Vivienne Investissement : MACH 5 PROGRAM (Proprietary) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since7/2014 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 SummaryReturns 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% Composition Currency Futures 25.00% Interest Rates 25.00% Stock Indices 25.00% VIX 25.00% SummaryReturns 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 StrategyIts quantitative approach puts innovation and risk management at the heart of portfolio construction. Our strategies are dynamically driven by our innovative risk management. 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 -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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel