Nivin Investments : EDGE2

archived programs
Year-to-Date
N / A
Aug Performance
-0.07%
Min Investment
$(AUD) 350k
Mgmt. Fee
2.20%
Perf. Fee
22.00%
Annualized Vol
33.50%
Sharpe (RFR=1%)
0.46
CAROR
-
Assets
$(AUD) 666k
Worst DD
-21.00
S&P Correlation
-0.27

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 YTD 1yr 3yr 5yr 10yr Since
2/2016
EDGE2 -0.07 - - - 0.00 - - 19.37
S&P 500 0.05 - - - 23.19 - - 79.31
+/- S&P 500 -0.12 - - - -23.19 - - -59.94

Strategy Description

Summary

Founded in 2015 in Australia, Nivin is an alternative investment manager that uses a stringently tested scientific methodology to develop advanced trading and investment systems.

Through statistical analysis and mathematical modelling of historical data, we strive to identify... Read More

Account & Fees

Type Managed Account
Minimum Investment $(AUD) 350k
Trading Level Incremental Increase $(AUD) 0k
CTA Max Funding Factor
Management Fee 2.20%
Performance Fee 22.00%
Average Commission $0
Available to US Investors No

Subscriptions

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

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 15%
Targeted Worst DD -20.00%
Worst Peak-to-Trough 20.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 95.00%
Intraday 5.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Precious Metals
20.00%
Energy
20.00%
Grains
20.00%
Softs
20.00%
Currency Futures
10.00%
Stock Indices
10.00%
Composition Pie Chart

Summary

Founded in 2015 in Australia, Nivin is an alternative investment manager that uses a stringently tested scientific methodology to develop advanced trading and investment systems.

Through statistical analysis and mathematical modelling of historical data, we strive to identify profitable trading opportunities. The instruments traded range from highly liquid index futures contracts traded around the world as well as metals, energies, softs, livestock and grains.

We believe this approach to investment management, can provide genuine diversification benefits which should be the target of any high quality portfolio. Our clients seek an aggressive long-term investment in an alternative asset class which seeks non-correlation to equities and bonds. ​​Our long/short quantitative system seeks to profit from moves either up or down in our chosen markets and provides an investor with potentially very high yields in an otherwise low yield environment.

Nivin offers its services to Wholesale clients, family offices and institutions through a Managed Discretionary Account (MDA).

Investment Strategy

Nivin is a quantitative asset manager specialising in commodity markets. Through the application of mathematical, statistical and probability models we profit from trends in the derivatives markets. Nivin’s investment option is the Nivin Global Futures Program through a managed discretionary account (MDA). This program is only available to Wholesale Investors, Institutional Investors and Family Offices. Your Portfolio is a separately managed account which allows legal retention and beneficial ownership of all investments. Nivin manages your Portfolio on a discretionary basis in accordance with a mandated strategy. To ensure that Nivin’s interests are aligned with clients, the management team maintains personal investments in Nivin Global Futures Program. Nivin is committed to best practices in IT infrastructure, operational procedures, and risk management in order to deliver a timely, verifiable and cost effective platform for the most demanding of investors.

   

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
-21.00 8 - 7/1/2016 3/1/2017
-9.61 1 1 2/1/2016 3/1/2016
-0.04 1 1 4/1/2016 5/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
27.78 1 4/1/2016 4/1/2016
15.92 3 10/1/2016 12/1/2016
13.09 2 6/1/2016 7/1/2016
12.39 1 4/1/2017 4/1/2017
8.69 1 2/1/2016 2/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-20.50 3 1/1/2017 3/1/2017
-14.28 2 8/1/2016 9/1/2016
-9.61 1 3/1/2016 3/1/2016
-5.27 4 5/1/2017 8/1/2017
-0.04 1 5/1/2016 5/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods19.0017.0014.008.00
Percent Profitable42.1152.9457.1450.00
Average Period Return1.364.023.050.02
Average Gain9.6215.6112.259.48
Average Loss-4.65-9.02-9.23-9.43
Best Period27.7841.2041.9217.60
Worst Period-16.61-20.50-17.14-15.83
Standard Deviation9.6715.5816.0812.01
Gain Standard Deviation8.2511.4415.107.82
Loss Standard Deviation5.136.206.086.07
Sharpe Ratio (1%)0.130.240.16-0.08
Average Gain / Average Loss2.071.731.331.01
Profit / Loss Ratio1.501.951.771.01
Downside Deviation (10%)5.358.078.4910.98
Downside Deviation (5%)5.187.507.338.26
Downside Deviation (0%)5.147.357.057.64
Sortino Ratio (10%)0.180.350.07-0.45
Sortino Ratio (5%)0.250.500.35-0.12
Sortino Ratio (0%)0.260.550.430.00

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.