Xiva Asset Management Limited : Vector Long-Short Futures

archived programs
Year-to-Date
N / A
Feb Performance
-10.54%
Min Investment
$ 100k
Mgmt. Fee
0%
Perf. Fee
30.00%
Annualized Vol
28.14%
Sharpe (RFR=1%)
0.02
CAROR
-2.22%
Assets
$ 100k
Worst DD
-31.82
S&P Correlation
-0.28

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 Feb Qtr YTD 1yr 3yr 5yr 10yr Since
2/2011
Vector Long-Short Futures -10.54 - - - - - - -4.56
S&P 500 1.11 - - - - - - 161.01
+/- S&P 500 -11.65 - - - - - - -165.57

Strategy Description

Summary

XIVA Asset Management Limited (XIVA) is an independent asset manager specialized in the research, development and management of systematic trading strategies. Leveraging cutting-edge technology, scientific research and advanced statistical analysis XIVA develops proprietary trading... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 100k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 0%
Performance Fee 30.00%
Average Commission $7.00
Available to US Investors Yes

Subscriptions

High Water Mark No
Subscription Frequency Daily
Redemption Frequency Daily
Investor Requirements QEP
Lock-up Period 0

Trading

Trading Frequency 5000 RT/YR/$M
Avg. Margin-to-Equity 25%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 0%
4-12 Months 0%
1-3 Months 0%
1-30 Days 100.00%
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
25.00%
Trend-following
50.00%
Other
25.00%
Strategy Pie Chart

Composition

Grains
37.00%
Energy
22.00%
Interest Rates
17.00%
Precious Metals
11.00%
Currency Futures
7.00%
Softs
5.00%
Stock Indices
1.00%
Composition Pie Chart

Summary

XIVA Asset Management Limited (XIVA) is an independent asset manager specialized in the research, development and management of systematic trading strategies. Leveraging cutting-edge technology, scientific research and advanced statistical analysis XIVA develops proprietary trading systems in an attempt to profit over time from directional price movements in commodity, currency, fixed income and stock indices futures worldwide. These trading systems are exclusively offered to our clients as Managed Futures Programs through an individually managed account structure. XIVA Asset Management is registered with the NFA (ID 0432303) and 4.7 exempt. The performance figures are for a proprietary account and do not include manager fees.

Investment Strategy

The Vector Long-Short Futures program (Vector) is a unique set of efficient, rule based, trading strategies that trade a dynamic and diversified portfolio of liquid exchange traded futures contracts from a broad universe worldwide. These investments include futures contracts on commodities such as industrial and precious metals, agricultural and energy products, bonds, interest rates, currencies and stock indices. The portfolio’s risk is currently diversified across over 30 markets. Vector employs a multi-system approach based on trend following, volatility breakout and range expansion/contraction concepts. The program integrates price based inputs into its algorithms, and participates mostly in short-term time frames, with an average holding period of 7 days.

Risk Management

Vector has no directional bias and can go long or short in an attempt to benefit from price patterns that represent good profit expectancy over time. Position sizing is dynamic and set by risk and volatility. Each position is protected by a dynamically adjusted, volatility based, stop loss. Vector has been crafted to generate superior risk adjusted returns that are uncorrelated to that of traditional equity and fixed income markets, as well as most other alternative investments.

   

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:
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Risk
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
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Average Gain:
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Risk
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
-31.82 19 - 7/1/2011 2/1/2013
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Consecutive Gains

Run-up Length (Mos.) Start End
39.97 6 2/1/2011 7/1/2011
12.81 1 7/1/2012 7/1/2012
11.39 2 4/1/2012 5/1/2012
10.25 1 2/1/2012 2/1/2012
5.77 2 12/1/2012 1/1/2013
3.16 1 9/1/2011 9/1/2011
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Consecutive Losses

Run-up Length (Mos.) Start End
-27.60 4 8/1/2012 11/1/2012
-26.62 4 10/1/2011 1/1/2012
-10.54 1 2/1/2013 2/1/2013
-3.63 1 8/1/2011 8/1/2011
-1.36 1 3/1/2012 3/1/2012
-0.16 1 6/1/2012 6/1/2012
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods25.0023.0020.0014.008.00
Percent Profitable52.0047.8345.0035.7137.50
Average Period Return0.140.26-0.96-5.27-4.44
Average Gain6.0313.3318.781.7923.88
Average Loss-7.49-11.72-17.12-9.19-21.43
Best Period12.8127.9039.974.4839.32
Worst Period-15.19-26.16-30.12-15.22-29.25
Standard Deviation8.1214.8120.926.6725.52
Gain Standard Deviation4.628.2512.951.6514.75
Loss Standard Deviation5.727.017.684.768.29
Sharpe Ratio (1%)0.010.00-0.07-0.94-0.23
Average Gain / Average Loss0.801.141.100.191.11
Profit / Loss Ratio1.051.040.900.110.67
Downside Deviation (10%)6.0610.5415.5112.1123.68
Downside Deviation (5%)5.899.9114.158.9319.05
Downside Deviation (0%)5.859.7613.818.2017.93
Sortino Ratio (10%)-0.04-0.09-0.22-0.85-0.51
Sortino Ratio (5%)0.010.00-0.10-0.70-0.31
Sortino Ratio (0%)0.020.03-0.07-0.64-0.25

Top Performer Badges

Index Award Type Rank Performance Period

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