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

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 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

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")... 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%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

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.

   

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
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
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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
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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
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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.