Market Focus Services Limited : Classic Program

archived programs
Year-to-Date
N / A
Dec Performance
0.00%
Min Investment
$ 150k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
47.49%
Sharpe (RFR=1%)
0.69
CAROR
29.34%
Assets
$ 717k
Worst DD
-24.61
S&P Correlation
-0.31

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 Dec Qtr YTD 1yr 3yr 5yr 10yr Since
11/2005
Classic Program 0.00 - - - - - 47.36 277.78
S&P 500 6.53 - - - - - -4.74 177.25
+/- S&P 500 -6.53 - - - - - 52.11 100.54

Strategy Description

Summary

-The program is defensive and then highly opportunistic. We are defensive of capital, trying to avoid sideways markets, but then aim to be aggressive in good moves. This gives us an excellent low co-relation to other managers. It is particularly well suited to clients seeking to... Read More

Account & Fees

Type Managed Account
Minimum Investment $ 150k
Trading Level Incremental Increase $ 0k
CTA Max Funding Factor
Management Fee 2.00%
Performance Fee 20.00%
Average Commission $8.00
Available to US Investors Yes

Subscriptions

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

Trading

Trading Frequency 2650 RT/YR/$M
Avg. Margin-to-Equity 27%
Targeted Worst DD -17.00%
Worst Peak-to-Trough 17.00%
Sector Focus Diversified Traders

Holding Periods

Over 12 Months 2.00%
4-12 Months 26.00%
1-3 Months 72.00%
1-30 Days
Intraday 0%

Decision-Making

Discretionary 0%
Systematic 0%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Summary

-The program is defensive and then highly opportunistic. We are defensive of capital, trying to avoid sideways markets, but then aim to be aggressive in good moves. This gives us an excellent low co-relation to other managers. It is particularly well suited to clients seeking to diversify away from equity and financial sector exposure and to gain balance from participation in industrial and agricultural commodities. Trading in over 40 non correlated markets and products, from financials through agriculturals, metals, energy and foodstuffs, offers both diversification of risk and maximisation of opportunity plus, in any given year, there is always one sector that is moving strongly whilst many other sectors may be ranging or quiet. We would expect to be taking advantage of whichever sector in which that performance was happening. MFS uses a tested and proven proprietary methodology of pattern recognition, break out, trend following with supporting filter mechanisms, to signal entry and exit points. Filters are used in order to attempt to prevent the system taking sub-optimal signals in non-trending markets. All trades are assumed an equal probability of success, so a constant dollar risk value is attached to every trade before it is entered. The worst allowable loss is calculated before the trade is put on, based on the difference between the entry and worst case exit to give a $ amount. All open positions always have live, working gtc stops for protection. Andy Robertson is the managing director of MFS and 100% shareholder. Since leaving university, he has worked in financial markets from 1982, aged 21. Initially working on the LIFFE floor and then in the dealing room for a major US investment bank as a bond trader, he left the City and began futures trading on his own account in 1989. He has, with breaks, managed his own money and client accounts since this time.

Investment Strategy

The programme trades end of day, not intra day, charts. It covers 42 products in 8 asset classes in the futures markets - base metals, precious metals, energy, foodstuffs, grains, interest rates, currencies and equity indices. Winning positions are held for so long as they continue to perform in the direction of the trend. Losing trades are cut within 1 to 3 days with a maximum expected loss of 0.4% per trade but generally less than this. Diversification is achieved through holding a balanced portfolio across the product range and not having correlated positions from different asset classes, eg. it would be unlikely to be long on 3m interest rates, plus bonds whilst short equity. The two of the three strongest positions only would be taken and the third ignored. One of the main attractions of this programme is its sector diversification. By weighting all trades equally, it doesn’t matter if equities or currencies are quiet, there is normally something going on somewhere else and we hope to be active in such moving sectors and avoid quiet ones.

Risk Management

All orders are emailed to broker each morning – all held on stop, gtc. All open positions have held, working protective stops with broker at all times We aim to make 15-20% pa with similar drawdowns. However, clients choose their level of leverage/returns/drawdowns/risk. The programme trades exactly the same signals but the client determines the levels of dilution he/she requires.

   

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
-24.61 10 6 5/1/2006 3/1/2007
-17.64 5 3 2/1/2008 7/1/2008
-14.68 15 1 5/1/2009 8/1/2010
-7.25 1 2 1/1/2006 2/1/2006
-6.55 3 1 9/1/2007 12/1/2007
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Consecutive Gains

Run-up Length (Mos.) Start End
94.65 3 8/1/2008 10/1/2008
47.36 3 9/1/2010 11/1/2010
37.21 2 1/1/2008 2/1/2008
26.51 3 3/1/2006 5/1/2006
21.70 3 4/1/2007 6/1/2007
20.24 1 9/1/2007 9/1/2007
14.71 3 11/1/2005 1/1/2006
7.19 1 5/1/2009 5/1/2009
5.65 1 8/1/2006 8/1/2006
4.71 1 11/1/2009 11/1/2009
2.88 1 8/1/2009 8/1/2009
2.66 1 6/1/2008 6/1/2008
2.22 1 3/1/2010 3/1/2010
0.07 1 11/1/2006 11/1/2006
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Consecutive Losses

Run-up Length (Mos.) Start End
-14.96 4 12/1/2006 3/1/2007
-12.84 1 7/1/2008 7/1/2008
-9.80 2 6/1/2006 7/1/2006
-8.16 2 7/1/2007 8/1/2007
-7.95 3 3/1/2008 5/1/2008
-7.63 5 4/1/2010 8/1/2010
-7.25 1 2/1/2006 2/1/2006
-7.04 2 9/1/2006 10/1/2006
-6.80 3 12/1/2009 2/1/2010
-6.55 3 10/1/2007 12/1/2007
-5.16 2 9/1/2009 10/1/2009
-5.09 2 6/1/2009 7/1/2009
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods62.0060.0057.0051.0045.0039.0027.0015.00
Percent Profitable40.3245.0059.6568.6382.22100.00100.00100.00
Average Period Return2.838.5315.0129.5452.1882.29145.35152.16
Average Gain11.0725.0329.9246.1764.4682.29145.35152.16
Average Loss-3.49-5.66-7.34-6.82-4.62
Best Period92.2194.6594.65119.98147.17176.27196.48228.80
Worst Period-12.84-15.27-17.53-14.41-8.5412.42109.5698.31
Standard Deviation13.7123.8728.4440.3249.6552.4323.8543.31
Gain Standard Deviation18.6327.5628.0338.3746.2552.4323.8543.31
Loss Standard Deviation2.803.755.375.102.74
Sharpe Ratio (1%)0.200.350.510.711.021.535.973.42
Average Gain / Average Loss3.174.424.086.7713.95
Profit / Loss Ratio2.744.126.3014.8164.51
Downside Deviation (10%)3.275.446.927.205.27
Downside Deviation (5%)3.084.845.865.182.80
Downside Deviation (0%)3.044.695.604.722.23
Sortino Ratio (10%)0.741.341.813.418.46
Sortino Ratio (5%)0.891.712.485.5118.10
Sortino Ratio (0%)0.931.822.686.2623.42

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.