Asset Management by Windsor Securities : Income 2 Strategy (MI2) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A 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 Add Alert Add to Blender Add to Portfolio Add to Watchlist Print Page 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 YTD 1yr 3yr 5yr 10yr Since9/2015 Income 2 Strategy (MI2) -1.22 - - 0.00 -5.26 -4.13 - -0.43 S&P 500 2.04 - - 12.01 41.41 48.99 - 68.58 +/- S&P 500 -3.26 - - -12.01 -46.67 -53.12 - -69.00 Strategy Description SummaryMFIP, 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")... Read More 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% Decision-Making Discretionary 0% Systematic 100.00% Strategy Technical 100.00% Composition Interest Rates 100.00% SummaryMFIP, 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 StrategyMI2 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 ManagementShorter-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. Compare to: {{result.name}} {{result.description}} Index: Chart Type: AUM & Cumulative Returns Cumulative Returns Distribution Rolling Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial. Compare to: Index: Select an Index Hang Seng Russell 2000 DAX FTSE 100 S&P 500 Index 10-Year Note VIX S&P 500 Monthly Annual Reward Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: Reward Compound RoR: Average RoR: Max Gain: Gain Frequency: Average Gain: Gain Deviation: Risk Standard Deviation: Worst Loss: Loss Frequency: Average Loss: Loss Deviation: Reward/Risk Sharpe Ratio: (RF=1%) Skewness: Kurtosis: 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 Show More 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 Show More 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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year Number of Periods50.0048.0045.0039.0033.0027.0015.00 Percent Profitable40.0050.0046.6738.4648.4859.2626.67 Average Period Return0.01-0.11-0.11-0.25-0.260.06-0.88 Average Gain1.841.611.992.291.551.512.23 Average Loss-1.25-1.83-1.96-1.83-1.96-2.05-2.02 Best Period5.665.075.285.853.434.283.43 Worst Period-3.93-7.09-5.12-4.70-4.38-5.26-4.43 Standard Deviation1.872.292.402.502.032.402.34 Gain Standard Deviation1.401.431.341.690.861.300.87 Loss Standard Deviation0.861.571.351.351.112.021.47 Sharpe Ratio (1%)-0.04-0.16-0.26-0.50-0.87-0.81-1.67 Average Gain / Average Loss1.470.881.021.250.790.741.11 Profit / Loss Ratio1.010.880.890.780.741.070.40 Downside Deviation (10%)1.422.453.475.808.1010.4616.80 Downside Deviation (5%)1.201.832.042.462.632.994.52 Downside Deviation (0%)1.151.691.721.771.611.802.10 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%)0.01-0.06-0.07-0.14-0.160.03-0.42 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. x {{title}} x {{title}} Add Cancel