Vivienne Investissement : MACH 3

Year-to-Date: 11.24%
Aug Performance: -0.01%

Min Investment: € 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 19.57%
Sharpe (RFR=1%): 0.76
CAROR: 14.92%

Assets: € 30.9M
Worst DD: -29.61
S&P Correlation: 0.38

Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page

Growth of 1,000 - VAMI

Monthly Performance

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	-0.01	4.66	11.24	7.44	58.90	147.32	-	107.49
S&P 500	7.01	14.98	8.34	19.61	40.39	75.68	-	67.94
+/- S&P 500	-7.02	-10.32	2.89	-12.17	18.51	71.64	-	39.56

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%

Composition

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

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

Compare to:

{{result.name}} {{result.description}}

Index: Chart Type:

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:

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
-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
-2.07	1	1	11/1/2017	12/1/2017
-2.00	1	1	5/1/2016	6/1/2016
-0.01	1	-	7/1/2020	8/1/2020

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
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
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

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
-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
-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
-0.01	1	8/1/2020	8/1/2020

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	63.00	61.00	58.00	52.00	46.00	40.00	28.00	16.00
Percent Profitable	57.14	65.57	75.86	88.46	93.48	100.00	100.00	100.00
Average Period Return	1.32	4.23	9.51	20.81	32.10	40.49	62.76	103.80
Average Gain	5.28	10.04	15.81	25.18	34.69	40.49	62.76	103.80
Average Loss	-3.95	-6.83	-10.28	-12.68	-5.04
Best Period	12.43	22.02	42.43	57.72	61.61	90.61	94.30	132.40
Worst Period	-15.13	-16.14	-22.34	-20.71	-7.09	16.41	36.73	59.69
Standard Deviation	5.65	10.05	14.76	19.10	19.98	19.54	14.44	19.27
Gain Standard Deviation	3.25	6.48	10.32	15.43	17.94	19.54	14.44	19.27
Loss Standard Deviation	3.38	4.98	6.81	7.52	3.03
Sharpe Ratio (1%)	0.22	0.40	0.61	1.04	1.53	1.97	4.14	5.18
Average Gain / Average Loss	1.34	1.47	1.54	1.99	6.88
Profit / Loss Ratio	1.78	2.80	4.84	15.23	98.59
Downside Deviation (10%)	3.58	5.52	7.05	6.49	3.37
Downside Deviation (5%)	3.42	5.04	6.20	5.20	1.79
Downside Deviation (0%)	3.38	4.92	5.99	4.90	1.43
Sortino Ratio (10%)	0.26	0.54	1.00	2.44	7.28
Sortino Ratio (5%)	0.36	0.79	1.45	3.81	17.12
Sortino Ratio (0%)	0.39	0.86	1.59	4.25	22.38

Top Performer Badges

Index	Award Type	Rank	Performance	Period
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
Diversified Trader Index	Month	8	5.79	1/2020
Systematic 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
Diversified Trader Index	Month	7	3.54	11/2019
IASG CTA Index	Month	10	3.54	11/2019
Systematic Trader Index	Month	9	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
Diversified Trader Index	Month	5	10.90	3/2019
Systematic Trader Index	Month	6	10.90	3/2019
IASG CTA Index	Month	8	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
Diversified Trader Index	Month	5	11.50	1/2018
Systematic 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
IASG CTA Index	Month	6	11.03	10/2017
Diversified Trader Index	Month	5	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.

^#5

Top Performer

DIVERSIFIED TRADER INDEX

JUNE
2020

Get Free Research Report on This CTA

Get additional information on Vivienne Investissement, including performance, charts, statistics, ratios, and more.

First Name is required.

Last Name is required.

Email is required. This is not a valid email.

Phone is required.

* Required fields

More Programs by Vivienne Investissement

Program Name	CAROR
MACH 3	14.92%
OUESSANT UCITS FUND (A)	4.19%

IASG Activity

Blends 9
Portfolios 7
Watchlists 13

Find the right managed futures programs for you with our comprehensive free CTA database.

Vivienne Investissement : MACH 3

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

Connect With Us for Latest CTA News & Rankings

Account Log In

Reset Password

Register for an Account

Thank You

Find the right managed futures programs for you with our comprehensive free CTA database.

Vivienne Investissement : MACH 3

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

{{title}}

{{title}}

Connect With Us for Latest CTA News & Rankings

Get the Full Picture

Register now to access our complete CTA database: