MSR Investments, LLC : MSR Quantitative Directional Strategy Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All 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 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 Aug Qtr 2020 1yr 3yr 5yr 10yr Since9/2009 MSR Quantitative Directional Strategy -6.35 - - - - - -10.24 7.37 S&P 500 -6.26 - - - - - 61.58 251.65 +/- S&P 500 -0.09 - - - - - -71.83 -244.28 Strategy Description SummaryMSR 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% Composition Currency Futures 31.00% Stock Indices 31.00% Interest Rates 24.00% Precious Metals 7.00% Energy 7.00% SummaryMSR 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 StrategyThe 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 ManagementPosition 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. 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 -18.07 37 - 2/1/2011 3/1/2014 -11.13 2 7 11/1/2009 1/1/2010 Show More 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 Show More 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 Show More 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. x {{title}} x {{title}} Add Cancel