W.G. Wealth Guardian Ltd. : SAFI2 Program

Year-to-Date
0.03%
Oct Performance
-0.09%
Min Investment
$ 1,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
9.01%
Sharpe (RFR=1%)
0.92
CAROR
9.29%
Assets
$ 8.0M
Worst DD
-16.28
S&P Correlation
-0.11

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
9/1997
SAFI2 Program -0.09 3.51 0.03 1.87 21.46 68.85 75.52 615.77
S&P 500 2.04 1.92 21.16 12.01 41.41 48.99 190.12 210.99
+/- S&P 500 -2.13 1.59 -21.13 -10.14 -19.95 19.86 -114.60 404.78

Strategy Description

Summary

The Strategic Automated Financial Investing2 (SAFI2) Program is a systematic directional long/short global macro strategy that invests in a diversified portfolio of currencies, bonds, equities and commodities futures around the world. The Program uses a quantitative approach to capture... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 1,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$7.25
Available to US Investors
No

Subscriptions

High Water Mark
Yes
Subscription Frequency
7-14 Days
Redemption Frequency
7-14 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
950 RT/YR/$M
Avg. Margin-to-Equity
14%
Targeted Worst DD
-20.00%
Worst Peak-to-Trough
16.26%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
1.00%
4-12 Months
7.00%
1-3 Months
24.00%
1-30 Days
67.00%
Intraday
1.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
40.00%
Pattern Recognition
30.00%
Trend-following
30.00%
Strategy Pie Chart

Composition

Stock Indices
23.00%
Currency Futures
21.00%
Interest Rates
13.00%
Grains
12.00%
Energy
9.00%
Precious Metals
8.00%
Softs
6.00%
VIX
5.00%
Industrial Metals
3.00%
Composition Pie Chart

Summary

The Strategic Automated Financial Investing2 (SAFI2) Program is a systematic directional long/short global macro strategy that invests in a diversified portfolio of currencies, bonds, equities and commodities futures around the world. The Program uses a quantitative approach to capture medium term investment returns for the major asset classes. The Program seeks to provide net annual returns superior to traditional investments and attempts to minimise monthly drawdowns in net asset value to a minimum. SAFI2 returns have low correlation with the major asset classes and many alternative investment strategies. The SAFI2 program was designed with the central principles of capital preservation and enhanced risk-adjusted returns in mind. The aim was to develop an agile and robust trading program that would provide steady and consistent returns rather than having stellar months or years that are accompanied by large negative swings and drawdowns. The Sharpe ratio remains one of the most important performance metrics monitored by management. With the low margin utilisation and balanced portfolio approach, the program attempts to assimilate the risk-return profile of a traditional investment portfolio whilst being totally uncorrelated to such portfolios. This goal has been achieved by leveraging the expertise and knowledge of the experience gained by the developers though years of trading and market observation.

Investment Strategy

The SAFI2 trading program is based on both statistical and technical analysis as well as pattern recognition models. The philosophy believes that trends and patterns continue to occur and repeat in today’s marketplace and therefore producing profitable opportunities. However the increased micro-volatility and long periods of range-bound trading renders traditional trend-following approaches largely ineffective. The program was developed to improve on this.The program evolves the principles of tradition trend-following/break-out type models by employing advanced pattern recognition models and statistical projections to add multiple countertrend elements. The program also excels in identifying trending periods and will only allow investment during this time. This results in a cohesive trading strategy that is both nimble and adaptive which is suited to a wide range of market conditions. The following are the key attributes of the strategy: 1) Multi-faceted, adaptive approach; 2) Multi-timeframe methodology incorporating trend and countertrend elements; 3) Low margin utilisation and risk averse attitude; 4) Conceived by investment professionals with over 50 years’ combined trading experience; 5) Designed from inception with these key characteristics in mind; 6) Developed using observable market behaviour and statistics; 7) Track record since September 1997.

Risk Management

The risk management of the program is inherent to the design ethos of the program. The overall program averages 9% margin-equity, with an overall limit of 20% margin-equity. Although entry points are an important part of any trade, the exit methodology can often be neglected or often relies on stop-type exits to terminate positions. The current methodology for exiting trades should not be seen as a traditional stop-type method. Rather it is an in-built exit strategy that is integrated into the entire system. It is not an after-thought that was added to the system after the trade entry mechanism had been developed. The program is founded on the belief that only by focusing on the exit strategy and managing open positions can the desired risk profile be realised. It should be noted that the core trend-identification model that is used to initiate trades has also been designed to detect non-trending periods or deterioration in trends. This, in the first instance, triggers potential trade exits. Similar to trade initiation, an adaptive strategy is also employed to aid with timing/level of these exits. There are no fixed stop levels that are calculated using the traditional technical indicator groups such as moving average cross-over/gann levels/support and resistance levels. The exit points are determined using a combination of volatility and momentum indicators as well as time factors which constantly adjust to current market conditions. This method works best to both capture potential persistence in trends and trend changes that occur in different market environments. The program also has an embedded portfolio limit threshold that once triggered will initiate liquidation of the entire portfolio. This only occurs rarely and under extreme market conditions. The mechanism takes into account both individual and collective market volatility and correlation risks and when an extraordinary level is detected all open positions are closed out. This automated process also determines when the portfolio can then be reinstated once the volatility and concentration risks subside.

   

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
-16.28 17 3 5/1/2013 10/1/2014
-11.93 13 11 1/1/2005 2/1/2006
-9.17 10 - 1/1/2018 11/1/2018
-6.42 1 3 6/1/2015 7/1/2015
-6.23 2 3 5/1/2004 7/1/2004
-5.52 4 4 9/1/2011 1/1/2012
-5.48 4 6 5/1/2000 9/1/2000
-4.92 1 5 5/1/2016 6/1/2016
-4.22 8 2 8/1/2001 4/1/2002
-3.67 4 5 10/1/2009 2/1/2010
-3.49 2 2 5/1/2008 7/1/2008
-3.37 1 1 9/1/1999 10/1/1999
-3.31 2 1 9/1/2002 11/1/2002
-3.25 4 1 12/1/2016 4/1/2017
-3.22 2 7 1/1/2009 3/1/2009
-3.20 1 2 9/1/2003 10/1/2003
-3.11 2 3 1/1/2015 3/1/2015
-2.84 4 1 7/1/2017 11/1/2017
-2.74 3 1 1/1/2013 4/1/2013
-2.33 2 1 6/1/2007 8/1/2007
-2.17 1 1 10/1/2008 11/1/2008
-2.17 1 2 2/1/2003 3/1/2003
-2.06 1 3 11/1/2015 12/1/2015
-1.63 4 2 7/1/2012 11/1/2012
-1.41 2 1 12/1/2010 2/1/2011
-1.02 1 3 4/1/2011 5/1/2011
-0.99 1 2 5/1/2001 6/1/2001
-0.98 1 1 3/1/2001 4/1/2001
-0.97 1 1 2/1/1999 3/1/1999
-0.53 2 1 1/1/2007 3/1/2007
-0.48 2 1 10/1/2004 12/1/2004
-0.42 1 1 6/1/2003 7/1/2003
-0.42 1 1 3/1/2000 4/1/2000
-0.22 1 1 10/1/2007 11/1/2007
-0.19 1 1 1/1/1998 2/1/1998
-0.13 1 1 7/1/1999 8/1/1999
-0.12 1 1 5/1/2012 6/1/2012
-0.10 1 1 7/1/2002 8/1/2002
-0.02 1 1 6/1/1998 7/1/1998
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
27.86 3 11/1/2014 1/1/2015
27.60 7 8/1/1998 2/1/1999
18.28 3 10/1/2016 12/1/2016
17.49 5 11/1/1999 3/1/2000
15.77 5 9/1/1997 1/1/1998
14.52 3 8/1/2008 10/1/2008
13.56 3 5/1/2002 7/1/2002
11.69 2 12/1/2017 1/1/2018
11.63 7 11/1/2003 5/1/2004
11.55 4 4/1/1999 7/1/1999
9.41 3 12/1/2002 2/1/2003
8.46 4 6/1/2011 9/1/2011
8.09 5 1/1/2016 5/1/2016
7.77 3 3/1/2006 5/1/2006
7.58 3 4/1/2007 6/1/2007
7.54 4 3/1/1998 6/1/1998
7.43 3 4/1/2003 6/1/2003
7.40 3 5/1/2017 7/1/2017
7.38 3 11/1/2006 1/1/2007
6.79 6 12/1/2007 5/1/2008
6.69 3 8/1/2004 10/1/2004
6.54 2 3/1/2011 4/1/2011
6.53 1 8/1/2015 8/1/2015
6.14 1 5/1/2012 5/1/2012
6.00 2 9/1/2007 10/1/2007
5.91 8 5/1/2010 12/1/2010
5.48 3 12/1/2018 2/1/2019
5.42 4 10/1/2000 1/1/2001
5.05 1 5/1/2019 5/1/2019
4.53 2 7/1/2001 8/1/2001
4.46 1 3/1/2001 3/1/2001
4.35 2 4/1/2018 5/1/2018
4.34 1 5/1/2013 5/1/2013
3.87 3 4/1/2015 6/1/2015
3.79 1 8/1/2019 8/1/2019
3.54 2 10/1/2015 11/1/2015
3.31 3 8/1/2009 10/1/2009
3.26 2 4/1/2009 5/1/2009
3.18 1 5/1/2001 5/1/2001
3.17 2 12/1/2008 1/1/2009
3.08 1 7/1/2012 7/1/2012
2.91 2 8/1/2003 9/1/2003
2.80 1 12/1/2001 12/1/2001
2.70 1 9/1/2002 9/1/2002
2.61 2 7/1/2016 8/1/2016
2.50 2 12/1/2012 1/1/2013
2.27 1 9/1/1999 9/1/1999
2.23 1 12/1/2011 12/1/2011
2.20 1 10/1/2018 10/1/2018
1.44 1 5/1/2000 5/1/2000
1.27 1 3/1/2010 3/1/2010
1.24 2 2/1/2012 3/1/2012
1.11 2 2/1/2002 3/1/2002
1.05 1 9/1/2017 9/1/2017
1.04 1 11/1/2013 11/1/2013
1.03 1 7/1/2006 7/1/2006
0.89 1 9/1/2006 9/1/2006
0.88 1 2/1/2017 2/1/2017
0.84 1 3/1/2013 3/1/2013
0.80 1 1/1/2005 1/1/2005
0.58 1 10/1/2005 10/1/2005
0.50 1 5/1/2005 5/1/2005
0.40 1 8/1/2000 8/1/2000
0.39 1 12/1/2005 12/1/2005
0.13 1 10/1/2001 10/1/2001
0.10 1 10/1/2012 10/1/2012
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-10.63 11 12/1/2013 10/1/2014
-7.29 5 6/1/2013 10/1/2013
-6.64 4 6/1/2018 9/1/2018
-6.42 1 7/1/2015 7/1/2015
-6.23 2 6/1/2004 7/1/2004
-6.13 2 2/1/2018 3/1/2018
-5.88 4 6/1/2005 9/1/2005
-5.05 2 3/1/2019 4/1/2019
-4.92 1 6/1/2016 6/1/2016
-4.50 2 10/1/2011 11/1/2011
-4.23 2 6/1/2000 7/1/2000
-3.97 3 2/1/2005 4/1/2005
-3.80 1 11/1/2001 11/1/2001
-3.75 2 6/1/2019 7/1/2019
-3.67 4 11/1/2009 2/1/2010
-3.49 2 6/1/2008 7/1/2008
-3.37 1 10/1/1999 10/1/1999
-3.31 2 10/1/2002 11/1/2002
-3.22 2 2/1/2009 3/1/2009
-3.22 1 1/1/2012 1/1/2012
-3.20 1 10/1/2003 10/1/2003
-3.12 2 1/1/2006 2/1/2006
-3.11 2 2/1/2015 3/1/2015
-2.86 2 6/1/2009 7/1/2009
-2.82 1 11/1/2018 11/1/2018
-2.73 2 3/1/2017 4/1/2017
-2.54 1 8/1/2017 8/1/2017
-2.33 2 7/1/2007 8/1/2007
-2.32 1 9/1/2016 9/1/2016
-2.19 1 6/1/2006 6/1/2006
-2.17 1 11/1/2008 11/1/2008
-2.17 1 3/1/2003 3/1/2003
-2.10 1 1/1/2002 1/1/2002
-2.06 1 12/1/2015 12/1/2015
-2.00 1 2/1/2013 2/1/2013
-1.80 1 4/1/2002 4/1/2002
-1.70 1 2/1/2001 2/1/2001
-1.70 1 9/1/2000 9/1/2000
-1.58 1 4/1/2013 4/1/2013
-1.41 2 1/1/2011 2/1/2011
-1.40 1 1/1/2017 1/1/2017
-1.39 1 11/1/2012 11/1/2012
-1.35 2 10/1/2017 11/1/2017
-1.02 1 5/1/2011 5/1/2011
-0.99 1 6/1/2001 6/1/2001
-0.98 1 4/1/2001 4/1/2001
-0.97 1 3/1/1999 3/1/1999
-0.89 1 11/1/2005 11/1/2005
-0.78 1 9/1/2015 9/1/2015
-0.53 2 2/1/2007 3/1/2007
-0.50 1 9/1/2001 9/1/2001
-0.48 2 11/1/2004 12/1/2004
-0.43 1 8/1/2006 8/1/2006
-0.42 1 7/1/2003 7/1/2003
-0.42 1 4/1/2000 4/1/2000
-0.36 1 4/1/2010 4/1/2010
-0.34 2 8/1/2012 9/1/2012
-0.27 2 9/1/2019 10/1/2019
-0.23 1 10/1/2006 10/1/2006
-0.22 1 11/1/2007 11/1/2007
-0.19 1 2/1/1998 2/1/1998
-0.13 1 8/1/1999 8/1/1999
-0.12 1 6/1/2012 6/1/2012
-0.10 1 8/1/2002 8/1/2002
-0.02 1 7/1/1998 7/1/1998
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods266.00264.00261.00255.00249.00243.00231.00219.00207.00
Percent Profitable58.2764.7774.7182.3586.3591.3698.27100.00100.00
Average Period Return0.782.334.659.4414.2819.0328.2837.5247.63
Average Gain2.374.787.3912.4817.5421.4328.8937.5247.63
Average Loss-1.47-2.16-3.48-4.78-6.32-6.37-6.19
Best Period14.1227.8626.5140.9658.5274.8997.22121.90141.11
Worst Period-6.42-5.84-7.94-11.82-13.28-14.13-9.683.003.95
Standard Deviation2.604.906.8710.4313.9916.3518.6120.4425.42
Gain Standard Deviation2.094.335.638.7612.1214.9718.1920.4425.42
Loss Standard Deviation1.241.562.093.523.504.312.98
Sharpe Ratio (1%)0.270.430.600.810.911.041.361.641.67
Average Gain / Average Loss1.622.212.132.612.783.374.67
Profit / Loss Ratio2.284.076.2912.1917.5535.58265.02
Downside Deviation (10%)1.452.223.214.505.545.704.843.074.09
Downside Deviation (5%)1.281.702.252.843.162.761.270.070.08
Downside Deviation (0%)1.231.582.032.482.662.240.88
Sortino Ratio (10%)0.250.500.680.991.211.542.595.214.89
Sortino Ratio (5%)0.541.231.842.984.046.1619.86467.90530.38
Sortino Ratio (0%)0.631.482.283.805.378.4832.06

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 7 6.53 8/2015
IASG CTA Index Month 9 6.53 8/2015
Systematic Trader Index Month 9 6.53 8/2015
IASG CTA Index Month 4 14.12 12/2014
Systematic Trader Index Month 4 14.12 12/2014
Diversified Trader Index Month 4 14.12 12/2014
Diversified Trader Index Month 7 0.80 1/2005
Systematic Trader Index Month 10 0.80 1/2005
IASG CTA Index Sharpe 10 1.74 2003 - 2004
Diversified Trader Index Month 8 0.07 4/2004
IASG CTA Index Sharpe 7 1.94 2002 - 2003
Systematic Trader Index Month 5 2.09 11/2003
Diversified Trader Index Month 7 2.09 11/2003
IASG CTA Index Month 10 2.09 11/2003
Systematic Trader Index Month 9 1.14 6/2003
Diversified Trader Index Month 8 1.14 6/2003
IASG CTA Index Sharpe 3 1.94 2001 - 2002
Diversified Trader Index Month 8 0.54 2/2002
Systematic Trader Index Month 10 0.54 2/2002
IASG CTA Index Sharpe 2 2.14 2000 - 2001
Diversified Trader Index Month 10 -0.98 4/2001
IASG CTA Index Sharpe 4 2.55 1999 - 2000
Systematic Trader Index Month 8 3.35 3/2000
Diversified Trader Index Month 5 3.35 3/2000
IASG CTA Index Month 9 3.35 3/2000
IASG CTA Index Sharpe 2 3.30 1998 - 1999
Diversified Trader Index Month 10 1.35 5/1999
Systematic Trader Index Month 10 1.35 5/1999
IASG CTA Index Month 9 6.70 4/1999
Diversified Trader Index Month 9 6.70 4/1999
Systematic Trader Index Month 7 6.70 4/1999
IASG CTA Index Month 6 3.40 1/1999
Systematic Trader Index Month 3 3.40 1/1999
Diversified Trader Index Month 4 3.40 1/1999
IASG CTA Index Sharpe 1 4.46 1997 - 1998
Systematic Trader Index Month 3 5.78 11/1998
Diversified Trader Index Month 4 5.78 11/1998
IASG CTA Index Month 6 5.78 11/1998
IASG CTA Index Month 3 6.35 10/1998
Systematic Trader Index Month 3 6.35 10/1998
Diversified Trader Index Month 3 6.35 10/1998
Diversified Trader Index Month 6 0.21 4/1998
Systematic Trader Index Month 7 0.21 4/1998
IASG CTA Index Sharpe 1 22.87 1996 - 1997
Systematic Trader Index Month 9 2.80 11/1997
Diversified Trader Index Month 4 3.06 10/1997
IASG CTA Index Month 5 3.06 10/1997
Systematic Trader Index Month 5 3.06 10/1997

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