Midwest Trading Partners, LLC : Micro-Arbitrage Program (MAP)

archived programsClosed to new investments
Year-to-Date
N / A
Nov Performance
-0.14%
Min Investment
$ 1,000k
Mgmt. Fee
1.00%
Perf. Fee
25.00%
Annualized Vol
2.27%
Sharpe (RFR=1%)
0.50
CAROR
2.12%
Assets
$ 2.8M
Worst DD
-6.72
S&P Correlation
-0.08

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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since
1/2005
Micro-Arbitrage Program (MAP) -0.14 -0.31 - -1.58 -3.87 -3.07 4.27 28.40
S&P 500 3.42 1.28 - 5.69 21.76 76.33 56.96 89.50
+/- S&P 500 -3.56 -1.59 - -7.27 -25.64 -79.40 -52.69 -61.10

Strategy Description

Summary

The Micro Arbitrage Program (MAP) has been the flagship trading program of Midwest Trading Partners since its inception in 2005. The primary objectives of the program are capital preservation, equity index returns, bond index volatility and non correlation to other asset classes. The... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
4.00
Management Fee
1.00%
Performance Fee
25.00%
Average Commission
$5.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
6800 RT/YR/$M
Avg. Margin-to-Equity
7%
Targeted Worst DD
-5.00%
Worst Peak-to-Trough
4.07%
Sector Focus
Arbitrage & Spread Traders

Holding Periods

Over 12 Months
0%
4-12 Months
10.00%
1-3 Months
40.00%
1-30 Days
40.00%
Intraday
10.00%

Decision-Making

Discretionary
100.00%
Systematic
0%

Strategy

Arbitrage
100.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

The Micro Arbitrage Program (MAP) has been the flagship trading program of Midwest Trading Partners since its inception in 2005. The primary objectives of the program are capital preservation, equity index returns, bond index volatility and non correlation to other asset classes. The combination of methodology, risk adjusted performance, correlation, and margin used are unique in the managed futures space.

Investment Strategy

The MAP is a discretionary trading program focused on U.S. short term interest rate (STIR) futures. The MAP does not attempt to predict or profit from directional price movements and is managed on a “delta neutral” basis. Returns are achieved by capturing spread price dislocations that are a regular occurrence in the STIR markets due in part to institutional hedging, directional trader activity, and changes in monetary policy. Midwest’s “competitive edge”, lies in the fact that it is uniquely positioned in size and sophistication to take advantage of these dislocations. Because most of these dislocations are not large, major financial institutions tend not to commit resources. Likewise, smaller hedge funds, CTA’s, and proprietary traders are generally not focused on relative value strategies. Return opportunities for the MAP are mainly a function of low credit spread volatility and normal to above normal interest rate volatility. Likewise, drawdowns tend to be a result of a lack of trading opportunities rather than strings of unprofitable trades. We believe that our trading style and competitive edge uniquely position the Micro Arbitrage Program to produce excellent risk adjusted returns over the coming years as interest rates normalize and hedging and trading activity increases. Performance Notes: Performance shown is net of all fees that would have applied at that time. AUM data are managed accounts only, no proprietary AUM is included. From 2006 through 2010 a majority of managed accounts elected to hold their nominal account size constant on a monthly basis. As a result, the NFA requires that the annual return be computed by summing the monthly returns and not compounding them. Because Midwest does not calculate returns shown here, the YTD returns shown here are compounded. As a result of the July 2012 Peregrine Financial bankruptcy proceeding and related actions, client managed accounts were not fully under the control of Midwest Trading Partners and therefore were excluded in whole from the monthly performance calculation.

Risk Management

No program can be without risk, and the MAP is no exception. Historically the Partners have committed a significant portion of their net wealth to the program and therefore also have “skin in the game”. Risk for the MAP is monitored on a portfolio level. This includes but is not limited to market directional, curve, and credit spread risk. Midwest makes every effort to remain market neutral with respect to directional price exposure. Our model calculates our directional exposure first into maturity buckets, and then into total exposure. This allows us to mitigate as much curve and directional risk as possible. Our largest potential exposure is credit spread risk. This is the risk that the normal “credit spread” between two contracts makes an adverse move to the position. This risk is also monitored on a portfolio basis and is mitigated when the exposure exceeds predetermined levels (approx. 2%). Our commitment to risk control is evident in the low levels of drawdown incurred by the program.

   

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:
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
-6.72 73 - 5/1/2010 6/1/2016
-1.20 1 7 1/1/2008 2/1/2008
-0.56 1 1 11/1/2009 12/1/2009
-0.49 1 2 2/1/2009 3/1/2009
-0.49 1 3 9/1/2006 10/1/2006
-0.43 1 2 10/1/2005 11/1/2005
-0.33 1 1 3/1/2006 4/1/2006
-0.09 1 1 4/1/2007 5/1/2007
-0.08 1 1 8/1/2007 9/1/2007
-0.04 1 1 6/1/2009 7/1/2009
-0.04 1 1 3/1/2010 4/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
17.04 10 1/1/2005 10/1/2005
3.42 6 9/1/2008 2/1/2009
3.35 5 5/1/2006 9/1/2006
2.77 4 12/1/2005 3/1/2006
2.61 3 6/1/2007 8/1/2007
1.66 4 8/1/2009 11/1/2009
1.19 3 4/1/2009 6/1/2009
1.01 4 7/1/2014 10/1/2014
1.01 3 1/1/2010 3/1/2010
0.90 2 6/1/2008 7/1/2008
0.89 4 1/1/2007 4/1/2007
0.82 5 1/1/2013 5/1/2013
0.77 2 12/1/2007 1/1/2008
0.70 4 1/1/2012 4/1/2012
0.70 1 5/1/2010 5/1/2010
0.66 3 7/1/2016 9/1/2016
0.58 3 9/1/2012 11/1/2012
0.56 1 10/1/2015 10/1/2015
0.53 2 3/1/2008 4/1/2008
0.51 3 12/1/2014 2/1/2015
0.37 1 11/1/2006 11/1/2006
0.33 3 11/1/2013 1/1/2014
0.28 2 4/1/2011 5/1/2011
0.21 1 10/1/2007 10/1/2007
0.15 2 5/1/2015 6/1/2015
0.13 1 9/1/2013 9/1/2013
0.11 1 5/1/2014 5/1/2014
0.05 1 7/1/2013 7/1/2013
0.04 1 7/1/2010 7/1/2010
0.04 1 5/1/2016 5/1/2016
0.03 1 9/1/2010 9/1/2010
0.01 1 2/1/2016 2/1/2016
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Consecutive Losses

Run-up Length (Mos.) Start End
-2.36 3 11/1/2015 1/1/2016
-1.67 3 2/1/2014 4/1/2014
-1.34 6 10/1/2010 3/1/2011
-1.21 7 6/1/2011 12/1/2011
-1.20 1 2/1/2008 2/1/2008
-1.13 1 6/1/2016 6/1/2016
-0.88 1 6/1/2010 6/1/2010
-0.64 1 12/1/2012 12/1/2012
-0.63 1 11/1/2014 11/1/2014
-0.56 1 12/1/2009 12/1/2009
-0.49 1 3/1/2009 3/1/2009
-0.49 1 10/1/2006 10/1/2006
-0.46 1 6/1/2013 6/1/2013
-0.45 4 5/1/2012 8/1/2012
-0.44 1 5/1/2008 5/1/2008
-0.43 1 11/1/2005 11/1/2005
-0.43 3 7/1/2015 9/1/2015
-0.38 1 8/1/2010 8/1/2010
-0.33 1 4/1/2006 4/1/2006
-0.33 2 3/1/2015 4/1/2015
-0.31 2 10/1/2016 11/1/2016
-0.22 2 3/1/2016 4/1/2016
-0.09 1 5/1/2007 5/1/2007
-0.08 1 9/1/2007 9/1/2007
-0.06 1 12/1/2006 12/1/2006
-0.05 1 6/1/2014 6/1/2014
-0.04 1 4/1/2010 4/1/2010
-0.04 1 7/1/2009 7/1/2009
-0.03 1 10/1/2013 10/1/2013
-0.02 1 8/1/2008 8/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods143.00141.00138.00132.00126.00120.00108.0096.0084.00
Percent Profitable61.5460.9957.9759.8556.3552.5053.7057.2961.90
Average Period Return0.180.530.961.592.222.763.804.825.52
Average Gain0.481.222.213.535.016.508.429.8110.42
Average Loss-0.34-0.54-0.77-1.31-1.39-1.38-1.56-1.86-2.44
Best Period3.738.7813.0818.1522.1523.2428.3432.4535.98
Worst Period-1.20-2.36-2.57-3.51-3.41-3.33-3.93-3.96-4.24
Standard Deviation0.661.582.653.824.855.537.048.559.56
Gain Standard Deviation0.631.662.853.794.805.276.708.279.15
Loss Standard Deviation0.310.450.650.941.021.021.161.150.99
Sharpe Ratio (1%)0.140.180.170.150.150.140.110.090.04
Average Gain / Average Loss1.422.252.882.693.614.715.385.264.27
Profit / Loss Ratio2.503.533.974.014.665.216.247.056.94
Downside Deviation (10%)0.511.262.404.616.809.0413.7218.6724.02
Downside Deviation (5%)0.310.570.931.602.062.483.354.084.85
Downside Deviation (0%)0.270.440.651.021.131.181.321.431.62
Sortino Ratio (10%)-0.45-0.55-0.63-0.74-0.79-0.83-0.87-0.90-0.92
Sortino Ratio (5%)0.300.500.500.370.350.300.230.190.09
Sortino Ratio (0%)0.661.211.481.561.952.342.873.383.40

Top Performer Badges

Index Award Type Rank Performance Period
Discretionary Trader Index Month 9 1.82 9/2008
Discretionary Trader Index Month 10 0.25 3/2007
IASG CTA Index Sharpe 8 2.72 2005 - 2006
Discretionary Trader Index Month 8 0.82 9/2006
Discretionary Trader Index Month 9 1.05 5/2006
IASG CTA Index Sharpe 5 3.61 2004 - 2005
Discretionary Trader Index Month 8 0.51 10/2005
Discretionary Trader Index Month 5 3.73 5/2005
Discretionary Trader Index Month 3 2.90 4/2005
IASG CTA Index Month 9 2.90 4/2005
Discretionary Trader Index Month 6 1.91 3/2005
Discretionary Trader Index Month 8 1.82 2/2005
Discretionary Trader Index Month 10 0.00 1/2005

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