Mesirow Financial Investment Management, Inc. : Systematic Macro Strategy

Year-to-Date
6.07%
Oct Performance
-4.03%
Min Investment
$ 2,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
11.66%
Sharpe (RFR=1%)
0.03
CAROR
-
Assets
$ 6.1M
Worst DD
-8.22
S&P Correlation
-0.05

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 Oct Qtr YTD 1yr 3yr 5yr 10yr Since
2/2018
Systematic Macro Strategy -4.03 -1.16 6.07 3.40 - - - 1.16
S&P 500 2.04 1.92 21.16 12.01 - - - 11.92
+/- S&P 500 -6.07 -3.08 -15.09 -8.60 - - - -10.76

Strategy Description

Investment Strategy

SYSTEMATIC MACRO STRATEGY: Mesirow Financial Currency Management offers a purely systematic managed account structure that invests in the systematic components of the three alpha programs: Asia, Emerging and Extended. The Strategy allocates capital to each of the systematic... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 2,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
Available to US Investors
Yes

Subscriptions

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

Trading

Trading Frequency
0 RT/YR/$M
Avg. Margin-to-Equity
0%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus
Diversified 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

Composition

Investment Strategy

SYSTEMATIC MACRO STRATEGY: Mesirow Financial Currency Management offers a purely systematic managed account structure that invests in the systematic components of the three alpha programs: Asia, Emerging and Extended. The Strategy allocates capital to each of the systematic components using our proprietary quantitative allocation process to dynamically adjust allocations monthly based on an Equal Risk Contribution principle. Mesirow believes that the added diversification achieved by combining the systematic components of the three programs greatly enhances their ability to generate superior risk-adjusted returns through their systematic models across diverse market environments. Returns for February 2018 are unadjusted returns for a partial month. Notes on performance: The Systematic Macro Multi-Strategy combines the systematic carve-outs from the Emerging, Asian and Extended Market Macro Strategies. These three carveout components are combined into a single set of portfolio returns using an equal-risk allocation procedure based on a proprietary method of measuring each component's portfolio risk contribution. Leverage is then used to target an overall portfolio volatility of 12% per annum. The composite currently has a single account and net returns are determined using this client's actual fees. Fees are negotiable.

   

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:
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Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
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Average Gain:
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-8.22 2 15 2/1/2018 4/1/2018
-4.83 2 - 8/1/2019 10/1/2019
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Consecutive Gains

Run-up Length (Mos.) Start End
7.11 2 5/1/2018 6/1/2018
6.87 2 7/1/2019 8/1/2019
6.80 2 4/1/2019 5/1/2019
4.20 1 1/1/2019 1/1/2019
0.91 2 10/1/2018 11/1/2018
0.27 1 8/1/2018 8/1/2018
0.20 1 2/1/2018 2/1/2018
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Consecutive Losses

Run-up Length (Mos.) Start End
-8.22 2 3/1/2018 4/1/2018
-5.98 2 2/1/2019 3/1/2019
-4.83 2 9/1/2019 10/1/2019
-2.68 1 12/1/2018 12/1/2018
-1.27 1 9/1/2018 9/1/2018
-0.41 1 7/1/2018 7/1/2018
-0.33 1 6/1/2019 6/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month
Number of Periods21.0019.0016.0010.00
Percent Profitable52.3842.1156.2570.00
Average Period Return0.110.842.212.35
Average Gain2.386.036.215.08
Average Loss-2.39-2.94-2.93-4.02
Best Period6.578.8212.828.54
Worst Period-7.05-8.04-4.11-5.87
Standard Deviation3.365.195.665.25
Gain Standard Deviation2.462.024.263.09
Loss Standard Deviation2.292.891.042.95
Sharpe Ratio (1%)0.010.110.300.26
Average Gain / Average Loss1.002.052.121.26
Profit / Loss Ratio1.101.492.732.95
Downside Deviation (10%)2.443.803.645.36
Downside Deviation (5%)2.273.212.363.05
Downside Deviation (0%)2.233.072.042.56
Sortino Ratio (10%)-0.12-0.10-0.07-0.49
Sortino Ratio (5%)0.010.180.730.44
Sortino Ratio (0%)0.050.271.080.92

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.