Vivienne Investissement : MACH 5 PROGRAM (Proprietary)

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=0%): 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	-	-	-	-1.05	28.74	-	80.75
S&P 500	-9.18	-	-	-	21.41	34.26	-	49.32
+/- S&P 500	31.76	-	-	-	-22.46	-5.52	-	31.44

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%

Composition

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

Summary

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.

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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

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
Compound RoR:
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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

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

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

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	54.00	52.00	49.00	43.00	37.00	31.00	19.00
Percent Profitable	57.41	59.62	65.31	65.12	72.97	96.77	100.00
Average Period Return	1.75	4.07	8.87	21.55	40.72	60.77	81.50
Average Gain	9.88	16.44	25.33	43.63	60.25	63.28	81.50
Average Loss	-9.20	-14.18	-22.11	-19.66	-12.03	-14.43
Best Period	23.02	38.42	74.49	117.80	118.81	190.01	143.14
Worst Period	-23.50	-34.25	-42.43	-42.55	-25.78	-14.43	34.43
Standard Deviation	11.46	18.47	27.33	39.80	47.49	52.60	25.39
Gain Standard Deviation	6.42	11.43	16.38	31.01	40.35	51.58	25.39
Loss Standard Deviation	6.45	9.32	12.63	10.20	8.97
Sharpe Ratio (1%)	0.15	0.21	0.31	0.52	0.83	1.12	3.09
Average Gain / Average Loss	1.07	1.16	1.15	2.22	5.01	4.38
Profit / Loss Ratio	1.45	1.71	2.16	4.14	13.52	131.54
Downside Deviation (10%)	7.50	11.37	16.18	15.69	11.20	4.68
Downside Deviation (5%)	7.32	10.84	15.14	13.52	8.31	2.95
Downside Deviation (0%)	7.28	10.71	14.89	12.99	7.66	2.59
Sortino Ratio (10%)	0.18	0.25	0.40	1.05	2.96	10.80
Sortino Ratio (5%)	0.23	0.35	0.55	1.52	4.72	19.90
Sortino Ratio (0%)	0.24	0.38	0.60	1.66	5.31	23.45

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.

^#2

Top Performer

TREND FOLLOWING STRATEGY INDEX

JULY
2016

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Vivienne Investissement : MACH 5 PROGRAM (Proprietary)

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

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