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/ Vivienne Investissement / MACH 3

Vivienne Investissement : MACH 3

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Year-to-Date
2.05%
Aug Performance
2.09%
Min Investment
€ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
19.13%
Sharpe (RFR=1%)
0.71
CAROR
13.45%
Assets
€ 34.3M
Worst DD
-29.61
S&P Correlation
0.42
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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
6/2015
MACH 3 2.09 8.84 -2.05 6.08 65.51 103.08 - 120.10
S&P 500 3.04 7.72 24.49 33.58 61.14 113.19 - 124.33
+/- S&P 500 -0.95 1.12 -26.54 -27.51 4.37 -10.11 - -4.23

Strategy Description

Summary

Mach 3 is an innovative medium-term CTA based on new theory in financial mathematics - Multifractal Analysis for Financial Time Series, Signal Processing, Adaptive Prediction Models.... Read More

Account & Fees

Type Fund
Minimum Investment € 100k
Trading Level Incremental Increase € 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $20.00
Available to US Investors No

Subscriptions

High Water Mark Yes
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements Any Investor
Lock-up Period 0

Trading

Trading Frequency 1500 RT/YR/$M
Avg. Margin-to-Equity 30%
Targeted Worst DD -30.00%
Worst Peak-to-Trough 30.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 20.00%
4-12 Months 30.00%
1-3 Months 30.00%
1-30 Days 20.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Arbitrage
15.00%
Counter-trend
10.00%
Momentum
15.00%
Pattern Recognition
10.00%
Spreading/hedging
10.00%
Technical
15.00%
Trend-following
25.00%
Strategy Pie Chart

Composition

Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
25.00%
VIX
25.00%
Composition Pie Chart

Summary

Mach 3 is an innovative medium-term CTA based on new theory in financial mathematics - Multifractal Analysis for Financial Time Series, Signal Processing, Adaptive Prediction Models.

Investment Strategy

Its quantitative approach puts innovation and risk management at the heart of portfolio construction. Our strategies are dynamically driven by our innovative risk management models

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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
-29.61 9 6 1/1/2018 10/1/2018
-17.84 7 3 1/1/0001 12/1/2015
-10.32 6 - 11/1/2020 5/1/2021
-9.64 4 2 7/1/2016 11/1/2016
-6.03 1 1 4/1/2019 5/1/2019
-5.64 1 1 3/1/2016 4/1/2016
-4.42 1 3 5/1/2017 6/1/2017
-4.35 2 3 8/1/2019 10/1/2019
-3.47 2 2 1/1/2020 3/1/2020
-3.32 2 2 7/1/2020 9/1/2020
-2.07 1 1 11/1/2017 12/1/2017
-2.00 1 1 5/1/2016 6/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
42.43 6 11/1/2018 4/1/2019
35.60 6 12/1/2016 5/1/2017
22.02 3 1/1/2016 3/1/2016
20.94 3 6/1/2019 8/1/2019
18.89 3 9/1/2017 11/1/2017
12.40 2 10/1/2020 11/1/2020
11.50 1 1/1/2018 1/1/2018
8.94 4 4/1/2020 7/1/2020
8.84 3 6/1/2021 8/1/2021
8.71 1 7/1/2016 7/1/2016
8.09 1 5/1/2016 5/1/2016
5.79 1 1/1/2020 1/1/2020
5.74 1 10/1/2015 10/1/2015
5.24 1 7/1/2015 7/1/2015
4.54 1 7/1/2017 7/1/2017
3.54 1 11/1/2019 11/1/2019
1.93 1 4/1/2021 4/1/2021
1.49 1 2/1/2021 2/1/2021
0.79 1 9/1/2018 9/1/2018
0.78 1 3/1/2018 3/1/2018
0.07 1 7/1/2018 7/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.51 2 8/1/2015 9/1/2015
-11.46 3 4/1/2018 6/1/2018
-10.98 1 10/1/2018 10/1/2018
-9.64 4 8/1/2016 11/1/2016
-8.14 2 12/1/2020 1/1/2021
-6.54 1 8/1/2018 8/1/2018
-6.07 1 6/1/2015 6/1/2015
-6.03 1 5/1/2019 5/1/2019
-5.99 1 2/1/2018 2/1/2018
-5.85 2 11/1/2015 12/1/2015
-5.64 1 4/1/2016 4/1/2016
-4.45 1 5/1/2021 5/1/2021
-4.42 1 6/1/2017 6/1/2017
-4.35 2 9/1/2019 10/1/2019
-3.47 2 2/1/2020 3/1/2020
-3.32 2 8/1/2020 9/1/2020
-2.47 1 12/1/2019 12/1/2019
-2.09 1 8/1/2017 8/1/2017
-2.07 1 12/1/2017 12/1/2017
-2.00 1 6/1/2016 6/1/2016
-1.23 1 3/1/2021 3/1/2021
Show More

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 9 3.99 7/2021
Diversified Trader Index Month 9 2.52 6/2021
IASG CTA Index 5 Year 2 173.49 2015 - 2020
Diversified Trader Index Month 5 12.24 11/2020
IASG CTA Index Month 7 12.24 11/2020
Systematic Trader Index Month 7 12.24 11/2020
Diversified Trader Index Month 5 2.76 6/2020
Diversified Trader Index Month 6 2.81 5/2020
IASG CTA Index Month 8 5.79 1/2020
Systematic Trader Index Month 8 5.79 1/2020
Diversified Trader Index Month 8 5.79 1/2020
IASG CTA Index 3 Year 6 77.55 2016 - 2019
IASG CTA Index Annual 3 37.66 2019
Systematic Trader Index Month 9 3.54 11/2019
IASG CTA Index Month 10 3.54 11/2019
Diversified Trader Index Month 7 3.54 11/2019
IASG CTA Index Month 4 5.25 7/2019
Systematic Trader Index Month 6 5.25 7/2019
Diversified Trader Index Month 5 5.25 7/2019
Systematic Trader Index Month 3 12.43 6/2019
Diversified Trader Index Month 2 12.43 6/2019
IASG CTA Index Month 2 12.43 6/2019
IASG CTA Index Month 10 4.74 4/2019
Diversified Trader Index Month 10 4.74 4/2019
Systematic Trader Index Month 9 4.74 4/2019
IASG CTA Index Month 8 10.90 3/2019
Diversified Trader Index Month 5 10.90 3/2019
Systematic Trader Index Month 6 10.90 3/2019
IASG CTA Index Month 6 6.27 1/2019
Systematic Trader Index Month 8 6.27 1/2019
Diversified Trader Index Month 7 6.27 1/2019
Diversified Trader Index Month 5 9.27 12/2018
IASG CTA Index Month 2 9.27 12/2018
IASG CTA Index 3 Year 5 64.92 2015 - 2018
Systematic Trader Index Month 5 9.27 12/2018
Systematic Trader Index Month 5 11.50 1/2018
IASG CTA Index Month 5 11.50 1/2018
Diversified Trader Index Month 5 11.50 1/2018
IASG CTA Index Annual 3 44.71 2017
Diversified Trader Index Month 5 3.16 11/2017
Systematic Trader Index Month 8 3.16 11/2017
IASG CTA Index Month 10 3.16 11/2017
Diversified Trader Index Month 5 11.03 10/2017
IASG CTA Index Month 6 11.03 10/2017
Systematic Trader Index Month 5 11.03 10/2017
Diversified Trader Index Month 3 3.80 9/2017
Systematic Trader Index Month 1 3.80 9/2017
IASG CTA Index Month 6 3.80 9/2017
Systematic Trader Index Month 6 4.62 5/2017
Diversified Trader Index Month 8 4.62 5/2017
Systematic Trader Index Month 1 6.52 3/2017
Diversified Trader Index Month 2 6.52 3/2017

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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