Rcube Asset Management : Rcube Genio Capital Systematic Macro

Year-to-Date
10.90%
Sep Performance
-0.57%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
15.00%
Annualized Vol
11.48%
Sharpe (RFR=1%)
0.88
CAROR
10.94%
Assets
$ 10.0M
Worst DD
-8.15
S&P Correlation
0.30

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
3/2017
Rcube Genio Capital Systematic Macro -0.57 0.45 10.90 8.30 38.21 - - 45.05
S&P 500 -3.92 8.47 4.09 12.98 32.33 - - 40.89
+/- S&P 500 3.35 -8.03 6.80 -4.67 5.88 - - 4.16

Strategy Description

Summary

Rcube Genio Capital Systematic Macro program is a 100% systematic short/mid-term managed futures program, using predominantly price data as input (some macro fundamental data as support). The program trades a concentrated portfolio of about 30 of the most liquid futures over four asset... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 1,000k
CTA Max Funding Factor 3.00
Management Fee 1.00%
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 3000 RT/YR/$M
Avg. Margin-to-Equity 16%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 8.32%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 5.00%
1-3 Months 10.00%
1-30 Days 80.00%
Intraday 5.00%

Decision-Making

Discretionary 0%
Systematic 100.00%

Composition

Stock Indices
25.00%
Interest Rates
24.00%
Currency Futures
15.00%
Energy
15.00%
Precious Metals
5.00%
Grains
5.00%
VIX
5.00%
Livestock
3.00%
Softs
3.00%
Composition Pie Chart

Summary

Rcube Genio Capital Systematic Macro program is a 100% systematic short/mid-term managed futures program, using predominantly price data as input (some macro fundamental data as support). The program trades a concentrated portfolio of about 30 of the most liquid futures over four asset classes (equity indices, interest rates, currencies, and commodities) globally.

Investment Strategy

Genio Capital Sytematic Macro consists of several sub-models (sub-strategies) that can be classified into three different categories: directional, relative value and basket models. The combined result of these three model types is a single directional trend following position in each market. The direction (long/short) and size of the exposure in these markets dynamically change over time, depending on the strength of the trends (directional models) and depending on cross-asset relationships (relative value and basket models).

Risk Management

The direction (long/short) and size of the exposure in these markets dynamically change over time, depending on the strength of the trends (directional models) and depending on cross-asset relationships (relative value and basket models). The portfolio constraints are incorporated in the risk management on several levels: - On the portfolio level, the portfolio is automatically monitored from an exposure and diversification point-of-view. - On the asset class level, model diversification, including dedicated risk management models, is key to keep the portfolio within risk limits. - On a model level, the models adjust themselves constantly and a machine-learning based algorithm allocates to the models based on past and forecasted behavior. - On the instrument level there are stop losses based on reverse signals, initial plus trailing stops and time.

   

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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Risk
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Risk
Standard Deviation:
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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
-8.15 3 2 8/1/2019 11/1/2019
-4.92 1 2 5/1/2017 6/1/2017
-4.84 2 8 8/1/2018 10/1/2018
-4.83 1 4 2/1/2020 3/1/2020
-4.16 1 2 2/1/2018 3/1/2018
-1.93 2 1 5/1/2018 7/1/2018
-1.55 1 1 8/1/2017 9/1/2017
-0.57 1 - 8/1/2020 9/1/2020
-0.30 1 1 11/1/2017 12/1/2017
-0.06 1 1 3/1/2017 4/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
15.01 6 3/1/2019 8/1/2019
12.01 3 12/1/2019 2/1/2020
10.99 2 4/1/2018 5/1/2018
9.84 2 1/1/2018 2/1/2018
9.25 2 7/1/2017 8/1/2017
5.67 5 4/1/2020 8/1/2020
3.37 1 8/1/2018 8/1/2018
3.16 2 10/1/2017 11/1/2017
2.42 1 11/1/2018 11/1/2018
2.00 1 5/1/2017 5/1/2017
1.10 1 1/1/2019 1/1/2019
0.67 1 3/1/2017 3/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.15 3 9/1/2019 11/1/2019
-4.92 1 6/1/2017 6/1/2017
-4.84 2 9/1/2018 10/1/2018
-4.83 1 3/1/2020 3/1/2020
-4.16 1 3/1/2018 3/1/2018
-1.93 2 6/1/2018 7/1/2018
-1.79 1 12/1/2018 12/1/2018
-1.55 1 9/1/2017 9/1/2017
-0.91 1 2/1/2019 2/1/2019
-0.57 1 9/1/2020 9/1/2020
-0.30 1 12/1/2017 12/1/2017
-0.06 1 4/1/2017 4/1/2017
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable62.7973.1789.4796.88100.00100.00
Average Period Return0.922.856.0611.8516.9722.13
Average Gain2.734.897.0612.2616.9722.13
Average Loss-2.14-2.70-2.46-0.85
Best Period8.2412.7517.7628.1427.8535.06
Worst Period-5.01-8.15-4.11-0.852.6913.06
Standard Deviation3.314.685.366.896.036.19
Gain Standard Deviation2.533.574.716.606.036.19
Loss Standard Deviation1.932.061.21
Sharpe Ratio (1%)0.250.561.041.572.563.25
Average Gain / Average Loss1.281.812.8714.45
Profit / Loss Ratio2.164.9424.38447.94
Downside Deviation (10%)1.932.291.781.131.13
Downside Deviation (5%)1.771.841.020.33
Downside Deviation (0%)1.731.730.870.15
Sortino Ratio (10%)0.270.712.026.088.32
Sortino Ratio (5%)0.471.425.4333.21
Sortino Ratio (0%)0.531.656.9879.01

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.