Red Ivy Advisors, LLC : Elixir Strategy

archived programs
Year-to-Date
N / A
Mar Performance
0.41%
Min Investment
$ 50k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
10.53%
Sharpe (RFR=1%)
-0.39
CAROR
-
Assets
$ 276k
Worst DD
-4.69
S&P Correlation
-0.16

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
11/2015
Elixir Strategy 0.41 - - - - - - -1.46
S&P 500 6.60 - - - - - - 66.54
+/- S&P 500 -6.19 - - - - - - -68.00

Strategy Description

Summary

We are a small, flexible, dynamic, technology and research driven team using proprietary systematic quantitative and technical trading strategies. We have multiple automated strategies across U.S, European and Asian markets. Our core mandates across all strategies besides maximizing... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 50k
Trading Level Incremental Increase $ 50k
CTA Max Funding Factor 4.00
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $0
Available to US Investors Yes

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency 1-7 Days
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 5200 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD 1.64%
Worst Peak-to-Trough -1.64%
Sector Focus Stock Index 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

Trend-following
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

We are a small, flexible, dynamic, technology and research driven team using proprietary systematic quantitative and technical trading strategies. We have multiple automated strategies across U.S, European and Asian markets. Our core mandates across all strategies besides maximizing returns are liquidity, transparency and defining risk. The team comprises of Investment Professionals, Systems architects and Programmers. The group was started in 2013 and comprises of a Registered Investment Advisor and a Commodity Trading Advisor.

Investment Strategy

The “Elixir” strategy is fully automated from trade generation to execution. The team has extensive market and technology experience providing investors with systematic quantitative trading strategies with 100% Intraday Capital Usage. We use the underlying S&P components to formulate high probability quantitative strategies to trade solely the E-Mini futures contract.

Risk Management

Red Ivy has built its own back testing, signal generator, order management and risk systems

   

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
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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
-4.69 1 - 1/1/2016 2/1/2016
-1.64 1 1 1/1/0001 11/1/2015
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Consecutive Gains

Run-up Length (Mos.) Start End
4.69 2 12/1/2015 1/1/2016
0.41 1 3/1/2016 3/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-4.69 1 2/1/2016 2/1/2016
-1.64 1 11/1/2015 11/1/2015
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Time Windows Analysis

 1 Month
Number of Periods5.00
Percent Profitable60.00
Average Period Return-0.26
Average Gain1.68
Average Loss-3.17
Best Period3.24
Worst Period-4.69
Standard Deviation3.04
Gain Standard Deviation1.44
Loss Standard Deviation2.16
Sharpe Ratio (1%)-0.11
Average Gain / Average Loss0.53
Profit / Loss Ratio0.80
Downside Deviation (10%)2.46
Downside Deviation (5%)2.27
Downside Deviation (0%)2.22
Sortino Ratio (10%)-0.27
Sortino Ratio (5%)-0.15
Sortino Ratio (0%)-0.12

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.