Schulenburg Capital

the maya dynamic index

We never cease to be amazed by the amount of bad research conducted. Simply put, bad research is where research short cuts lead to over mining data. The results now dominate our lives, ranging from the poor use of statistics in the press to slippery marketing techniques. To combat this, in our own research we have created a transparent tool for investors to measure the quality and integrity of our research.

The Maya Dynamic Index (MDI) comprises the aggregate gross returns of our quantitative framework, consisting of multiple trading-agents living in an artificial stock market; constantly analyzing and monitoring developed and emerging equity markets worldwide, and making investment decisions automatically, and subsequently placing virtual buy and sell orders as opportunities arise. They are continually adapting to various market regimes, thus simultaneously exploring and exploiting opportunities in a balanced investment approach, where the focus lies in returns and capital protection. In this setting, the combined result offers superior risk-adjusted returns than equity markets.

MDI is calculated daily with cumulative returns shown since January 2006. These results show how the continuous learning agents perform from 2006 to date in a simulated environment. A simulated environment -also known as back-testing- can be a useful metric, particularly when properly and fairly compared with the actual investment over the same period.


Please click the Index below to view long term historical returns.


  ADAPTIVE STRATEGIES ANNUALISED
RETURN
SHARPE
RATIO
SORTINO
RATIO
STANDARD
DEVIATION
LAST
PRICE
LAST DAY
RETURN
YTD
RETURN
          SINCE APRIL 1st 2013
  Maya Dynamic Index
   Maya Dynamic Index
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
181.21
Annualised Returns (%)
9.20
Peak to Trough (%)
10.79
Average Return (%)
0.76
Max. Monthly Return (%)
5.07
Advancing Months (%)
70.92
Declining Months (%)
29.08
Monthly Worst Drawdown (%)
-10.79
Monthly Worst Drawdown Period
3.00
Min. Monthly Return (%)
-6.83
Longest Recovery (Months)
12.00
Mean Recovery (Months)
2.63
Longest Loss Run (Months)
3.00
Sharpe Ratio (Ann)
1.32
Sortino Ratio (Ann)
2.12
Standard Deviation (Ann, %)
7.21
Monthly Downside,Upside Deviation (Ann, %)
5.62,4.52
VaR (99),CVaR (99)
-6.83,-6.83
Correlation (FTSE)
0.83
Correlation (S&P)
0.75
9.20% 1.32 2.12 7.21 181.21 -0.07% 5.18%
  Maya Adaptive Enhanced
   Maya Adaptive Enhanced
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
559.02
Annualised Returns (%)
17.41
Peak to Trough (%)
9.45
Average Return (%)
1.67
Max. Monthly Return (%)
10.94
Advancing Months (%)
73.76
Declining Months (%)
26.24
Monthly Worst Drawdown (%)
-9.19
Monthly Worst Drawdown Period
2.00
Min. Monthly Return (%)
-6.96
Longest Recovery (Months)
9.00
Mean Recovery (Months)
2.16
Longest Loss Run (Months)
2.00
Sharpe Ratio (Ann)
1.73
Sortino Ratio (Ann)
3.45
Standard Deviation (Ann, %)
12.67
Monthly Downside,Upside Deviation (Ann, %)
9.06,8.85
VaR (99),CVaR (99)
-6.96,-6.96
Correlation (FTSE)
0.70
Correlation (S&P)
0.56
17.41% 1.73 3.45 12.67 559.02 -0.16% 9.79%
  Maya Adaptive Global
   Maya Adaptive Global
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
249.29
Annualised Returns (%)
11.23
Peak to Trough (%)
4.74
Average Return (%)
0.91
Max. Monthly Return (%)
5.28
Advancing Months (%)
76.60
Declining Months (%)
23.40
Monthly Worst Drawdown (%)
-4.07
Monthly Worst Drawdown Period
2.00
Min. Monthly Return (%)
-3.77
Longest Recovery (Months)
5.00
Mean Recovery (Months)
1.84
Longest Loss Run (Months)
2.00
Sharpe Ratio (Ann)
1.78
Sortino Ratio (Ann)
3.57
Standard Deviation (Ann, %)
6.42
Monthly Downside,Upside Deviation (Ann, %)
4.65,4.43
VaR (99),CVaR (99)
-3.77,-3.77
Correlation (FTSE)
0.68
Correlation (S&P)
0.56
11.23% 1.78 3.57 6.42 249.29 -0.07% 5.04%
  Maya Adaptive Global SIC
   Maya Adaptive Global SIC
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
215.66
Annualised Returns (%)
10.35
Peak to Trough (%)
9.72
Average Return (%)
0.85
Max. Monthly Return (%)
5.93
Advancing Months (%)
67.14
Declining Months (%)
32.86
Monthly Worst Drawdown (%)
-9.51
Monthly Worst Drawdown Period
5.00
Min. Monthly Return (%)
-4.99
Longest Recovery (Months)
11.00
Mean Recovery (Months)
2.91
Longest Loss Run (Months)
5.00
Sharpe Ratio (Ann)
1.48
Sortino Ratio (Ann)
2.93
Standard Deviation (Ann, %)
7.19
Monthly Downside,Upside Deviation (Ann, %)
5.10,5.06
VaR (99),CVaR (99)
-4.99,-4.99
Correlation (FTSE)
0.72
Correlation (S&P)
0.73
10.35% 1.48 2.93 7.19 215.66 0.55% 8.03%
  Maya Adaptive UK
   Maya Adaptive UK
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
275.24
Annualised Returns (%)
11.91
Peak to Trough (%)
5.35
Average Return (%)
0.96
Max. Monthly Return (%)
8.10
Advancing Months (%)
70.92
Declining Months (%)
29.08
Monthly Worst Drawdown (%)
-5.35
Monthly Worst Drawdown Period
4.00
Min. Monthly Return (%)
-5.35
Longest Recovery (Months)
6.00
Mean Recovery (Months)
1.96
Longest Loss Run (Months)
4.00
Sharpe Ratio (Ann)
1.73
Sortino Ratio (Ann)
3.54
Standard Deviation (Ann, %)
7.05
Monthly Downside,Upside Deviation (Ann, %)
4.98,4.98
VaR (99),CVaR (99)
-5.35,-5.35
Correlation (FTSE)
0.50
Correlation (S&P)
0.26
11.91% 1.73 3.54 7.05 275.24 -0.15% 2.92%
  Maya Adaptive US
   Maya Adaptive US
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
176.77
Annualised Returns (%)
9.05
Peak to Trough (%)
10.42
Average Return (%)
0.75
Max. Monthly Return (%)
6.62
Advancing Months (%)
70.21
Declining Months (%)
29.79
Monthly Worst Drawdown (%)
-7.46
Monthly Worst Drawdown Period
3.00
Min. Monthly Return (%)
-6.62
Longest Recovery (Months)
6.00
Mean Recovery (Months)
2.18
Longest Loss Run (Months)
3.00
Sharpe Ratio (Ann)
1.24
Sortino Ratio (Ann)
2.05
Standard Deviation (Ann, %)
7.55
Monthly Downside,Upside Deviation (Ann, %)
5.66,4.99
VaR (99),CVaR (99)
-6.62,-6.62
Correlation (FTSE)
0.57
Correlation (S&P)
0.55
9.05% 1.24 2.05 7.55 176.77 -0.07% 4.01%
  Maya Adaptive MX
   Maya Adaptive MX
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
549.03
Annualised Returns (%)
17.25
Peak to Trough (%)
42.78
Average Return (%)
1.44
Max. Monthly Return (%)
22.93
Advancing Months (%)
70.00
Declining Months (%)
30.00
Monthly Worst Drawdown (%)
-37.92
Monthly Worst Drawdown Period
5.00
Min. Monthly Return (%)
-18.24
Longest Recovery (Months)
14.00
Mean Recovery (Months)
3.79
Longest Loss Run (Months)
5.00
Sharpe Ratio (Ann)
1.17
Sortino Ratio (Ann)
2.09
Standard Deviation (Ann, %)
15.95
Monthly Downside,Upside Deviation (Ann, %)
11.15,11.41
VaR (99),CVaR (99)
-18.24,-18.24
Correlation (FTSE)
0.43
Correlation (S&P)
0.46
17.25% 1.17 2.09 15.95 549.03 -0.18% 9.23%
  Maya Adaptive Growth
   Maya Adaptive Growth
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
193.73
Annualised Returns (%)
9.60
Peak to Trough (%)
9.80
Average Return (%)
0.79
Max. Monthly Return (%)
8.65
Advancing Months (%)
65.00
Declining Months (%)
35.00
Monthly Worst Drawdown (%)
-8.96
Monthly Worst Drawdown Period
5.00
Min. Monthly Return (%)
-4.82
Longest Recovery (Months)
25.00
Mean Recovery (Months)
3.43
Longest Loss Run (Months)
5.00
Sharpe Ratio (Ann)
1.32
Sortino Ratio (Ann)
2.58
Standard Deviation (Ann, %)
7.50
Monthly Downside,Upside Deviation (Ann, %)
5.22,5.38
VaR (99),CVaR (99)
-4.82,-4.82
Correlation (FTSE)
0.77
Correlation (S&P)
0.69
9.60% 1.32 2.58 7.50 193.73 -0.02% 5.69%
  Maya Adaptive Value
   Maya Adaptive Value
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
201.37
Annualised Returns (%)
9.84
Peak to Trough (%)
11.43
Average Return (%)
0.83
Max. Monthly Return (%)
7.79
Advancing Months (%)
65.71
Declining Months (%)
34.29
Monthly Worst Drawdown (%)
-7.81
Monthly Worst Drawdown Period
4.00
Min. Monthly Return (%)
-7.81
Longest Recovery (Months)
17.00
Mean Recovery (Months)
4.10
Longest Loss Run (Months)
4.00
Sharpe Ratio (Ann)
0.99
Sortino Ratio (Ann)
1.69
Standard Deviation (Ann, %)
10.57
Monthly Downside,Upside Deviation (Ann, %)
7.55,7.39
VaR (99),CVaR (99)
-7.81,-7.81
Correlation (FTSE)
0.14
Correlation (S&P)
0.08
9.84% 0.99 1.69 10.57 201.37 -0.19% 1.29%
  Maya Adaptive
  Diversification
   Maya Adaptive Diversification
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
91.47
Annualised Returns (%)
5.68
Peak to Trough (%)
27.70
Average Return (%)
0.52
Max. Monthly Return (%)
13.91
Advancing Months (%)
60.28
Declining Months (%)
39.72
Monthly Worst Drawdown (%)
-23.71
Monthly Worst Drawdown Period
5.00
Min. Monthly Return (%)
-13.59
Longest Recovery (Months)
39.00
Mean Recovery (Months)
5.67
Longest Loss Run (Months)
5.00
Sharpe Ratio (Ann)
0.54
Sortino Ratio (Ann)
0.85
Standard Deviation (Ann, %)
11.91
Monthly Downside,Upside Deviation (Ann, %)
7.55,8.43
VaR (99),CVaR (99)
-13.59,-13.59
Correlation (FTSE)
0.51
Correlation (S&P)
0.33
5.68% 0.54 0.85 11.91 91.47 -0.28% 12.01%
  GAAS GBP M1
   GAAS GBP M1
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
93.51
Annualised Returns (%)
5.78
Peak to Trough (%)
18.62
Average Return (%)
0.50
Max. Monthly Return (%)
5.99
Advancing Months (%)
61.70
Declining Months (%)
38.30
Monthly Worst Drawdown (%)
-12.52
Monthly Worst Drawdown Period
3.00
Min. Monthly Return (%)
-6.66
Longest Recovery (Months)
24.00
Mean Recovery (Months)
3.56
Longest Loss Run (Months)
3.00
Sharpe Ratio (Ann)
0.76
Sortino Ratio (Ann)
1.23
Standard Deviation (Ann, %)
8.01
Monthly Downside,Upside Deviation (Ann, %)
5.82,5.50
VaR (99),CVaR (99)
-6.66,-6.66
Correlation (FTSE)
0.88
Correlation (S&P)
0.74
5.78% 0.76 1.23 8.01 93.51 -0.09% 1.78%
  GAAS USD M2
   GAAS USD M2
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
74.22
Annualised Returns (%)
4.80
Peak to Trough (%)
24.35
Average Return (%)
0.43
Max. Monthly Return (%)
7.08
Advancing Months (%)
59.57
Declining Months (%)
40.43
Monthly Worst Drawdown (%)
-23.72
Monthly Worst Drawdown Period
5.00
Min. Monthly Return (%)
-15.46
Longest Recovery (Months)
25.00
Mean Recovery (Months)
4.64
Longest Loss Run (Months)
5.00
Sharpe Ratio (Ann)
0.56
Sortino Ratio (Ann)
0.81
Standard Deviation (Ann, %)
9.35
Monthly Downside,Upside Deviation (Ann, %)
7.14,6.03
VaR (99),CVaR (99)
-15.46,-15.46
Correlation (FTSE)
0.60
Correlation (S&P)
0.62
4.80% 0.56 0.81 9.35 74.22 0.13% 9.24%
  GAAS GBP B
   GAAS GBP B
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
98.03
Annualised Returns (%)
5.99
Peak to Trough (%)
18.17
Average Return (%)
0.51
Max. Monthly Return (%)
5.87
Advancing Months (%)
60.99
Declining Months (%)
39.01
Monthly Worst Drawdown (%)
-12.25
Monthly Worst Drawdown Period
3.00
Min. Monthly Return (%)
-6.51
Longest Recovery (Months)
24.00
Mean Recovery (Months)
3.56
Longest Loss Run (Months)
3.00
Sharpe Ratio (Ann)
0.79
Sortino Ratio (Ann)
1.29
Standard Deviation (Ann, %)
7.97
Monthly Downside,Upside Deviation (Ann, %)
5.79,5.48
VaR (99),CVaR (99)
-6.51,-6.51
Correlation (FTSE)
0.87
Correlation (S&P)
0.73
5.99% 0.79 1.29 7.97 98.03 -0.13% 4.51%
  GAAS USD B
   GAAS USD B
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
57.77
Annualised Returns (%)
3.96
Peak to Trough (%)
22.12
Average Return (%)
0.35
Max. Monthly Return (%)
6.14
Advancing Months (%)
58.87
Declining Months (%)
41.13
Monthly Worst Drawdown (%)
-21.43
Monthly Worst Drawdown Period
5.00
Min. Monthly Return (%)
-13.72
Longest Recovery (Months)
30.00
Mean Recovery (Months)
5.45
Longest Loss Run (Months)
5.00
Sharpe Ratio (Ann)
0.52
Sortino Ratio (Ann)
0.74
Standard Deviation (Ann, %)
8.40
Monthly Downside,Upside Deviation (Ann, %)
6.43,5.41
VaR (99),CVaR (99)
-13.72,-13.72
Correlation (FTSE)
0.61
Correlation (S&P)
0.62
3.96% 0.52 0.74 8.40 57.77 0.07% 11.60%
  
  NON-ADAPTIVE
STRATEGIES
ANNUALISED
RETURN
SHARPE
RATIO
SORTINO
RATIO
STANDARD
DEVIATION
LAST
PRICE
LAST DAY
RETURN
YTD
RETURN
          SINCE APRIL 1st 2013
  FTSE Equal-Weight Index
   FTSE Equal-Weight Index
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
134.35
Annualised Returns (%)
7.52
Peak to Trough (%)
46.61
Average Return (%)
0.69
Max. Monthly Return (%)
14.14
Advancing Months (%)
58.57
Declining Months (%)
41.43
Monthly Worst Drawdown (%)
-28.34
Monthly Worst Drawdown Period
5.00
Min. Monthly Return (%)
-16.83
Longest Recovery (Months)
42.00
Mean Recovery (Months)
5.33
Longest Loss Run (Months)
5.00
Sharpe Ratio (Ann)
0.60
Sortino Ratio (Ann)
0.91
Standard Deviation (Ann, %)
14.30
Monthly Downside,Upside Deviation (Ann, %)
10.61,9.58
VaR (99),CVaR (99)
-16.83,-16.83
Correlation (FTSE)
0.93
Correlation (S&P)
0.85
7.52% 0.60 0.91 14.30 134.35 0.22% 7.55%
  S&P Equal-Weight Index
   S&P Equal-Weight Index
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
139.38
Annualised Returns (%)
7.71
Peak to Trough (%)
54.50
Average Return (%)
0.73
Max. Monthly Return (%)
17.94
Advancing Months (%)
65.71
Declining Months (%)
34.29
Monthly Worst Drawdown (%)
-37.51
Monthly Worst Drawdown Period
5.00
Min. Monthly Return (%)
-21.61
Longest Recovery (Months)
45.00
Mean Recovery (Months)
5.41
Longest Loss Run (Months)
5.00
Sharpe Ratio (Ann)
0.56
Sortino Ratio (Ann)
0.81
Standard Deviation (Ann, %)
16.34
Monthly Downside,Upside Deviation (Ann, %)
12.41,10.62
VaR (99),CVaR (99)
-21.61,-21.61
Correlation (FTSE)
0.82
Correlation (S&P)
0.97
7.71% 0.56 0.81 16.34 139.38 -0.10% 9.68%
  IPC Equal-Weight Index
   IPC Equal-Weight Index
1 Year
3 Years
5 Years
     Max     
Total Returns (%)
133.83
Annualised Returns (%)
7.50
Peak to Trough (%)
48.45
Average Return (%)
0.73
Max. Monthly Return (%)
14.09
Advancing Months (%)
57.14
Declining Months (%)
42.86
Monthly Worst Drawdown (%)
-46.60
Monthly Worst Drawdown Period
7.00
Min. Monthly Return (%)
-26.68
Longest Recovery (Months)
37.00
Mean Recovery (Months)
9.33
Longest Loss Run (Months)
7.00
Sharpe Ratio (Ann)
0.54
Sortino Ratio (Ann)
0.78
Standard Deviation (Ann, %)
16.88
Monthly Downside,Upside Deviation (Ann, %)
12.83,10.96
VaR (99),CVaR (99)
-26.68,-26.68
Correlation (FTSE)
0.61
Correlation (S&P)
0.68
7.50% 0.54 0.78 16.88 133.83 -0.07% 9.71%
  
 
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