NordIX : NordIX AG - Government Bond Strategy (GBS) - (Advisory Mandates, not available for US investors)

archived programsClosed to new investments
Year-to-Date
N / A
May Performance
-1.83%
Min Investment
€ 1,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
7.28%
Sharpe (RFR=1%)
1.30
CAROR
10.72%
Assets
€ 150.0M
Worst DD
-9.16
S&P Correlation
-0.06

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 May Qtr YTD 1yr 3yr 5yr 10yr Since
9/2011
NordIX AG - Government Bond Strategy (GBS) - (Advisory Mandates, not available for US investors) -1.83 -7.81 - -6.93 25.16 60.01 - 79.58
S&P 500 1.16 2.04 - 15.01 25.38 84.06 - 110.71
+/- S&P 500 -2.99 -9.84 - -21.94 -0.22 -24.05 - -31.13

Strategy Description

Investment Strategy

The Government Bond Strategy (GBS) employs a quantitative long/short model trading 10-year US Treasury, Euro-Bund and Long UK Gilt Futures. It focuses on shorter-term signals across asset classes and multiple securities and their relationship with capital flows into global... Read More

Account & Fees

Type
Managed Account
Minimum Investment
€ 1,000k
Trading Level Incremental Increase
€ 0k
CTA Max Funding Factor
3.00
Management Fee
0%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
3000 RT/YR/$M
Avg. Margin-to-Equity
9%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
7.00%
Sector Focus
Financial & Metals Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
100.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Investment Strategy

The Government Bond Strategy (GBS) employs a quantitative long/short model trading 10-year US Treasury, Euro-Bund and Long UK Gilt Futures. It focuses on shorter-term signals across asset classes and multiple securities and their relationship with capital flows into global government bonds. The system is data-driven, not theory driven and creates a multi-factor model for each financial future it trades. The very infrastructure and set-up of the system deliberately disregards how theories suggest financial markets ought to function and behave. The system starts with a blank canvas and no field-relevant knowledge; as such there is no input selection bias. We start with a large database of factors ranging from commodities, currencies and equities to indices, economic and ETFs and the system then embarks on a knowledge-discovery and data-mining exercise utilizing machine learning algorithms to establish which of these factors in concert with one another is well suited to make a prediction about the direction of the price change in the target.

GBS is very simple: GBS only trades the 3 markets mentioned above, capital is equally allocated between the 3 markets; trade signals are generated and executed at pre-defined times according to daily and weekly models and can take the form of long, short or neutral. All strategy returns presented are net of 0% management & 25% incentive fees.

The system behind the nordIX Government Bond Strategy (“GBS”) has been applied to accounts of non-US investors since September 2011. Rate of return was not calculated pursuant to CFTC standards and is net of commissions and fees. Clients should understand that this material is provided as supplemental information, and represents the history of the trading strategy. It does not represent the track record of the US regulated Advisor. This program is not open to new investors; as per nordIX' registration with the CFTC in January 2016 investors can only invest in programs offered by nordIX CTA.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

   

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
-9.16 17 - 12/1/2015 5/1/2017
-2.83 2 2 3/1/2012 5/1/2012
-2.30 1 1 4/1/2013 5/1/2013
-1.55 2 1 7/1/2012 9/1/2012
-1.52 1 1 11/1/2012 12/1/2012
-1.40 1 1 1/1/2012 2/1/2012
-1.37 2 1 10/1/2013 12/1/2013
-1.29 1 1 9/1/2011 10/1/2011
-0.38 1 1 3/1/2015 4/1/2015
-0.13 1 1 6/1/2013 7/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
26.67 15 1/1/2014 3/1/2015
16.05 8 5/1/2015 12/1/2015
7.26 3 11/1/2011 1/1/2012
6.34 1 3/1/2012 3/1/2012
6.21 4 1/1/2013 4/1/2013
6.04 3 8/1/2013 10/1/2013
5.82 1 6/1/2013 6/1/2013
5.29 2 6/1/2012 7/1/2012
4.04 1 9/1/2011 9/1/2011
3.33 1 2/1/2017 2/1/2017
2.75 2 10/1/2012 11/1/2012
2.34 2 7/1/2016 8/1/2016
1.45 2 4/1/2016 5/1/2016
0.61 1 12/1/2016 12/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.81 3 3/1/2017 5/1/2017
-3.79 3 1/1/2016 3/1/2016
-2.93 3 9/1/2016 11/1/2016
-2.83 2 4/1/2012 5/1/2012
-2.30 1 5/1/2013 5/1/2013
-1.90 1 6/1/2016 6/1/2016
-1.55 2 8/1/2012 9/1/2012
-1.52 1 12/1/2012 12/1/2012
-1.40 1 2/1/2012 2/1/2012
-1.37 2 11/1/2013 12/1/2013
-1.29 1 10/1/2011 10/1/2011
-0.38 1 4/1/2015 4/1/2015
-0.36 1 1/1/2017 1/1/2017
-0.13 1 7/1/2013 7/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods69.0067.0064.0058.0052.0046.0034.0022.00
Percent Profitable66.6777.6181.2587.9394.23100.00100.00100.00
Average Period Return0.872.695.6112.2320.4730.2049.9567.20
Average Gain1.964.017.4314.4522.0930.2049.9567.20
Average Loss-1.30-1.90-2.28-3.96-6.05
Best Period6.899.9914.7728.6238.1446.4467.9590.38
Worst Period-4.60-7.81-4.50-6.93-8.592.9225.1646.32
Standard Deviation2.103.335.218.7110.9810.5610.6112.80
Gain Standard Deviation1.622.303.876.679.0110.5610.6112.80
Loss Standard Deviation0.951.991.551.592.76
Sharpe Ratio (1%)0.400.771.031.351.802.764.575.09
Average Gain / Average Loss1.512.123.263.653.65
Profit / Loss Ratio3.027.3414.1126.5959.66
Downside Deviation (10%)1.121.762.193.303.611.18
Downside Deviation (5%)0.941.321.271.631.72
Downside Deviation (0%)0.921.281.181.471.55
Sortino Ratio (10%)0.420.831.432.193.5716.86
Sortino Ratio (5%)0.881.944.227.1911.46
Sortino Ratio (0%)0.952.104.768.3313.20

Top Performer Badges

Index Award Type Rank Performance Period
IASG CTA Index Sharpe 8 1.64 2015 - 2016
Systematic Trader Index Month 3 6.89 6/2015
IASG CTA Index Month 6 6.89 6/2015

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