Vivienne Investissement : MACH 3 Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 6.45% Feb Performance 1.49% Min Investment € 100k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 19.73% Sharpe (RFR=1%) 0.70 CAROR 13.79% Assets € 33.3M Worst DD -29.61 S&P Correlation 0.42 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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since6/2015 MACH 3 1.49 -6.77 -6.45 9.40 31.92 122.43 - 110.22 S&P 500 5.94 8.65 4.76 33.19 44.98 101.57 - 88.78 +/- S&P 500 -4.45 -15.42 -11.21 -23.80 -13.06 20.86 - 21.44 Strategy Description SummaryMach 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% Composition Currency Futures 25.00% Interest Rates 25.00% Stock Indices 25.00% VIX 25.00% SummaryMach 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 StrategyIts quantitative approach puts innovation and risk management at the heart of portfolio construction. Our strategies are dynamically driven by our innovative risk management models 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 -29.61 9 6 1/1/2018 10/1/2018 -17.84 7 3 1/1/0001 12/1/2015 -9.64 4 2 7/1/2016 11/1/2016 -8.14 2 - 11/1/2020 1/1/2021 -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 Show More 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 8.71 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 1.49 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 Show More 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 -4.42 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year Number of Periods69.0067.0064.0058.0052.0046.0034.0022.00 Percent Profitable56.5264.1876.5689.6694.23100.00100.00100.00 Average Period Return1.244.049.1619.8030.8342.8958.41102.70 Average Gain5.239.8914.9123.5533.0342.8958.41102.70 Average Loss-3.94-6.46-9.60-12.68-5.04 Best Period12.4322.0242.4357.7261.6190.6194.30132.40 Worst Period-15.13-16.14-22.34-20.71-7.0916.4122.1959.69 Standard Deviation5.709.8014.1618.4219.4619.9216.6918.76 Gain Standard Deviation3.476.3510.2415.3417.7919.9216.6918.76 Loss Standard Deviation3.354.827.067.523.03 Sharpe Ratio (1%)0.200.390.611.021.512.053.325.26 Average Gain / Average Loss1.331.531.551.866.55 Profit / Loss Ratio1.732.755.0716.10106.96 Downside Deviation (10%)3.595.406.726.153.17 Downside Deviation (5%)3.434.915.904.921.68 Downside Deviation (0%)3.384.795.704.641.35 Sortino Ratio (10%)0.230.521.002.417.34 Sortino Ratio (5%)0.340.771.473.8217.45 Sortino Ratio (0%)0.370.841.614.2722.86 Top Performer Badges Index Award Type Rank Performance Period 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 Systematic Trader Index Month 8 5.79 1/2020 IASG CTA Index Month 8 5.79 1/2020 Diversified Trader Index Month 8 5.79 1/2020 IASG CTA Index Annual 3 37.66 2019 IASG CTA Index 3 Year 6 77.55 2016 - 2019 Diversified Trader Index Month 7 3.54 11/2019 Systematic Trader Index Month 9 3.54 11/2019 IASG CTA Index Month 10 3.54 11/2019 Systematic Trader Index Month 6 5.25 7/2019 Diversified Trader Index Month 5 5.25 7/2019 IASG CTA Index Month 4 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 Systematic Trader Index Month 9 4.74 4/2019 IASG CTA Index Month 10 4.74 4/2019 Diversified Trader Index Month 10 4.74 4/2019 Systematic Trader Index Month 6 10.90 3/2019 IASG CTA Index Month 8 10.90 3/2019 Diversified Trader Index Month 5 10.90 3/2019 Diversified Trader Index Month 7 6.27 1/2019 IASG CTA Index Month 6 6.27 1/2019 Systematic Trader Index Month 8 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 IASG CTA Index Month 5 11.50 1/2018 Systematic Trader 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 Systematic Trader Index Month 5 11.03 10/2017 Diversified Trader Index Month 5 11.03 10/2017 IASG CTA Index Month 6 11.03 10/2017 IASG CTA Index Month 6 3.80 9/2017 Diversified Trader Index Month 3 3.80 9/2017 Systematic Trader Index Month 1 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. x {{title}} x {{title}} Add Cancel