NordIX : NordIX CTA - Government Bond Strategy (GBS) - USD

archived programs
Year-to-Date
N / A
Jun Performance
0.86%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
4.88%
Sharpe (RFR=1%)
-1.50
CAROR
-6.28%
Assets
$ 8.5M
Worst DD
-15.68
S&P Correlation
0.15

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 YTD 1yr 3yr 5yr 10yr Since
1/2016
NordIX CTA - Government Bond Strategy (GBS) - USD 0.86 - - - -6.22 - - -14.96
S&P 500 0.48 - - - 30.43 - - 78.57
+/- S&P 500 0.38 - - - -36.65 - - -93.53

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
Management Fee 0%
Performance Fee 25.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency 1-7 Days
Redemption Frequency 1-7 Days
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. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TO BE ELIGIBLE TO INVEST IN THIS PROGRAM YOU MUST BE CONSIDERED A QUALIFIED ELIGIBLE PERSON UNDER THE TERMS AND CONDITIONS DEFINED BY COMMODITY FUTURES TRADING COMMISSION REGULATION 4.7. FOR A FULL EXPLANATION OF WHAT IS REQUIRED TO BE A QUALIFIED ELIGIBLE PERSON UNDER THE REGULATION PLEASE CONTACT NORDIX CTA DIRECTLY. THE RISK OF LOSS IN TRADING COMMODITIES CAN BE SUBSTANTIAL. PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION: 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
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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

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-15.68 -1 - 1/1/0001 5/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
2.56 1 2/1/2017 2/1/2017
1.95 1 12/1/2016 12/1/2016
1.53 2 7/1/2016 8/1/2016
1.33 1 8/1/2017 8/1/2017
0.86 1 6/1/2018 6/1/2018
0.81 2 4/1/2016 5/1/2016
0.48 1 12/1/2017 12/1/2017
0.38 1 10/1/2017 10/1/2017
0.31 2 2/1/2018 3/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-7.08 5 3/1/2017 7/1/2017
-4.62 3 1/1/2016 3/1/2016
-2.98 3 9/1/2016 11/1/2016
-2.43 2 4/1/2018 5/1/2018
-2.41 1 11/1/2017 11/1/2017
-2.12 1 6/1/2016 6/1/2016
-1.85 1 1/1/2018 1/1/2018
-1.67 1 9/1/2017 9/1/2017
-0.64 1 1/1/2017 1/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods30.0028.0025.0019.0013.00
Percent Profitable40.0017.868.000.000.00
Average Period Return-0.53-1.53-2.93-5.60-8.47
Average Gain0.851.270.61
Average Loss-1.45-2.14-3.24-5.60-8.47
Best Period2.563.890.79-0.60-6.41
Worst Period-3.57-6.35-5.89-10.33-10.45
Standard Deviation1.411.961.802.131.44
Gain Standard Deviation0.751.540.26
Loss Standard Deviation0.891.461.522.131.44
Sharpe Ratio (1%)-0.43-0.91-1.90-3.10-6.91
Average Gain / Average Loss0.590.590.19
Profit / Loss Ratio0.390.130.02
Downside Deviation (10%)1.593.335.6910.8016.13
Downside Deviation (5%)1.362.523.866.9110.07
Downside Deviation (0%)1.312.333.425.978.59
Sortino Ratio (10%)-0.59-0.83-0.95-0.98-1.00
Sortino Ratio (5%)-0.45-0.71-0.89-0.95-0.99
Sortino Ratio (0%)-0.40-0.66-0.86-0.94-0.99

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.