Rcube Asset Management : Rcube Defensive Asset Allocation

Year-to-Date
4.47%
Aug Performance
-0.08%
Min Investment
$ 500k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
8.32%
Sharpe (RFR=1%)
1.70
CAROR
-
Assets
$ 3.5M
Worst DD
-5.42
S&P Correlation
-0.10

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
12/2018
Rcube Defensive Asset Allocation -0.08 -2.03 4.47 5.17 - - - 29.44
S&P 500 7.01 14.98 8.34 19.61 - - - 39.62
+/- S&P 500 -7.09 -17.01 -3.87 -14.43 - - - -10.18

Strategy Description

Summary

The Rcube Defensive Asset Allocation Program (“RDAA”) is a quantitative tactical asset allocation strategy. It trades the most liquid futures over four assets classes (equity indices and VIX futures, forex, commodities and bonds). The investment objective is to achieve consistent... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 500k
Trading Level Incremental Increase $ 500k
CTA Max Funding Factor 3.00
Management Fee 1.50%
Performance Fee 15.00%
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 10%
Targeted Worst DD -10.00%
Worst Peak-to-Trough 0.91%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 10.00%
4-12 Months 10.00%
1-3 Months 30.00%
1-30 Days 40.00%
Intraday 10.00%

Decision-Making

Discretionary 30.00%
Systematic 70.00%

Strategy

Fundamental
20.00%
Momentum
30.00%
Spreading/hedging
20.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Interest Rates
30.00%
Stock Indices
30.00%
VIX
20.00%
Currency FX
10.00%
Precious Metals
10.00%
Composition Pie Chart

Summary

The Rcube Defensive Asset Allocation Program (“RDAA”) is a quantitative tactical asset allocation strategy. It trades the most liquid futures over four assets classes (equity indices and VIX futures, forex, commodities and bonds). The investment objective is to achieve consistent positive absolute return with low correlation to Equities, with a 10% volatility cap and a sharpe ratio above 1.

Investment Strategy

The Manager, who has over 20 years experience in the largest Macro HF brand names (Moore Capital, Brevan Howard & Pharo capital), has developed a quantitative portfolio allocation process to dynamically allocate capital across two modified academic tactical asset allocation strategies: The Permanent Portfolio inspired by Harry Browne permanent Portfolio; its premise is that the asset allocation fluctuates between four economic cycle conditions; Equities and Oil during periods of prosperity, short-term bonds during recession, gold during inflation and long-term bonds during deflation. A dual momentum strategy inspired by Gary Antonacci Dual Momentum selecting assets that exhibit both absolute and relative momentum. A market breadth filter is added to determine how much we should allocate to the risky assets versus defensive assets.

Risk Management

To minimize drawdowns, a long volatility overlay is applied. It seeks to monetize the mispricing of risk between implied volatility and realized volatility.

   

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:
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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:
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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
-5.42 2 - 4/1/2020 6/1/2020
-0.91 1 1 1/1/2020 2/1/2020
-0.88 1 1 1/1/2019 2/1/2019
-0.75 1 2 8/1/2019 9/1/2019
-0.48 1 1 6/1/2019 7/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
14.48 4 3/1/2019 6/1/2019
5.05 2 3/1/2020 4/1/2020
4.78 2 12/1/2018 1/1/2019
4.21 4 10/1/2019 1/1/2020
4.02 1 8/1/2019 8/1/2019
3.37 1 7/1/2020 7/1/2020
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.42 2 5/1/2020 6/1/2020
-0.91 1 2/1/2020 2/1/2020
-0.88 1 2/1/2019 2/1/2019
-0.75 1 9/1/2019 9/1/2019
-0.48 1 7/1/2019 7/1/2019
-0.08 1 8/1/2020 8/1/2020
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods21.0019.0016.0010.00
Percent Profitable66.6784.21100.00100.00
Average Period Return1.263.688.8017.11
Average Gain2.514.868.8017.11
Average Loss-1.22-2.61
Best Period5.6612.6118.5123.28
Worst Period-5.15-3.581.145.17
Standard Deviation2.404.215.627.47
Gain Standard Deviation1.573.445.627.47
Loss Standard Deviation1.760.84
Sharpe Ratio (1%)0.490.811.482.16
Average Gain / Average Loss2.061.86
Profit / Loss Ratio4.119.92
Downside Deviation (10%)1.331.570.37
Downside Deviation (5%)1.201.17
Downside Deviation (0%)1.181.07
Sortino Ratio (10%)0.641.5616.92
Sortino Ratio (5%)0.982.93
Sortino Ratio (0%)1.083.43

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.