames and techniques are designed to harness a diverse set of return sources. Finally, we use a proprietary implementation of a risk parity methodology to bring all these components together.

Risk Management

Risk measures are used in various parts of the system both to determine trading signals and for position sizing. At the portfolio level there is a 8% annual volatility target. The approach is to control the overall risk of the portfolio as well as the allocation to each strategy and instrument. Volatility estimators are produced and monitored on a daily basis.

   

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
-11.58 9 17 3/1/2015 12/1/2015
-6.13 9 6 1/1/2018 10/1/2018
-3.87 4 4 12/1/2013 4/1/2014
-2.83 1 2 8/1/2017 9/1/2017
-2.74 1 2 5/1/2017 6/1/2017
-2.49 1 - 8/1/2019 9/1/2019
-2.26 1 1 4/1/2019 5/1/2019
-0.22 1 1 11/1/2014 12/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
13.79 7 5/1/2014 11/1/2014
8.98 2 1/1/2016 2/1/2016
7.77 4 9/1/2013 12/1/2013
7.76 6 12/1/2016 5/1/2017
6.25 2 6/1/2016 7/1/2016
6.14 3 1/1/2015 3/1/2015
5.18 3 6/1/2019 8/1/2019
4.81 4 10/1/2017 1/1/2018
4.50 2 7/1/2017 8/1/2017
3.78 2 11/1/2018 12/1/2018
2.50 1 9/1/2015 9/1/2015
2.10 1 4/1/2019 4/1/2019
1.96 1 2/1/2014 2/1/2014
1.69 2 3/1/2018 4/1/2018
1.63 1 2/1/2019 2/1/2019
0.34 1 6/1/2018 6/1/2018
0.07 1 5/1/2015 5/1/2015
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.54 3 6/1/2015 8/1/2015
-5.59 4 7/1/2018 10/1/2018
-5.57 4 8/1/2016 11/1/2016
-5.31 3 10/1/2015 12/1/2015
-3.50 3 3/1/2016 5/1/2016
-3.34 1 1/1/2014 1/1/2014
-2.83 1 9/1/2017 9/1/2017
-2.74 1 6/1/2017 6/1/2017
-2.49 1 9/1/2019 9/1/2019
-2.46 2 3/1/2014 4/1/2014
-2.38 1 2/1/2018 2/1/2018
-2.26 1 5/1/2019 5/1/2019
-1.54 1 4/1/2015 4/1/2015
-0.22 1 12/1/2014 12/1/2014
-0.18 1 5/1/2018 5/1/2018
-0.15 1 1/1/2019 1/1/2019
-0.11 1 3/1/2019 3/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods73.0071.0068.0062.0056.0050.0038.0026.00
Percent Profitable58.9059.1569.1277.4283.9390.00100.00100.00
Average Period Return0.401.152.174.205.817.0910.6414.88
Average Gain1.813.524.676.367.428.0810.6414.88
Average Loss-1.62-2.27-3.43-3.20-2.57-1.85
Best Period5.549.5615.1519.4623.3317.1621.0727.59
Worst Period-4.73-7.54-7.78-6.15-5.31-3.692.602.49
Standard Deviation2.143.545.096.145.924.974.677.87
Gain Standard Deviation1.402.223.795.185.014.164.677.87
Loss Standard Deviation1.201.902.461.981.731.20
Sharpe Ratio (1%)0.150.260.330.520.731.021.631.37
Average Gain / Average Loss1.111.551.361.992.894.36
Profit / Loss Ratio1.592.243.056.8215.0839.23
Downside Deviation (10%)1.512.543.614.374.995.566.7610.09
Downside Deviation (5%)1.332.012.562.201.781.280.080.40
Downside Deviation (0%)1.281.882.331.771.220.68
Sortino Ratio (10%)-0.01-0.03-0.08-0.18-0.36-0.57-0.76-0.66
Sortino Ratio (5%)0.240.450.651.462.413.96101.1327.09
Sortino Ratio (0%)0.310.610.932.374.7610.45

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.