Vivienne Investissement : OUESSANT UCITS FUND

Year-to-Date
8.34%
Apr Performance
1.54%
Min Investment
€ 100k
Mgmt. Fee
1.50%
Perf. Fee
15.00%
Annualized Vol
6.70%
Sharpe (RFR=1%)
0.49
CAROR
4.15%
Assets
€ 52.1M
Worst DD
-12.08
S&P Correlation
0.42

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
5/2012
OUESSANT UCITS FUND 1.54 6.28 8.34 2.40 19.78 20.92 - 32.90
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 - 122.55
+/- S&P 500 -2.39 -2.66 -9.17 -8.84 -21.41 -33.87 - -89.64

Strategy Description

Summary

Ouessant is an innovative low vol 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
5.00
Management Fee
1.50%
Performance Fee
15.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-8.00%
Worst Peak-to-Trough
Sector Focus
Not Specified

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

Trend-following
60.00%
Other
40.00%
Strategy Pie Chart

Composition

Interest Rates
33.00%
Stock Indices
33.00%
VIX
33.00%
Other
1.00%
Composition Pie Chart

Summary

Ouessant is an innovative low vol 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

   

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
-12.08 9 - 1/1/2018 10/1/2018
-9.01 5 17 4/1/2015 9/1/2015
-4.87 5 7 4/1/2013 9/1/2013
-4.54 3 3 7/1/2012 10/1/2012
-3.03 1 2 11/1/2014 12/1/2014
-1.67 1 3 5/1/2017 6/1/2017
-1.00 1 2 8/1/2014 9/1/2014
-0.59 1 1 11/1/2017 12/1/2017
-0.45 1 1 6/1/2014 7/1/2014
-0.20 1 1 5/1/2012 6/1/2012
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Consecutive Gains

Run-up Length (Mos.) Start End
12.25 6 11/1/2018 4/1/2019
10.55 6 12/1/2016 5/1/2017
10.49 6 11/1/2012 4/1/2013
6.15 3 9/1/2017 11/1/2017
6.10 3 1/1/2016 3/1/2016
4.43 4 1/1/2015 4/1/2015
3.98 1 1/1/2018 1/1/2018
3.64 3 4/1/2014 6/1/2014
3.44 1 2/1/2014 2/1/2014
2.93 2 10/1/2013 11/1/2013
2.83 1 7/1/2012 7/1/2012
2.64 1 7/1/2016 7/1/2016
2.61 2 10/1/2014 11/1/2014
2.45 1 5/1/2016 5/1/2016
2.19 2 10/1/2015 11/1/2015
2.11 1 7/1/2015 7/1/2015
1.66 1 8/1/2014 8/1/2014
1.57 1 7/1/2017 7/1/2017
1.11 1 5/1/2012 5/1/2012
0.21 1 9/1/2018 9/1/2018
0.08 1 3/1/2018 3/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-6.85 5 4/1/2018 8/1/2018
-5.77 2 5/1/2015 6/1/2015
-5.44 2 8/1/2015 9/1/2015
-4.87 5 5/1/2013 9/1/2013
-4.54 3 8/1/2012 10/1/2012
-3.70 1 10/1/2018 10/1/2018
-3.32 4 8/1/2016 11/1/2016
-3.03 1 12/1/2014 12/1/2014
-2.28 1 2/1/2018 2/1/2018
-1.98 2 12/1/2013 1/1/2014
-1.93 1 4/1/2016 4/1/2016
-1.88 1 12/1/2015 12/1/2015
-1.67 1 6/1/2017 6/1/2017
-1.00 1 9/1/2014 9/1/2014
-0.79 1 8/1/2017 8/1/2017
-0.67 1 6/1/2016 6/1/2016
-0.59 1 12/1/2017 12/1/2017
-0.45 1 7/1/2014 7/1/2014
-0.30 1 3/1/2014 3/1/2014
-0.20 1 6/1/2012 6/1/2012
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods84.0082.0079.0073.0067.0061.0049.0037.0025.00
Percent Profitable57.1465.8565.8272.6077.6195.08100.00100.00100.00
Average Period Return0.360.991.783.485.797.8910.4313.8920.54
Average Gain1.702.994.486.338.138.3610.4313.8920.54
Average Loss-1.44-2.86-3.43-4.07-2.35-1.23
Best Period4.066.6912.2516.2916.2223.2319.7828.2030.19
Worst Period-5.61-8.24-8.77-8.27-5.02-2.921.383.5410.66
Standard Deviation1.933.384.695.736.085.914.155.094.88
Gain Standard Deviation1.041.952.693.614.735.664.155.094.88
Loss Standard Deviation1.281.882.992.471.261.50
Sharpe Ratio (1%)0.140.220.270.430.701.001.781.933.16
Average Gain / Average Loss1.191.041.311.563.466.82
Profit / Loss Ratio1.582.022.524.1212.00131.91
Downside Deviation (10%)1.462.643.885.095.415.306.699.098.53
Downside Deviation (5%)1.292.112.872.941.920.810.240.09
Downside Deviation (0%)1.251.992.642.471.250.38
Sortino Ratio (10%)-0.03-0.09-0.18-0.30-0.33-0.44-0.80-0.84-0.83
Sortino Ratio (5%)0.210.350.450.842.237.2831.35115.05
Sortino Ratio (0%)0.290.500.671.414.6220.53

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 3 1.31 9/2017
Trend Following Strategy Index Month 4 2.24 3/2017
Trend Following Strategy Index Month 6 1.31 1/2017
Trend Following Strategy Index Month 10 -0.19 8/2016
Trend Following Strategy Index Month 4 2.45 5/2016
Trend Following Strategy Index Month 9 1.67 3/2016
Trend Following Strategy Index Month 7 2.06 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.