Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Rcube Genio Capital Systematic Macro program is a 100% systematic short/mid-term managed futures program, using predominantly price data as input (some macro fundamental data as support). The program trades a concentrated portfolio of about 30 of the most liquid futures over four asset classes (equity indices, interest rates, currencies, and commodities) globally.
Investment Strategy
Genio Capital Systematic Macro consists of several sub-models (sub-strategies) that can be classified into three different categories: directional, relative value and basket models. The combined result of these three model types is a single directional trend following position in each market.
The direction (long/short) and size of the exposure in these markets dynamically change over time, depending on the strength of the trends (directional models) and depending on cross-asset relationships (relative value and basket models).
Risk Management
The direction (long/short) and size of the exposure in these markets dynamically change over time, depending on the strength of the trends (directional models) and depending on cross-asset relationships (relative value and basket models).
The portfolio constraints are incorporated in the risk management on several levels:
- On the portfolio level, the portfolio is automatically monitored from an exposure and diversification point-of-view.
- On the asset class level, model diversification, including dedicated risk management models, is key to keep the portfolio within risk limits.
- On a model level, the models adjust themselves constantly and a machine-learning based algorithm allocates to the models based on past and forecasted behavior.
- On the instrument level there are stop losses based on reverse signals, initial plus trailing stops and time.
AUM & Cumulative Returns
Distribution
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
Rcube Asset Management Rcube Genio Capital Systematic Macro
Average RoR
0.49%
Max Gain
8.24%
Gain Frequency
55.79%
Average Gain
1.93%
Gain Deviation
2.06%
Risk
Standard Deviation
2.44%
Worst Loss
-5.01%
Loss Frequency
43.16%
Average Loss
-1.36%
Loss Deviation
1.51%
Reward/Risk
Sharpe (RFR=1%)
0.17
Skewness
0.78
Kurtosis
2.68
Reward
Rcube Asset Management Rcube Genio Capital Systematic Macro
Compound RoR
5.67%
Average RoR
5.78%
Max Gain
13.37%
Gain Frequency
87.37%
Average Gain
6.66%
Gain Deviation
7.15%
Risk
Standard Deviation
8.47%
Worst Loss
-0.31%
Loss Frequency
12.63%
Average Loss
-0.31%
Loss Deviation
5.24%
Reward/Risk
Sharpe (RFR=1%)
0.58
Skewness
0.09
Kurtosis
-4.45
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 (Months)
Recovery (Months)
Peak
Valley
-8.15
3
2
8/2019
11/2019
-5.10
13
—
9/2022
10/2023
-4.92
1
2
5/2017
6/2017
-4.84
2
8
8/2018
10/2018
-4.83
1
4
2/2020
3/2020
-4.17
2
3
11/2021
1/2022
-4.16
1
2
2/2018
3/2018
-3.86
2
2
8/2020
10/2020
-1.93
2
1
5/2018
7/2018
-1.64
2
1
4/2021
6/2021
-1.55
1
1
8/2017
9/2017
-1.10
1
1
8/2021
9/2021
-0.62
2
2
12/2020
2/2021
-0.31
1
1
4/2022
5/2022
-0.30
1
1
11/2017
12/2017
-0.06
1
1
3/2017
4/2017
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
15.01
6
3/2019
8/2019
12.01
3
12/2019
2/2020
10.99
2
4/2018
5/2018
9.84
2
1/2018
2/2018
9.25
2
7/2017
8/2017
5.67
5
4/2020
8/2020
5.27
3
2/2022
4/2022
4.53
2
11/2020
12/2020
3.73
2
7/2021
8/2021
3.37
1
8/2018
8/2018
3.16
2
10/2017
11/2017
3.08
2
11/2023
12/2023
3.01
4
6/2022
9/2022
2.42
1
11/2018
11/2018
2.26
2
10/2021
11/2021
2.00
1
5/2017
5/2017
1.65
2
3/2021
4/2021
1.51
2
5/2023
6/2023
1.35
1
11/2024
11/2024
1.10
1
1/2019
1/2019
0.97
1
6/2024
6/2024
0.67
1
3/2017
3/2017
0.46
1
2/2024
2/2024
0.26
1
9/2024
9/2024
0.23
1
1/2025
1/2025
0.09
1
3/2023
3/2023
0.08
1
4/2024
4/2024
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-8.15
3
9/2019
11/2019
-4.92
1
6/2017
6/2017
-4.84
2
9/2018
10/2018
-4.83
1
3/2020
3/2020
-4.17
2
12/2021
1/2022
-4.16
1
3/2018
3/2018
-3.86
2
9/2020
10/2020
-3.81
5
10/2022
2/2023
-2.78
4
7/2023
10/2023
-1.93
2
6/2018
7/2018
-1.79
1
12/2018
12/2018
-1.64
2
5/2021
6/2021
-1.55
1
9/2017
9/2017
-1.48
1
10/2024
10/2024
-1.10
1
9/2021
9/2021
-0.91
1
2/2019
2/2019
-0.72
2
7/2024
8/2024
-0.62
2
1/2021
2/2021
-0.61
1
12/2024
12/2024
-0.44
1
1/2024
1/2024
-0.31
1
5/2022
5/2022
-0.30
1
12/2017
12/2017
-0.15
1
5/2024
5/2024
-0.12
1
4/2023
4/2023
-0.06
1
4/2017
4/2017
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
