W.G. Wealth Guardian Ltd. : SAFI2 Program (SAFI2) Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 1.32% Dec Performance -0.27% Min Investment $ 1,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 9.01% Sharpe (RFR=1%) 0.89 CAROR 8.92% Assets $ 8.0M Worst DD -16.28 S&P Correlation -0.12 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 Dec Qtr 2020 1yr 3yr 5yr 10yr Since9/1997 SAFI2 Program (SAFI2) -0.27 -2.52 1.32 1.32 5.37 34.31 75.05 634.90 S&P 500 3.71 11.69 16.26 16.26 40.48 81.90 195.57 292.41 +/- S&P 500 -3.98 -14.21 -14.94 -14.94 -35.11 -47.59 -120.52 342.49 Strategy Description SummaryThe 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% 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% SummaryThe 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 StrategyThe 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 ManagementThe 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. 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 -16.28 17 3 5/1/2013 10/1/2014 -11.93 13 11 1/1/2005 2/1/2006 -9.17 10 15 1/1/2018 11/1/2018 -8.17 4 - 8/1/2020 12/1/2020 -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 -0.09 2 1 2/1/2020 4/1/2020 -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 7.95 4 11/1/2019 2/1/2020 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 3.66 4 5/1/2020 8/1/2020 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 0.96 1 10/1/2020 10/1/2020 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 -5.79 1 9/1/2020 9/1/2020 -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 -3.45 2 11/1/2020 12/1/2020 -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 -0.09 2 3/1/2020 4/1/2020 -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 Periods280.00278.00275.00269.00263.00257.00245.00233.00221.00 Percent Profitable58.5765.1174.5583.2786.6991.4498.37100.00100.00 Average Period Return0.752.264.579.3113.9118.3827.4237.1247.37 Average Gain2.324.687.3112.1417.0020.6927.9837.1247.37 Average Loss-1.49-2.25-3.48-4.78-6.20-6.23-6.19 Best Period14.1227.8626.5140.9658.5274.8997.22121.90141.11 Worst Period-6.42-7.92-7.94-11.82-13.28-14.13-9.683.003.95 Standard Deviation2.604.886.7910.2213.7516.1618.4319.9924.71 Gain Standard Deviation2.094.285.548.6612.0114.8918.0619.9924.71 Loss Standard Deviation1.311.652.063.523.524.252.98 Sharpe Ratio (1%)0.260.410.600.810.901.011.321.651.71 Average Gain / Average Loss1.562.082.102.542.743.324.52 Profit / Loss Ratio2.223.886.1612.6417.8635.47272.46 Downside Deviation (10%)1.472.283.224.405.465.674.823.113.96 Downside Deviation (5%)1.311.772.262.763.092.711.230.070.08 Downside Deviation (0%)1.271.642.042.422.592.190.86 Sortino Ratio (10%)0.230.450.650.981.161.432.425.014.98 Sortino Ratio (5%)0.511.141.803.014.026.0519.76476.77544.60 Sortino Ratio (0%)0.591.382.243.855.378.3932.01 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 2004 Diversified Trader Index Month 8 0.07 4/2004 IASG CTA Index Sharpe 7 1.94 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 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 2001 Diversified Trader Index Month 10 -0.98 4/2001 IASG CTA Index Sharpe 4 2.55 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 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 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 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. x {{title}} x {{title}} Add Cancel