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/ Vivienne Investissement / MACH 5 PROGRAM (Proprietary)

Vivienne Investissement : MACH 5 PROGRAM (Proprietary)

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Year-to-Date
N / A
Dec Performance
22.58%
Min Investment
€ 1,500k
Mgmt. Fee
0%
Perf. Fee
20.00%
Annualized Vol
39.69%
Sharpe (RFR=1%)
0.50
CAROR
14.06%
Assets
€ 44.1M
Worst DD
-53.32
S&P Correlation
0.40
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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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
7/2014
MACH 5 PROGRAM (Proprietary) 22.58 - - - -29.79 51.78 - 80.75
S&P 500 -9.18 - - - 21.41 34.26 - 110.29
+/- S&P 500 31.76 - - - -51.20 17.53 - -29.54

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

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

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
-53.32 9 - 1/1/2018 10/1/2018
-35.80 7 14 5/1/2015 12/1/2015
-13.70 1 2 11/1/2014 12/1/2014
-12.34 1 4 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
-4.59 1 1 11/1/2017 12/1/2017
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Consecutive Gains

Run-up Length (Mos.) Start End
74.49 6 12/1/2016 5/1/2017
36.35 3 9/1/2017 11/1/2017
33.05 2 11/1/2018 12/1/2018
31.36 3 1/1/2016 3/1/2016
29.39 2 10/1/2014 11/1/2014
23.02 1 1/1/2018 1/1/2018
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
2.00 1 3/1/2018 3/1/2018
1.53 1 9/1/2018 9/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-33.97 5 4/1/2018 8/1/2018
-24.45 2 8/1/2015 9/1/2015
-21.29 1 10/1/2018 10/1/2018
-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
-13.28 1 2/1/2018 2/1/2018
-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
-4.59 1 12/1/2017 12/1/2017
-4.24 1 8/1/2017 8/1/2017
-2.92 1 6/1/2016 6/1/2016
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year
Number of Periods54.0052.0049.0043.0037.0031.0019.00
Percent Profitable57.4159.6265.3165.1272.9796.77100.00
Average Period Return1.754.078.8721.5540.7260.7781.50
Average Gain9.8816.4425.3343.6360.2563.2881.50
Average Loss-9.20-14.18-22.11-19.66-12.03-14.43
Best Period23.0238.4274.49117.80118.81190.01143.14
Worst Period-23.50-34.25-42.43-42.55-25.78-14.4334.43
Standard Deviation11.4618.4727.3339.8047.4952.6025.39
Gain Standard Deviation6.4211.4316.3831.0140.3551.5825.39
Loss Standard Deviation6.459.3212.6310.208.97
Sharpe Ratio (1%)0.150.210.310.520.831.123.09
Average Gain / Average Loss1.071.161.152.225.014.38
Profit / Loss Ratio1.451.712.164.1413.52131.54
Downside Deviation (10%)7.5011.3716.1815.6911.204.68
Downside Deviation (5%)7.3210.8415.1413.528.312.95
Downside Deviation (0%)7.2810.7114.8912.997.662.59
Sortino Ratio (10%)0.180.250.401.052.9610.80
Sortino Ratio (5%)0.230.350.551.524.7219.90
Sortino Ratio (0%)0.240.380.601.665.3123.45

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.

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