Asset Management by Windsor Securities : Triple Advantage Strategy (MTAS)

Year-to-Date
9.27%
Sep Performance
0.06%
Min Investment
$ 500k
Mgmt. Fee
0%
Perf. Fee
25.00%
Annualized Vol
7.06%
Sharpe (RFR=1%)
0.53
CAROR
4.57%
Assets
$ 17.6M
Worst DD
-7.91
S&P Correlation
-0.12

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 Sep Qtr YTD 1yr 3yr 5yr 10yr Since
10/2014
Triple Advantage Strategy (MTAS) 0.06 1.65 9.27 12.04 20.23 25.04 - 25.04
S&P 500 1.72 1.19 18.74 2.15 35.89 49.39 - 46.01
+/- S&P 500 -1.66 0.46 -9.47 9.90 -15.66 -24.35 - -20.96

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
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
RT/YR/$M
Avg. Margin-to-Equity
0%
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
0%

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

Windsor uses proprietary pattern-recognition programs involving price, breadth, volume, and extent of market moves preceding and during trade to project higher probability moves over a 2 to 4 day timeframe. When invested, MTAS takes equal positions in E-Mini S&P and E-Mini NASDAQ 100 equity index futures, always beta 1.0 (positive or negative). MTAS is among WSI's less volatile models, taking a position no more than once per week and never holding a position over the weekend.

The MTAS trading strategy began trading January 2016. WTAS, an analogous trading strategy investing in ProFunds mutual funds, began trading in October 2014. Returns include actual trading starting in October 2014.

Risk Management

If the signal calls for a trade the position is opened Monday evening and closed no later than Friday evening. Stop-gains during the week can shorten the trade and provide an early exit. Stops can initiate early exit to stem loss or lock-in gains. Trading only SPX and NDX derivatives, fully liquid intra-day exits can be deployed if necessary. No trade is deployed if insufficient upside is expected.

   

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:
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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
-7.91 6 10 6/1/2016 12/1/2016
-6.16 13 2 1/1/0001 10/1/2015
-2.04 1 1 6/1/2019 7/1/2019
-2.00 1 1 11/1/2018 12/1/2018
-1.95 1 1 2/1/2016 3/1/2016
-1.92 1 1 8/1/2018 9/1/2018
-0.86 3 2 11/1/2017 2/1/2018
-0.42 1 1 12/1/2015 1/1/2016
-0.28 1 1 4/1/2018 5/1/2018
-0.14 1 1 2/1/2019 3/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
9.78 2 11/1/2015 12/1/2015
5.50 3 4/1/2016 6/1/2016
5.03 3 9/1/2017 11/1/2017
4.63 2 10/1/2018 11/1/2018
4.04 3 4/1/2019 6/1/2019
3.76 2 8/1/2019 9/1/2019
3.47 2 1/1/2019 2/1/2019
3.31 2 6/1/2017 7/1/2017
3.00 1 7/1/2015 7/1/2015
2.64 1 3/1/2017 3/1/2017
2.43 1 1/1/2015 1/1/2015
2.32 1 9/1/2015 9/1/2015
2.04 2 3/1/2018 4/1/2018
2.03 1 2/1/2016 2/1/2016
1.91 2 9/1/2016 10/1/2016
1.79 1 5/1/2015 5/1/2015
1.62 3 6/1/2018 8/1/2018
1.50 1 1/1/2017 1/1/2017
1.25 1 3/1/2015 3/1/2015
0.68 1 11/1/2014 11/1/2014
0.08 1 1/1/2018 1/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-5.11 2 11/1/2016 12/1/2016
-4.76 2 7/1/2016 8/1/2016
-3.64 1 10/1/2015 10/1/2015
-3.45 1 8/1/2015 8/1/2015
-2.86 1 2/1/2015 2/1/2015
-2.42 1 10/1/2014 10/1/2014
-2.09 1 6/1/2015 6/1/2015
-2.04 1 7/1/2019 7/1/2019
-2.00 1 12/1/2018 12/1/2018
-1.95 1 3/1/2016 3/1/2016
-1.92 1 9/1/2018 9/1/2018
-1.60 1 4/1/2015 4/1/2015
-1.40 1 12/1/2014 12/1/2014
-0.70 1 8/1/2017 8/1/2017
-0.66 1 2/1/2018 2/1/2018
-0.62 1 2/1/2017 2/1/2017
-0.42 1 1/1/2016 1/1/2016
-0.28 1 5/1/2018 5/1/2018
-0.28 1 12/1/2017 12/1/2017
-0.20 2 4/1/2017 5/1/2017
-0.14 1 3/1/2019 3/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods60.0058.0055.0049.0043.0037.0025.0013.00
Percent Profitable60.0070.6970.9183.67100.00100.00100.00100.00
Average Period Return0.391.212.475.207.679.8714.9921.99
Average Gain1.732.664.316.817.679.8714.9921.99
Average Loss-1.61-2.28-2.01-3.04
Best Period5.179.3212.0413.1313.5618.2523.3831.30
Worst Period-3.64-4.81-7.91-3.920.981.997.4611.60
Standard Deviation2.042.823.784.613.594.823.565.26
Gain Standard Deviation1.241.762.633.013.594.823.565.26
Loss Standard Deviation1.151.531.930.97
Sharpe Ratio (1%)0.150.340.520.911.711.633.363.41
Average Gain / Average Loss1.071.162.152.24
Profit / Loss Ratio1.612.815.2411.48
Downside Deviation (10%)1.462.072.673.472.443.422.713.24
Downside Deviation (5%)1.291.591.691.680.080.00
Downside Deviation (0%)1.241.471.481.28
Sortino Ratio (10%)-0.01-0.010.000.060.03-0.11-0.280.14
Sortino Ratio (5%)0.240.611.172.5176.223087.58
Sortino Ratio (0%)0.320.821.674.06

Top Performer Badges

Index Award Type Rank Performance Period
Stock Index Trader Index Month 6 3.70 8/2019
Stock Index Trader Index Month 7 3.11 6/2019
Stock Index Trader Index Month 10 0.42 5/2019
Stock Index Trader Index Month 9 2.69 1/2019
Stock Index Trader Index Month 3 3.74 10/2018
Systematic Trader Index Month 9 3.74 10/2018
Stock Index Trader Index Month 8 1.65 4/2018

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