Vivienne Investissement : MACH 3

Year-to-Date
29.01%
Sep Performance
3.80%
Min Investment
€ 100k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
20.29%
Sharpe (RFR=1%)
0.70
CAROR
13.92%
Assets
€ 10.1M
Worst DD
-17.84
S&P Correlation
0.56

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
6/2015
MACH 3 3.80 6.24 29.01 26.81 - - - 35.54
S&P 500 1.93 3.96 12.36 16.01 - - - 21.93
+/- S&P 500 1.87 2.29 16.66 10.79 - - - 13.61

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

VIX
25.00%
Currency Futures
25.00%
Interest Rates
25.00%
Stock Indices
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.

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
-17.84 7 3 1/1/0001 12/1/2015
-9.64 4 2 7/1/2016 11/1/2016
-5.64 1 1 3/1/2016 4/1/2016
-4.42 1 3 5/1/2017 6/1/2017
-2.00 1 1 5/1/2016 6/1/2016
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Consecutive Gains

Run-up Length (Mos.) Start End
35.60 6 12/1/2016 5/1/2017
22.02 3 1/1/2016 3/1/2016
8.71 1 7/1/2016 7/1/2016
8.09 1 5/1/2016 5/1/2016
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
3.80 1 9/1/2017 9/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-16.51 2 8/1/2015 9/1/2015
-9.64 4 8/1/2016 11/1/2016
-6.07 1 6/1/2015 6/1/2015
-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
-2.09 1 8/1/2017 8/1/2017
-2.00 1 6/1/2016 6/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable53.5765.3882.61100.0090.91
Average Period Return1.264.1410.8221.6835.51
Average Gain5.879.9315.1521.6839.21
Average Loss-4.06-6.79-9.77-1.57
Best Period8.7122.0235.6034.8655.27
Worst Period-15.13-16.10-12.802.26-1.57
Standard Deviation5.8610.1812.679.1519.69
Gain Standard Deviation1.916.458.909.1516.21
Loss Standard Deviation3.965.904.21
Sharpe Ratio (1%)0.200.380.812.261.73
Average Gain / Average Loss1.451.461.5525.01
Profit / Loss Ratio1.672.767.36250.12
Downside Deviation (10%)4.005.745.350.672.76
Downside Deviation (5%)3.835.284.550.93
Downside Deviation (0%)3.795.164.350.47
Sortino Ratio (10%)0.210.511.5625.0610.11
Sortino Ratio (5%)0.310.742.2736.72
Sortino Ratio (0%)0.330.802.4975.11

Top Performer Badges

Index Award Type Rank Performance Period
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.