Asset Management by Windsor Securities : MFIP Broad Heuristic Tactical Strategy (MBHT)

Year-to-Date
4.85%
Mar Performance
-8.14%
Min Investment
$ 1,000k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
26.99%
Sharpe (RFR=1%)
1.32
CAROR
-
Assets
$ 27.6M
Worst DD
-12.42
S&P Correlation
-0.09

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 Mar Qtr YTD 1yr 3yr 5yr 10yr Since
4/2020
MFIP Broad Heuristic Tactical Strategy (MBHT) -8.14 -4.85 -4.85 38.92 - - - 38.92
S&P 500 4.24 9.21 9.21 58.70 - - - 40.84
+/- S&P 500 -12.38 -14.06 -14.06 -19.79 - - - -1.92

Strategy Description

Summary

MFIP Broad Heuristic Tactical Strategy (MBHT) is a newer strategy that utilizes proprietary "super models" to select targeted trading days. MBHT builds upon the breadth and depth of MFIP/WSI's market research. Creating a collection of "super-models" derived from MFIP/WSI's other trading... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 1,000k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor 1.00
Management Fee 0%
Performance Fee 25.00%
Average Commission
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency RT/YR/$M
Avg. Margin-to-Equity 36%
Targeted Worst DD
Worst Peak-to-Trough 13.50%
Sector Focus Stock Index Traders

Holding Periods

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

Decision-Making

Discretionary 0%
Systematic 100.00%

Strategy

Technical
100.00%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

MFIP Broad Heuristic Tactical Strategy (MBHT) is a newer strategy that utilizes proprietary "super models" to select targeted trading days. MBHT builds upon the breadth and depth of MFIP/WSI's market research. Creating a collection of "super-models" derived from MFIP/WSI's other trading strategies and matrices of various in-house indicators, MBHT targets what it deems to be high-probability trading days. When invested, MBHT takes up to beta 2 long or short exposure to equity markets. It takes equal positions in index-based derivatives based on the S&P 500, NASDAQ 100, and Russell 2000. MBHT takes no position at the end of the week and holds no positions over the weekend. Objectives are to achieve increased Alpha and reduced Beta: capital growth uncorrelated with equity, bond, and CTA indexes; absolute returns in all market scenarios; and added-value diversification to portfolios with other assets.

   

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
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Sharpe Ratio: (RF=1%)
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Compound RoR:
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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
-12.42 2 - 1/1/2021 3/1/2021
-6.11 2 1 10/1/2020 12/1/2020
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Consecutive Gains

Run-up Length (Mos.) Start End
55.51 7 4/1/2020 10/1/2020
8.64 1 1/1/2021 1/1/2021
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.42 2 2/1/2021 3/1/2021
-6.11 2 11/1/2020 12/1/2020
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods12.003.006.0012.0018.0024.0036.0048.0060.00
Percent Profitable66.6766.6750.00100.0066.6750.0033.3325.0020.00
Average Period Return3.042.45-0.6541.9627.9720.9813.9910.498.39
Average Gain6.936.113.1241.9641.9641.9641.9641.9641.96
Average Loss-4.73-4.85-4.42
Best Period16.678.645.4558.6258.6258.6258.6258.6258.62
Worst Period-8.14-4.85-7.6515.980.000.000.000.000.00
Standard Deviation7.796.824.7613.4023.0323.3521.4219.4717.89
Gain Standard Deviation6.243.582.4713.4013.4013.4013.4013.4013.40
Loss Standard Deviation3.312.80
Sharpe Ratio (1%)0.380.32-0.243.061.150.810.510.330.18
Average Gain / Average Loss1.461.260.71
Profit / Loss Ratio2.932.520.71
Downside Deviation (10%)3.403.515.204.387.2512.8718.6924.79
Downside Deviation (5%)3.232.953.840.871.422.473.524.56
Downside Deviation (0%)3.192.803.52
Sortino Ratio (10%)0.780.35-0.604.651.48-0.14-0.59-0.78
Sortino Ratio (5%)0.910.75-0.3030.4913.354.431.830.72
Sortino Ratio (0%)0.950.88-0.19

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.