Asset Management by Windsor Securities : Non-Correlated All-Class Growth Strategy (MAC)

Year-to-Date
1.76%
Apr Performance
1.91%
Min Investment
$ 500k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
19.34%
Sharpe (RFR=1%)
0.22
CAROR
3.50%
Assets
$ 712k
Worst DD
-39.52
S&P Correlation
0.30

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 Apr Qtr YTD 1yr 3yr 5yr 10yr Since
8/2007
Non-Correlated All-Class Growth Strategy (MAC) 1.91 2.91 -1.76 -21.57 -27.56 -31.06 -16.47 49.87
S&P 500 3.93 8.94 17.51 11.24 41.19 54.79 234.05 97.80
+/- S&P 500 -2.02 -6.03 -19.27 -32.82 -68.75 -85.84 -250.52 -47.93

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
$ 250k
CTA Max Funding Factor
Management Fee
0%
Performance Fee
25.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
1%
Targeted Worst DD
Worst Peak-to-Trough
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, 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. WSI uses proprietary mathematical models to discern the probability of broad-market short-term equity moves. Windsor invests assets through frequent re-allocation among index mutual funds. MFIP uses the same models, applied to equity index 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.

Investment Strategy

The MAC Strategy is, subjectively, Windsor's most aggressive planned strategy. It makes daily trading decisions and invests in index futures for the S&P 500 and the Nasdaq 100. When invested, MAC's beta ranges from 1.0-2.0 (positive or negative), magnifying potential gains or losses. MAC can also be invested 100% in cash. MAC seeks to capture anticipated 1-day market moves, and is based on multi-layered analysis based on pattern recognition, momentum, trend following and short-term reversion, relative strength, and other breadth and volume indicators. The inception of the Strategy is March 10, 2008.

   

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
-39.52 38 - 11/1/2015 1/1/2019
-33.16 9 36 9/1/2009 6/1/2010
-16.01 10 2 11/1/2014 9/1/2015
-11.91 5 1 5/1/2008 10/1/2008
-5.03 2 1 1/1/2009 3/1/2009
-3.75 2 2 6/1/2014 8/1/2014
-3.59 2 1 9/1/2007 11/1/2007
-3.02 1 3 11/1/2013 12/1/2013
-3.00 1 3 12/1/2007 1/1/2008
-2.43 1 1 6/1/2013 7/1/2013
-1.75 1 2 3/1/2014 4/1/2014
-0.94 2 1 8/1/2013 10/1/2013
-0.78 1 1 6/1/2009 7/1/2009
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Consecutive Gains

Run-up Length (Mos.) Start End
44.51 3 11/1/2008 1/1/2009
22.16 2 10/1/2015 11/1/2015
20.10 2 4/1/2008 5/1/2008
19.60 5 12/1/2012 4/1/2013
18.70 3 4/1/2009 6/1/2009
18.47 5 1/1/2011 5/1/2011
16.42 5 4/1/2018 8/1/2018
13.35 2 9/1/2011 10/1/2011
13.18 3 7/1/2016 9/1/2016
12.98 2 7/1/2010 8/1/2010
12.46 7 6/1/2017 12/1/2017
11.47 2 8/1/2009 9/1/2009
10.13 2 2/1/2012 3/1/2012
9.88 2 2/1/2016 3/1/2016
9.79 2 8/1/2007 9/1/2007
9.22 3 6/1/2012 8/1/2012
8.78 2 10/1/2010 11/1/2010
8.21 1 12/1/2007 12/1/2007
8.18 1 7/1/2011 7/1/2011
6.41 3 9/1/2014 11/1/2014
5.41 2 5/1/2014 6/1/2014
5.14 1 2/1/2015 2/1/2015
4.53 1 2/1/2010 2/1/2010
3.88 3 7/1/2008 9/1/2008
3.78 1 3/1/2014 3/1/2014
3.28 1 4/1/2017 4/1/2017
3.00 1 8/1/2013 8/1/2013
2.49 1 2/1/2008 2/1/2008
2.33 2 7/1/2015 8/1/2015
2.02 1 1/1/2014 1/1/2014
2.00 1 4/1/2010 4/1/2010
1.93 1 11/1/2013 11/1/2013
1.91 1 4/1/2019 4/1/2019
1.79 1 1/1/2017 1/1/2017
1.63 1 6/1/2013 6/1/2013
1.18 1 2/1/2019 2/1/2019
0.95 1 10/1/2012 10/1/2012
0.04 1 12/1/2009 12/1/2009
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Consecutive Losses

Run-up Length (Mos.) Start End
-33.79 5 9/1/2018 1/1/2019
-24.74 2 5/1/2010 6/1/2010
-21.29 2 12/1/2015 1/1/2016
-18.17 2 4/1/2012 5/1/2012
-15.74 3 1/1/2018 3/1/2018
-14.34 3 11/1/2011 1/1/2012
-9.08 2 10/1/2009 11/1/2009
-8.71 4 3/1/2015 6/1/2015
-8.61 1 9/1/2015 9/1/2015
-8.34 1 10/1/2008 10/1/2008
-8.17 1 8/1/2011 8/1/2011
-8.07 3 10/1/2016 12/1/2016
-7.53 1 3/1/2010 3/1/2010
-7.49 1 6/1/2008 6/1/2008
-6.42 2 12/1/2014 1/1/2015
-6.17 3 4/1/2016 6/1/2016
-5.03 2 2/1/2009 3/1/2009
-4.48 1 9/1/2010 9/1/2010
-3.75 2 7/1/2014 8/1/2014
-3.59 2 10/1/2007 11/1/2007
-3.57 2 2/1/2017 3/1/2017
-3.27 1 5/1/2017 5/1/2017
-3.02 1 12/1/2013 12/1/2013
-3.00 1 1/1/2008 1/1/2008
-2.94 1 6/1/2011 6/1/2011
-2.43 1 7/1/2013 7/1/2013
-2.20 1 12/1/2010 12/1/2010
-1.75 1 4/1/2014 4/1/2014
-1.45 1 3/1/2008 3/1/2008
-1.36 1 11/1/2012 11/1/2012
-1.31 1 2/1/2014 2/1/2014
-0.96 1 1/1/2010 1/1/2010
-0.94 2 9/1/2013 10/1/2013
-0.78 1 7/1/2009 7/1/2009
-0.43 1 9/1/2012 9/1/2012
-0.36 1 5/1/2013 5/1/2013
-0.20 1 3/1/2019 3/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods141.00139.00136.00130.00124.00118.00106.0094.0082.00
Percent Profitable56.0361.8759.5659.2356.4560.1759.4374.4784.15
Average Period Return0.441.232.586.179.3510.4512.8218.0123.52
Average Gain4.146.7611.2217.8623.6322.6528.0528.3730.98
Average Loss-4.26-7.75-10.14-10.82-9.16-7.97-9.49-12.21-16.06
Best Period14.6644.5151.1469.9690.6194.8279.02104.1784.27
Worst Period-16.27-30.47-33.01-34.33-32.02-29.63-32.61-36.18-33.53
Standard Deviation5.589.8614.1220.2224.7824.7724.3128.5829.25
Gain Standard Deviation3.396.389.8217.3823.9124.6919.2724.9625.15
Loss Standard Deviation4.097.658.908.727.937.528.4912.4013.16
Sharpe Ratio (1%)0.060.100.150.260.320.340.400.490.63
Average Gain / Average Loss0.970.871.111.652.582.842.962.321.93
Profit / Loss Ratio1.241.411.632.403.344.294.336.7810.23
Downside Deviation (10%)4.107.269.8011.5712.3212.7017.4419.6921.35
Downside Deviation (5%)3.946.808.799.358.747.869.6110.279.86
Downside Deviation (0%)3.906.698.558.847.966.888.078.708.14
Sortino Ratio (10%)0.010.000.010.100.140.02-0.17-0.18-0.19
Sortino Ratio (5%)0.090.140.240.550.901.071.021.361.87
Sortino Ratio (0%)0.110.180.300.701.171.521.592.072.89

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 6 1.91 4/2019
Stock Index Trader Index Month 9 1.18 2/2019
Stock Index Trader Index Month 4 2.26 8/2018
Systematic Trader Index Month 2 5.46 7/2018
Stock Index Trader Index Month 2 5.46 7/2018
IASG CTA Index Month 3 5.46 7/2018
Stock Index Trader Index Month 3 3.34 6/2018
Stock Index Trader Index Month 2 3.26 5/2018
Systematic Trader Index Month 9 3.26 5/2018

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.