Rcube Asset Management : Singularis Program

archived programsClosed to new investments
Year-to-Date
N / A
Oct Performance
-3.75%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
20.00%
Annualized Vol
8.74%
Sharpe (RFR=1%)
0.59
CAROR
5.95%
Assets
$ 0k
Worst DD
-15.61
S&P Correlation
0.07

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
1/2015
Singularis Program -3.75 - - - -14.80 17.86 - 24.80
S&P 500 -6.94 - - - 29.10 52.82 - 73.67
+/- S&P 500 3.19 - - - -43.90 -34.96 - -48.87

Strategy Description

Summary

RCube SINGULARIS is a short-term systematic trading program that exploits the differences of efficiency between day-sessions and night-sessions of the most liquid exchange-traded equity index futures.... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 250k
CTA Max Funding Factor 4.00
Management Fee 1.00%
Performance Fee 20.00%
Average Commission $1.00
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 2750 RT/YR/$M
Avg. Margin-to-Equity 5%
Targeted Worst DD -15.00%
Worst Peak-to-Trough 7.00%
Sector Focus Stock Index Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 25.00%
Intraday 75.00%

Decision-Making

Discretionary 5.00%
Systematic 95.00%

Strategy

Counter-trend
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

RCube SINGULARIS is a short-term systematic trading program that exploits the differences of efficiency between day-sessions and night-sessions of the most liquid exchange-traded equity index futures.

Investment Strategy

The system follows the market’s night activity and immediately detect some market configurations where excess can be identified with a high probability of correction within the next 24 hours. In average, this type of configuration is triggered between 5 and 15 times a month, generating above 65% positive trades with an average duration of 20 hours.

Risk Management

RCube SINGULARIS targets a 15% annualized return, 10% volatility with no correlation to S&P 500 or CTA indices.

   

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:
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
-15.61 11 - 11/1/2017 10/1/2018
-3.91 1 3 12/1/2015 1/1/2016
-3.19 1 4 6/1/2015 7/1/2015
-2.49 1 1 1/1/0001 1/1/2015
-1.97 2 1 8/1/2017 10/1/2017
-1.50 2 1 11/1/2016 1/1/2017
-0.84 1 1 4/1/2017 5/1/2017
-0.42 1 1 5/1/2016 6/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
17.53 5 7/1/2016 11/1/2016
9.43 5 2/1/2015 6/1/2015
7.12 3 2/1/2017 4/1/2017
6.99 4 2/1/2016 5/1/2016
6.07 3 10/1/2015 12/1/2015
5.10 3 6/1/2017 8/1/2017
3.46 1 4/1/2018 4/1/2018
2.98 1 11/1/2017 11/1/2017
2.50 1 8/1/2015 8/1/2015
2.08 1 2/1/2018 2/1/2018
0.16 1 6/1/2018 6/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-10.31 4 7/1/2018 10/1/2018
-7.07 2 12/1/2017 1/1/2018
-3.91 1 1/1/2016 1/1/2016
-3.31 1 5/1/2018 5/1/2018
-3.19 1 7/1/2015 7/1/2015
-2.49 1 1/1/2015 1/1/2015
-1.97 2 9/1/2017 10/1/2017
-1.50 2 12/1/2016 1/1/2017
-1.43 1 9/1/2015 9/1/2015
-1.00 1 3/1/2018 3/1/2018
-0.84 1 5/1/2017 5/1/2017
-0.42 1 6/1/2016 6/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods46.0044.0041.0035.0029.0023.00
Percent Profitable60.8772.7378.0580.0089.6695.65
Average Period Return0.511.864.2910.8319.5328.12
Average Gain2.204.027.0714.9522.5529.50
Average Loss-2.11-3.91-5.57-5.66-6.66-2.24
Best Period4.3511.5717.0426.3037.3338.42
Worst Period-6.56-8.38-13.14-13.09-11.21-2.24
Standard Deviation2.524.546.8511.0712.7510.97
Gain Standard Deviation1.162.904.627.719.418.96
Loss Standard Deviation1.672.643.365.484.56
Sharpe Ratio (1%)0.170.350.550.891.412.38
Average Gain / Average Loss1.041.031.272.643.3913.17
Profit / Loss Ratio1.622.744.5110.5629.35289.81
Downside Deviation (10%)1.873.004.085.304.842.79
Downside Deviation (5%)1.702.543.213.752.890.89
Downside Deviation (0%)1.662.433.003.402.450.47
Sortino Ratio (10%)0.060.210.451.102.476.41
Sortino Ratio (5%)0.250.631.182.626.2529.46
Sortino Ratio (0%)0.310.761.433.187.9660.22

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.