Rcube Asset Management : Rcube Genio Capital Systematic Macro Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A Dec Performance 2.02% Min Investment $ 1,000k Mgmt. Fee 1.00% Perf. Fee 15.00% Annualized Vol 11.34% Sharpe (RFR=1%) 0.85 CAROR 10.49% Assets $ 6.0M Worst DD -8.15 S&P Correlation 0.32 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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since3/2017 Rcube Genio Capital Systematic Macro 2.02 0.00 - 6.19 29.02 - - 46.60 S&P 500 3.71 11.69 - 16.26 40.48 - - 71.84 +/- S&P 500 -1.69 -11.69 - -10.07 -11.46 - - -25.24 Strategy Description SummaryRcube 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% Strategy Counter-trend 10.00% Fundamental 10.00% Momentum 10.00% Pattern Recognition 10.00% Seasonal/cyclical 10.00% Spreading/hedging 25.00% Trend-following 25.00% 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% SummaryRcube 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 StrategyGenio 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 ManagementThe 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. 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 -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 -3.86 2 2 8/1/2020 10/1/2020 -1.93 2 1 5/1/2018 7/1/2018 -1.55 1 1 8/1/2017 9/1/2017 -0.30 1 1 11/1/2017 12/1/2017 -0.06 1 1 3/1/2017 4/1/2017 Show More 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 4.53 2 11/1/2020 12/1/2020 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 Show More 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 -3.86 2 9/1/2020 10/1/2020 -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 -0.30 1 12/1/2017 12/1/2017 -0.06 1 4/1/2017 4/1/2017 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods46.0044.0041.0035.0029.0023.00 Percent Profitable63.0470.4587.8097.14100.00100.00 Average Period Return0.892.575.6611.7316.5921.44 Average Gain2.704.776.7412.1016.5921.44 Average Loss-2.21-2.68-2.13-0.85 Best Period8.2412.7517.7628.1427.8535.06 Worst Period-5.01-8.15-4.11-0.852.6913.06 Standard Deviation3.284.675.366.615.826.09 Gain Standard Deviation2.453.584.786.335.826.09 Loss Standard Deviation1.891.931.29 Sharpe Ratio (1%)0.250.500.961.622.593.19 Average Gain / Average Loss1.221.783.1714.26 Profit / Loss Ratio2.094.2422.79484.75 Downside Deviation (10%)1.942.361.821.081.07 Downside Deviation (5%)1.781.891.010.31 Downside Deviation (0%)1.741.770.850.14 Sortino Ratio (10%)0.250.571.756.248.43 Sortino Ratio (5%)0.451.235.1334.34 Sortino Ratio (0%)0.511.456.6981.77 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