Asset Management by Windsor Securities : Income 2 Strategy (MI2)

Year-to-Date: 3.53%
Oct Performance: -1.22%

Min Investment: $ 500k
Mgmt. Fee: 0%
Perf. Fee: 25.00%

Annualized Vol: 6.47%
Sharpe (RFR=1%): -0.14
CAROR: -0.10%

Assets: $ 1.7M
Worst DD: -7.20
S&P Correlation: 0.05

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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	Oct	Qtr	2019	1yr	3yr	5yr	10yr	Since 9/2015
Income 2 Strategy (MI2)	-1.22	-2.90	-3.53	-0.81	-0.12	-	-	-0.43
S&P 500	2.04	1.92	21.16	12.01	41.41	-	-	56.59
+/- S&P 500	-3.26	-4.82	-24.69	-12.82	-41.53	-	-	-57.02

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 500k
Trading Level Incremental Increase: $ 500k
CTA Max Funding Factor
Management Fee: 0%
Performance Fee: 25.00%
Average Commission
Available to US Investors: Yes

Subscriptions

High Water Mark: Yes
Subscription Frequency: 1-7 Days
Redemption Frequency: Daily
Investor Requirements: QEP
Lock-up Period: 0

Trading

Trading Frequency: 50 RT/YR/$M
Avg. Margin-to-Equity: 9%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus: Financial & Metals Traders

Holding Periods

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

Summary

MFIP, Inc. is registered with the NFA and CFTC as a Commodity Trading Advisor and Commodity Pool Operator. Windsor Securities is a SEC-Registered Investment advisor which has managed client assets on a discretionary basis since 1973. MFIP, Inc. and Windsor Securities (together "WSI") are affiliated through common ownership and personnel. MFIP Income 2 Strategy (MI2) uses proprietary mathematical models to discern the probability of broad-market short-term moves in bonds and interest rates, and invests assets through frequent re-allocation in Ultra U.S. Treasury Bond futures. Our objectives are increased Alpha and reduced Beta: superior capital growth uncorrelated with equity, bond, and CTA indexes; significant absolute returns in all market scenarios; and added-value diversification to portfolios with other assets. The MI2 strategy began trading September 1, 2015, with historical pro-forma results back to Sept 2002.

Investment Strategy

MI2 uses an alternative tactical overlay structure to opportunistically buy and sell highly liquid US Treasury derivatives over short time periods. MI2 can be invested long or short and uses no leverage. It retains the desirable aspects of fixed income assets while substantially reducing the portfolio’s interest rate risk.

Risk Management

Shorter-term indicators act as trading curbs to reduce exposure. Risk is further managed by varying exposure to U.S. Treasury Bonds.

Significant consensus among the technical indicators leads to a beta 1.0 position, long or short. Limited consensus lowers exposure. In the absence of consensus, no position is taken.

Focus on limiting exposure to limit volatility, without sacrificing return.

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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.

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Index:

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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
-7.20	39	-	7/1/2016	10/1/2019
-4.65	8	2	9/1/2015	5/1/2016

Consecutive Gains

Run-up	Length (Mos.)	Start	End
6.51	2	6/1/2016	7/1/2016
5.66	1	9/1/2015	9/1/2015
4.02	2	8/1/2017	9/1/2017
3.42	1	3/1/2019	3/1/2019
3.31	1	1/1/2016	1/1/2016
2.82	2	11/1/2018	12/1/2018
2.38	2	11/1/2016	12/1/2016
1.95	1	5/1/2018	5/1/2018
1.75	2	4/1/2017	5/1/2017
1.38	1	1/1/2018	1/1/2018
1.31	1	3/1/2016	3/1/2016
0.99	1	8/1/2018	8/1/2018
0.97	1	3/1/2018	3/1/2018
0.24	1	6/1/2019	6/1/2019
0.21	1	2/1/2017	2/1/2017

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-7.09	3	8/1/2016	10/1/2016
-4.49	3	10/1/2015	12/1/2015
-3.60	2	4/1/2016	5/1/2016
-3.06	4	7/1/2019	10/1/2019
-2.94	2	9/1/2018	10/1/2018
-2.31	1	4/1/2018	4/1/2018
-2.26	2	1/1/2019	2/1/2019
-2.25	3	10/1/2017	12/1/2017
-1.79	2	4/1/2019	5/1/2019
-1.72	2	6/1/2018	7/1/2018
-1.69	1	2/1/2018	2/1/2018
-1.06	1	2/1/2016	2/1/2016
-0.97	1	3/1/2017	3/1/2017
-0.53	2	6/1/2017	7/1/2017
-0.25	1	1/1/2017	1/1/2017

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	50.00	48.00	45.00	39.00	33.00	27.00	15.00
Percent Profitable	40.00	50.00	46.67	38.46	48.48	59.26	26.67
Average Period Return	0.01	-0.11	-0.11	-0.25	-0.26	0.06	-0.88
Average Gain	1.84	1.61	1.99	2.29	1.55	1.51	2.23
Average Loss	-1.25	-1.83	-1.96	-1.83	-1.96	-2.05	-2.02
Best Period	5.66	5.07	5.28	5.85	3.43	4.28	3.43
Worst Period	-3.93	-7.09	-5.12	-4.70	-4.38	-5.26	-4.43
Standard Deviation	1.87	2.29	2.40	2.50	2.03	2.40	2.34
Gain Standard Deviation	1.40	1.43	1.34	1.69	0.86	1.30	0.87
Loss Standard Deviation	0.86	1.57	1.35	1.35	1.11	2.02	1.47
Sharpe Ratio (1%)	-0.04	-0.16	-0.26	-0.50	-0.87	-0.81	-1.67
Average Gain / Average Loss	1.47	0.88	1.02	1.25	0.79	0.74	1.11
Profit / Loss Ratio	1.01	0.88	0.89	0.78	0.74	1.07	0.40
Downside Deviation (10%)	1.42	2.45	3.47	5.80	8.10	10.46	16.80
Downside Deviation (5%)	1.20	1.83	2.04	2.46	2.63	2.99	4.52
Downside Deviation (0%)	1.15	1.69	1.72	1.77	1.61	1.80	2.10
Sortino Ratio (10%)	-0.28	-0.55	-0.74	-0.90	-0.97	-0.97	-0.99
Sortino Ratio (5%)	-0.06	-0.20	-0.30	-0.51	-0.67	-0.65	-0.87
Sortino Ratio (0%)	0.01	-0.06	-0.07	-0.14	-0.16	0.03	-0.42

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.

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Asset Management by Windsor Securities : Income 2 Strategy (MI2)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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