Buckingham Global Advisors, LLC : Metis Tactical ES (MTE) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date N / A May Performance -0.97% Min Investment $ 400k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 14.77% Sharpe (RFR=1%) 0.72 CAROR 11.04% Assets $ 5.5M Worst DD -21.01 S&P Correlation 0.69 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 May Qtr YTD 1yr 3yr 5yr 10yr Since6/2017 Metis Tactical ES (MTE) -0.97 - - -20.81 -10.51 - - 3.52 S&P 500 4.53 - - 10.62 24.94 - - 51.94 +/- S&P 500 -5.50 - - -31.43 -35.45 - - -48.42 Strategy Description SummaryMetis Tactical ES (“MTE”) - A futures trend following 100% systematic program trading Emini S&P 500 futures only. It's based on a Big Data Driven quant model with 5 sub-models and 40+ data factors. MTE does not trade options and has ultra - low margin to equity ratio (5%) , the trading... Read More Account & Fees Type Managed Account Minimum Investment $ 400k Trading Level Incremental Increase $ 0k CTA Max Funding Factor Management Fee 2.00% Performance Fee 20.00% Average Commission $3.00 Available to US Investors Yes Subscriptions High Water Mark Yes Subscription Frequency Daily Redemption Frequency Daily Investor Requirements Any Investor Lock-up Period 0 Trading Trading Frequency 500 RT/YR/$M Avg. Margin-to-Equity 5% 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 100.00% Intraday 0% Decision-Making Discretionary 0% Systematic 100.00% Strategy Trend-following 100.00% Composition Stock Indices 100.00% SummaryMetis Tactical ES (“MTE”) - A futures trend following 100% systematic program trading Emini S&P 500 futures only. It's based on a Big Data Driven quant model with 5 sub-models and 40+ data factors. MTE does not trade options and has ultra - low margin to equity ratio (5%) , the trading started in June 2017 but a parallel ETF (SPY) trading has two years of tracking record. Investment StrategyModel Structure Metis is comprised of five individual sub models. The power of five sub models collectively is greater than each individually. Each sub model uses a collection of equally weighted variables that collectively ‘vote’ to determine a given sub model's output of long, neutral, or short. The five sub-model outputs are then aggregated, with equal weighting, to determine the Metis models’ overall position (long, neutral or short) in the S&P 500 index. The interplay of the five distinctly different models gives Metis a variable sensitivity to market conditions: Metis tends to be more sensitive to market changes at or near major inflection points and less sensitive during the middle of a sustained market move. In summary, Metis is a 100% mechanical system that offers some of the attractive characteristics of a discretionary macro trader. GOALS *Provide an attractive alternative to traditional long equity and hedge fund strategies *Completely systematic approach which varies exposure to S&P 500 index (other indices are possible) *Exposures are a direct function of changes in macroeconomic, fundamental and technical variables *Emphasis on capturing downside market performance *Emulate a successful discretionary trader *Utilize a variety of macroeconomic, fundamental and technical variables *Avoid any possibility of ‘curve fitting’ or over specification during model development Maximize robustness *Be profitable in both rising and falling market environments while maintaining a high Sharpe Ratio Strive to provide double-digit returns *Recognize the asymmetry between rising and falling market environments Moderate rate of turnover (80 times per year) Risk ManagementThe model provides a comprehensive data-driven view of the market. Risk management is built in the five separate submodels, which contain 40+ data components. -Trend: When market deteriorates, the indicator turns neutral or negative -Fed: Tightening fiscal policy and low liquidity could cause the Fed signal to turn neutral or negative -Macro: Higher inflation or overheated economy could turn it to neutral or negative -Turbulence: Market turmoil could turn its signal to neutral or negative -Sentiments: Over-optimism could turn its signal to neutral or negative A risk management/money management overlay is used during losing months to stem losses which involves reducing position sizing by 50%. 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 -21.01 5 - 12/1/2019 5/1/2020 -10.90 1 2 11/1/2018 12/1/2018 -9.56 5 3 4/1/2019 9/1/2019 -8.29 1 6 1/1/2018 2/1/2018 Show More Consecutive Gains Run-up Length (Mos.) Start End 18.96 9 3/1/2018 11/1/2018 15.90 4 1/1/2019 4/1/2019 15.68 8 6/1/2017 1/1/2018 11.19 3 10/1/2019 12/1/2019 6.17 2 6/1/2019 7/1/2019 Show More Consecutive Losses Run-up Length (Mos.) Start End -21.01 5 1/1/2020 5/1/2020 -10.90 1 12/1/2018 12/1/2018 -8.29 1 2/1/2018 2/1/2018 -7.98 1 5/1/2019 5/1/2019 -7.43 2 8/1/2019 9/1/2019 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year Number of Periods36.0034.0031.0025.0019.0013.00 Percent Profitable72.2261.7667.7484.0084.2176.92 Average Period Return0.210.552.435.9410.3111.78 Average Gain2.495.336.899.5714.8116.51 Average Loss-5.71-7.16-6.93-13.16-13.67-3.99 Best Period11.3212.8314.6119.5826.2123.71 Worst Period-13.45-20.03-18.45-19.79-17.98-5.99 Standard Deviation4.767.688.1110.4811.949.71 Gain Standard Deviation2.253.084.286.105.604.10 Loss Standard Deviation4.486.505.907.194.832.20 Sharpe Ratio (1%)0.030.040.240.470.741.01 Average Gain / Average Loss0.440.740.990.731.084.14 Profit / Loss Ratio1.131.202.093.825.7813.80 Downside Deviation (10%)3.936.476.227.898.606.89 Downside Deviation (5%)3.795.995.286.196.233.01 Downside Deviation (0%)3.755.875.065.825.652.10 Sortino Ratio (10%)-0.05-0.10-0.010.120.320.22 Sortino Ratio (5%)0.030.050.370.801.413.25 Sortino Ratio (0%)0.060.090.481.021.825.61 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