Buckingham Global Advisors, LLC : Metis Tactical ES (MTE)

Year-to-Date
5.02%
Sep Performance
-1.70%
Min Investment
$ 400k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.22%
Sharpe (RFR=1%)
0.48
CAROR
7.39%
Assets
$ 12.7M
Worst DD
-10.90
S&P Correlation
0.71

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
6/2017
Metis Tactical ES (MTE) -1.70 -5.82 5.02 1.58 - - - 18.10
S&P 500 1.72 1.19 18.74 2.15 - - - 21.77
+/- S&P 500 -3.42 -7.01 -13.71 -0.57 - - - -3.67

Strategy Description

Summary

Metis 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%
Strategy Pie Chart

Composition

Stock Indices
100.00%
Composition Pie Chart

Summary

Metis 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 Strategy

Model 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 Management

The 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%.

   

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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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
-10.90 1 2 11/1/2018 12/1/2018
-9.39 5 - 4/1/2019 9/1/2019
-8.29 1 6 1/1/2018 2/1/2018
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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
6.17 2 6/1/2019 7/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-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
-7.25 2 8/1/2019 9/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month
Number of Periods28.0026.0023.0017.0011.00
Percent Profitable82.1469.2373.91100.00100.00
Average Period Return0.692.194.7410.5615.52
Average Gain2.344.917.6110.5615.52
Average Loss-6.90-3.92-3.38
Best Period11.3212.8314.6119.5826.21
Worst Period-10.90-5.82-6.920.068.43
Standard Deviation4.394.916.345.486.08
Gain Standard Deviation2.362.984.425.486.08
Loss Standard Deviation3.451.662.68
Sharpe Ratio (1%)0.140.400.671.752.31
Average Gain / Average Loss0.341.252.25
Profit / Loss Ratio1.562.826.37
Downside Deviation (10%)3.352.993.271.49
Downside Deviation (5%)3.232.472.340.23
Downside Deviation (0%)3.202.342.13
Sortino Ratio (10%)0.080.320.693.74
Sortino Ratio (5%)0.190.791.8142.14
Sortino Ratio (0%)0.220.942.22

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.