Vivienne Investissement : MACH 5 PROGRAM (Proprietary)

Year-to-Date
52.31%
Sep Performance
7.18%
Min Investment
$ 1,500k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
36.75%
Sharpe (RFR=1%)
0.72
CAROR
22.80%
Assets
$ 42.1M
Worst DD
-35.80
S&P Correlation
0.60

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
7/2014
MACH 5 PROGRAM (Proprietary) 7.18 11.92 52.31 47.43 89.55 - - 94.92
S&P 500 1.93 3.96 12.36 16.01 27.54 - - 30.29
+/- S&P 500 5.25 7.96 39.96 31.42 62.01 - - 64.62

Strategy Description

Summary

Returns reported by the manager are gross of fees.

Mach 5 is an innovative High Vol Medium Term CTA Program. The trading process is based on new theory in Financial mathematics - Multifractal Analysis for Financial Time Series, Signal Processing, Adaptive prediction mod... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,500k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
0%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
2550 RT/YR/$M
Avg. Margin-to-Equity
29%
Targeted Worst DD
-50.00%
Worst Peak-to-Trough
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
50.00%
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%
Stock Indices
25.00%
Currency Futures
25.00%
Interest Rates
25.00%
Composition Pie Chart

Summary

Returns reported by the manager are gross of fees.

Mach 5 is an innovative High Vol Medium Term CTA Program. The trading process is 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.

   

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
-35.80 7 14 5/1/2015 12/1/2015
-13.70 1 2 11/1/2014 12/1/2014
-12.34 1 - 5/1/2017 6/1/2017
-8.71 1 1 8/1/2014 9/1/2014
-7.29 1 1 1/1/0001 7/1/2014
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Consecutive Gains

Run-up Length (Mos.) Start End
74.49 6 12/1/2016 5/1/2017
31.36 3 1/1/2016 3/1/2016
29.39 2 10/1/2014 11/1/2014
22.98 5 1/1/2015 5/1/2015
21.50 1 8/1/2014 8/1/2014
15.90 1 7/1/2016 7/1/2016
12.80 1 5/1/2016 5/1/2016
11.32 2 10/1/2015 11/1/2015
9.05 1 7/1/2017 7/1/2017
8.39 1 7/1/2015 7/1/2015
7.18 1 9/1/2017 9/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-24.45 2 8/1/2015 9/1/2015
-20.70 1 6/1/2015 6/1/2015
-17.00 4 8/1/2016 11/1/2016
-13.70 1 12/1/2014 12/1/2014
-12.34 1 6/1/2017 6/1/2017
-11.20 1 12/1/2015 12/1/2015
-9.25 1 4/1/2016 4/1/2016
-8.71 1 9/1/2014 9/1/2014
-7.29 1 7/1/2014 7/1/2014
-4.24 1 8/1/2017 8/1/2017
-2.92 1 6/1/2016 6/1/2016
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods39.0037.0034.0028.0022.0016.00
Percent Profitable61.5464.8676.4764.2968.1893.75
Average Period Return2.296.5612.6917.1729.7535.49
Average Gain9.2616.2022.9336.1748.0738.81
Average Loss-8.87-11.25-20.58-17.03-9.51-14.43
Best Period21.5038.4274.4969.0294.60112.55
Worst Period-23.50-34.25-33.06-23.27-19.38-14.43
Standard Deviation10.6117.0924.3129.7441.5232.82
Gain Standard Deviation5.1311.3816.7718.0137.9531.05
Loss Standard Deviation6.759.9511.304.385.94
Sharpe Ratio (1%)0.210.370.500.540.681.02
Average Gain / Average Loss1.041.441.112.125.052.69
Profit / Loss Ratio1.672.663.623.8210.8340.35
Downside Deviation (10%)7.039.3212.3113.4010.256.51
Downside Deviation (5%)6.878.8711.4411.066.954.11
Downside Deviation (0%)6.838.7511.2210.486.203.61
Sortino Ratio (10%)0.270.570.830.912.163.88
Sortino Ratio (5%)0.320.711.071.464.078.14
Sortino Ratio (0%)0.340.751.131.644.809.84

Top Performer Badges

Index Award Type Rank Performance Period
Systematic Trader Index Month 2 18.22 7/2016
Diversified Trader Index Month 2 18.22 7/2016
Trend Following Strategy Index Month 2 18.22 7/2016
Trend Following Strategy Index Month 1 13.02 5/2016
Systematic Trader Index Month 1 13.02 5/2016
Diversified Trader Index Month 1 13.02 5/2016
Trend Following Strategy Index Month 2 9.45 3/2016
Diversified Trader Index Month 4 9.45 3/2016
Systematic Trader Index Month 5 9.45 3/2016
Systematic Trader Index Month 8 8.60 2/2016
Diversified Trader Index Month 8 8.60 2/2016
Trend Following Strategy Index Month 5 8.60 2/2016
Diversified Trader Index Month 4 11.77 1/2016
Trend Following Strategy Index Month 3 11.77 1/2016
Systematic Trader Index Month 4 11.77 1/2016
Diversified Trader Index Month 1 10.35 10/2015
Systematic Trader Index Month 2 10.35 10/2015
Trend Following Strategy Index Month 1 10.35 10/2015

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