Midwest Trading Partners, LLC : Micro-Arbitrage Program (MAP) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Nov Qtr YTD 1yr 3yr 5yr 10yr Since1/2005 Micro-Arbitrage Program (MAP) -0.14 - - - - -0.94 -3.98 28.40 S&P 500 3.42 - - - - 76.33 56.96 243.65 +/- S&P 500 -3.56 - - - - -77.27 -60.94 -215.25 Strategy Description SummaryThe 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% Composition Interest Rates 100.00% SummaryThe 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 StrategyThe 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 ManagementNo 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. 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 -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 Show More 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 Show More 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 Show More 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 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 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. x {{title}} x {{title}} Add Cancel