MSR Investments, LLC : MSR Quantitative Directional Strategy

archived programs
Year-to-Date
N / A
Aug Performance
-6.35%
Min Investment
$ 5,000k
Mgmt. Fee
1.00%
Perf. Fee
0%
Annualized Vol
9.07%
Sharpe (RFR=1%)
0.07
CAROR
1.19%
Assets
$ 4.0M
Worst DD
-18.07
S&P Correlation
0.22

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 Aug Qtr YTD 1yr 3yr 5yr 10yr Since
9/2009
MSR Quantitative Directional Strategy -6.35 -7.35 - -1.50 -8.39 1.60 - 7.37
S&P 500 -6.26 -6.42 - -1.56 40.21 87.92 - 86.54
+/- S&P 500 -0.09 -0.93 - 0.06 -48.60 -86.31 - -79.17

Strategy Description

Summary

MSR Investments, LLC takes a unique approach to short term directional trading. MSR’s Quantitative Directional Program evaluates multiple return distributions over a variety of time frames. Based on given forecasts of probability-based forward return distributions, the Program determines... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.50
Management Fee
1.00%
Performance Fee
0%
Average Commission
$2.50
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
1500 RT/YR/$M
Avg. Margin-to-Equity
6%
Targeted Worst DD
-12.00%
Worst Peak-to-Trough
11.61%
Sector Focus
Diversified 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

Counter-trend
70.00%
Momentum
30.00%
Strategy Pie Chart

Composition

Stock Indices
31.00%
Currency Futures
31.00%
Interest Rates
24.00%
Energy
7.00%
Precious Metals
7.00%
Composition Pie Chart

Summary

MSR Investments, LLC takes a unique approach to short term directional trading. MSR’s Quantitative Directional Program evaluates multiple return distributions over a variety of time frames. Based on given forecasts of probability-based forward return distributions, the Program determines whether a certain market is most likely to be in reversal or momentum mode and then trades it accordingly. The time horizon for this assessment can range from one week to one month, although actual trading positions may be shorter in duration. Additionally, the Program incorporates an intraday “break-out” trading model that attempts to mitigate losses when there are large intraday price changes. The Program trades a wide variety of futures markets including global equity indices, currencies, fixed income, energy and gold.

Investment Strategy

The portfolio is constructed from a collection of hundreds of individual "strategies". We define a "strategy" as a combination of one model, one market, and one set of variables. Strategies are reweighted in the portfolio daily based on a probability algorithm designed to predict relative future performance. Retaining hundreds of "strategies" in the portfolio is intended to mitigate the negative effects of data mining that can result from choosing only the “strategy” with the best return. The individual strategies are divided into two categories: "reversal" and "momentum". We employ a probability based analysis focused on the return distribution of the various markets we trade across certain time frames that our research indicates are critical to determining the current state of the market. This analysis determines whether a certain market is most likely to be in "reversal" or "momentum" mode, and we then trade it accordingly.

Risk Management

Position sizes are detemined by the historical volatility of both the contract being traded and the strategy being employed. Daily VAR limits are also employed. Finally, the daily breakout strategy is designed to limit downside risk on the most volatile of days.

   

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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Risk
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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:
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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
-18.07 37 - 2/1/2011 3/1/2014
-11.13 2 7 11/1/2009 1/1/2010
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Consecutive Gains

Run-up Length (Mos.) Start End
29.38 8 7/1/2010 2/1/2011
8.16 2 4/1/2010 5/1/2010
6.09 2 8/1/2014 9/1/2014
4.94 1 2/1/2010 2/1/2010
4.79 5 11/1/2014 3/1/2015
4.72 3 9/1/2009 11/1/2009
3.08 3 2/1/2013 4/1/2013
3.03 2 9/1/2011 10/1/2011
2.89 3 4/1/2014 6/1/2014
2.47 1 8/1/2012 8/1/2012
2.32 1 12/1/2011 12/1/2011
2.29 2 5/1/2011 6/1/2011
1.97 1 4/1/2012 4/1/2012
1.43 1 6/1/2013 6/1/2013
1.40 2 11/1/2012 12/1/2012
0.88 1 8/1/2013 8/1/2013
0.72 1 7/1/2015 7/1/2015
0.69 1 5/1/2015 5/1/2015
0.50 1 6/1/2012 6/1/2012
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Consecutive Losses

Run-up Length (Mos.) Start End
-11.14 7 9/1/2013 3/1/2014
-11.13 2 12/1/2009 1/1/2010
-6.35 1 8/1/2015 8/1/2015
-4.33 2 7/1/2011 8/1/2011
-4.17 2 3/1/2011 4/1/2011
-3.87 1 11/1/2011 11/1/2011
-3.60 3 1/1/2012 3/1/2012
-3.51 1 7/1/2012 7/1/2012
-3.21 1 3/1/2010 3/1/2010
-2.89 1 5/1/2013 5/1/2013
-2.81 1 6/1/2010 6/1/2010
-2.28 1 4/1/2015 4/1/2015
-1.80 1 10/1/2014 10/1/2014
-1.80 1 5/1/2012 5/1/2012
-1.77 1 6/1/2015 6/1/2015
-1.51 2 9/1/2012 10/1/2012
-0.83 1 1/1/2013 1/1/2013
-0.45 1 7/1/2014 7/1/2014
-0.31 1 7/1/2013 7/1/2013
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year
Number of Periods72.0070.0067.0061.0055.0049.0037.0025.00
Percent Profitable56.9455.7147.7649.1840.0036.7343.2460.00
Average Period Return0.130.501.343.202.921.711.572.52
Average Gain1.913.436.9311.5814.6414.2414.068.62
Average Loss-2.21-3.20-3.77-4.91-4.90-5.56-7.96-6.63
Best Period5.0312.5121.6532.2732.7828.7524.7318.52
Worst Period-9.17-10.95-10.48-11.54-9.47-11.88-17.46-10.94
Standard Deviation2.624.547.2110.9511.8911.3012.598.71
Gain Standard Deviation1.463.316.289.7510.568.786.864.97
Loss Standard Deviation1.842.852.913.162.813.435.463.01
Sharpe Ratio (1%)0.020.050.120.200.12-0.03-0.12-0.18
Average Gain / Average Loss0.861.071.842.362.992.561.771.30
Profit / Loss Ratio1.141.351.682.281.991.491.351.95
Downside Deviation (10%)2.093.505.017.5010.1013.1218.7220.86
Downside Deviation (5%)1.922.963.724.765.416.609.217.04
Downside Deviation (0%)1.882.833.424.144.365.177.214.57
Sortino Ratio (10%)-0.13-0.21-0.23-0.24-0.46-0.65-0.76-0.91
Sortino Ratio (5%)0.030.080.230.460.26-0.04-0.16-0.22
Sortino Ratio (0%)0.070.180.390.770.670.330.220.55

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.