NordIX : NordIX CTA - Government Bond Strategy (GBS) - USD Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 Since1/2016 NordIX CTA - Government Bond Strategy (GBS) - USD 0.86 - - - -1.59 -10.84 - -14.96 S&P 500 0.48 - - - 30.43 67.53 - 109.26 +/- S&P 500 0.38 - - - -32.02 -78.36 - -124.22 Strategy Description Investment StrategyThe 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% Composition Interest Rates 100.00% Investment StrategyThe 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 Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual 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 -15.68 -1 - 1/1/0001 5/1/2018 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel