Managed Futures Database, Resource & Tools

Program Details

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Xiva Asset Management Limited 

Axiom Intraday Futures

Manager: Manuel Bossi

Address: Columbus Centre, Road Town, Tortola (British Virgin Islands), , United Kingdom

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Sep 3, 2012
AUM:$200,000
QEP:Yes
Incentive Fee:30%
Annual Mgt Fee:0%
Min Investment:$100,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:-6.80%67.98%
Annual ROR:-34.48%2146.40%
YTD:0.00%5.53%
1 Year:0.00%14.71%
Alpha:-3.40
Beta:-0.26
Statistics Program S&P 500
Average Monthly Gain:N/A2.42%
Average Monthly Loss:-3.46%-1.98%
Winning Months:01
Losing Months:21
Current DD:6.800.00
Max DD:6.800.00
Sharpe Ratio (RF 1%):-12.49
Annualized Std Dev:2.84

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodIntraday
---------------------------
Trend Following:70%
Volatility:30%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2012-4.04-2.88-6.80

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

AXIOM is an intraday trading strategy for futures based on volatility breakouts. The strategy will take long or short positions when an increase in volatility and trending bias has been detected. A special filter allows the system to capture intraday trends in their infancy and avoids opening positions when the trend has gone too far. Each open position is protected by a volatility based stop. All positions are closed at the end of the day.

AXIOM consists of a fully automated portfolio trading the following futures markets: Crude Oil, Eurex Dax, Eurex Bund, Nat Gas, Mini Russell, Emini S&P Midcap 400, Ibex35. The same system parameters are applied to all markets in order to minimize the risk of over optimization. The trade management is completely automated and executed in our server hosted in a datacenter in New York.

Company Info

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.

Manager Info

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