RCUBE ASSET MANAGEMENT : AI for Capital Program

Year-to-Date
0.21%
Oct Performance
0.93%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
4.13%
Sharpe (RFR=1%)
0.84
CAROR
-
Assets
$ 1.0M
Worst DD
-2.04
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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
9/2018
AI for Capital Program 0.93 -1.13 -0.21 4.65 - - - 5.23
S&P 500 2.04 1.92 21.16 12.01 - - - 4.23
+/- S&P 500 -1.11 -3.05 -21.37 -7.36 - - - 1.00

Strategy Description

Investment Strategy

AI for Capital Program combines a strong expertise in technical analysis with a scientific and rigorous approach based on statistical analysis and machine learning. AI for Capital consists in trading futures on different markets: Equity indices, Forex and Fixed Income. AI... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
3.50
Management Fee
0%
Performance Fee
30.00%
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
2000 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-10.00%
Worst Peak-to-Trough
-2.05%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
0%
1-30 Days
0%
Intraday
100.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Composition

Stock Indices
50.00%
Interest Rates
20.00%
Currency Futures
10.00%
Precious Metals
10.00%
Energy
10.00%
Composition Pie Chart

Investment Strategy

AI for Capital Program combines a strong expertise in technical analysis with a scientific and rigorous approach based on statistical analysis and machine learning. AI for Capital consists in trading futures on different markets: Equity indices, Forex and Fixed Income. AI for Capital aims to achieve absolute return, independently of market conditions. Performance observed on the strategies has always been up to this date de-correlated from the main Market Indices such as Bund, S&P, NASDAQ, as well as from CTA and short term CTA indices.

AI for Capital invests in intraday strategies, with a duration of a few hours in average. Strategies are principally based on Trend Following, Momentum and Acceleration. AI for Capital has a prudent approach with a controlled leverage and strict risk management rules. Rcube AM has integrated the AI for Capital program within its investment capabilities since August 2019.

Fund Manager

Nicolas PARIS - Portfolio Manager
Nicolas has more than 10 years’ experience in technical analysis. He has been advising the main portfolio managers in hedge funds such as Blackrock, Brevan Howard, Man GLG, Pictet and Blue Crest. He holds an MsC in Statistics & Finance from ESLCA.

Risk Management

Eric BENHAMOU - Program designer
Eric has more than 20 years’ experience in model development and quantitative finance. He started his career at Goldman Sachs and Natixis as head of quant. He founded a start-up in financial software that he sold to Thomson Reuters. He created Ai Square Connect, where is developed a fully integrated front-to-back trading platform. He is now heading the research in AI applied to systematic trading. Eric graduated from Ecole Polytechnique and ENSAE. He holds a PhD in mathematics and a MSc in machine learning.

   

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:
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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
-2.04 2 - 7/1/2019 9/1/2019
-0.68 1 3 1/1/2019 2/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
5.64 5 9/1/2018 1/1/2019
1.45 4 3/1/2019 6/1/2019
0.93 1 10/1/2019 10/1/2019
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-2.04 3 7/1/2019 9/1/2019
-0.68 1 2/1/2019 2/1/2019
Show More

Time Windows Analysis

 1 Month3 Month6 Month
Number of Periods14.0012.009.00
Percent Profitable71.4366.6777.78
Average Period Return0.371.252.01
Average Gain0.792.332.74
Average Loss-0.91-0.91-0.53
Best Period3.685.405.03
Worst Period-1.76-2.04-0.71
Standard Deviation1.192.402.32
Gain Standard Deviation1.082.172.10
Loss Standard Deviation0.760.890.24
Sharpe Ratio (1%)0.240.420.65
Average Gain / Average Loss0.872.575.12
Profit / Loss Ratio2.905.1417.91
Downside Deviation (10%)0.701.361.71
Downside Deviation (5%)0.540.800.49
Downside Deviation (0%)0.510.690.26
Sortino Ratio (10%)-0.050.02-0.27
Sortino Ratio (5%)0.531.253.06
Sortino Ratio (0%)0.731.827.58

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.