W.G. Wealth Guardian Ltd. : Trend Fix Portfolio

Year-to-Date
8.10%
Aug Performance
0.82%
Min Investment
$ 250k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
15.75%
Sharpe (RFR=1%)
0.53
CAROR
8.51%
Assets
$ 4.0M
Worst DD
-21.85
S&P Correlation
0.12

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
2/2016
Trend Fix Portfolio 0.82 3.14 8.10 -6.81 24.91 - - 34.01
S&P 500 -1.81 6.34 16.73 0.85 33.43 - - 49.91
+/- S&P 500 2.63 -3.20 -8.63 -7.66 -8.52 - - -15.91

Strategy Description

Summary

The Trend Fix Portfolio (TFP) a short-to-medium-term systematic trading program that trades a diversified portfolio of futures contracts. It is a long-short program and currently trades 14 of the most liquid futures contracts - spanning the currency, bonds, stock index and commodity... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 250k
Trading Level Incremental Increase
$ 250k
CTA Max Funding Factor
2.00
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$6.30
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
1

Trading

Trading Frequency
2650 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
-30.00%
Worst Peak-to-Trough
19.50%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
10.00%
1-30 Days
88.00%
Intraday
2.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Counter-trend
50.00%
Momentum
30.00%
Pattern Recognition
10.00%
Trend-following
10.00%
Strategy Pie Chart

Composition

Stock Indices
33.00%
Currency Futures
26.00%
Interest Rates
15.00%
Precious Metals
10.00%
Energy
6.00%
Industrial Metals
5.00%
Grains
5.00%
Composition Pie Chart

Summary

The Trend Fix Portfolio (TFP) a short-to-medium-term systematic trading program that trades a diversified portfolio of futures contracts. It is a long-short program and currently trades 14 of the most liquid futures contracts - spanning the currency, bonds, stock index and commodity sectors and in geographical locations around the world. The strategy is almost always invested in every market – being flat any particular contract less than 5% of the time. The strategy attempts to capture short-to-medium-term directional movement through a select combination of statistical and technical analysis that identifies market direction. TFP was designed as a pure trading strategy that is defter in nature and follows market action more closely. An intraday timeframe is employed for this purpose as this allows for improved agility in the marketplace. The program seeks to provide superior risk-adjusted returns whilst minimizing drawdowns.

Investment Strategy

The strategy is driven by short-term price direction and can be considered similar to a momentum/trend-following system. The strategy attempts to determine the underlying trend by minimizing market noise through multi-pass filtering. The strategy also incorporates several counter-trend modules which intelligently adapts to market conditions and ascertains as to whether the direction change is temporary in nature or whether a trend change is in progress. With the help of technical tools such as pattern recognition, support/resistance and momentum analysis, the program seeks out likely turning points. In doing so, the strategy is able to maximize profit windows by finding early entry points. The large number of in-built counter-trend modules attempt to minimize open equity/portfolio drawdown by following market pull-backs and trend change scenarios. The modules work together seamlessly to produce a cohesive trading strategy that constantly adapts to changing market risks. A number of minimal-lag timing tools are used in the short term to finesse position entry. Consistency, robustness and low margin-utilization are also key features of the TFP program. The strategy was created and developed by investment professionals with over 50 years’ combined trading experience using observable market behavior and statistics.

Risk Management

The TFP program demands a somewhat different approach to risk management due to the always invested nature of the strategy. Risk is firstly controlled through trading criteria and then through position management once in a position. A balanced and diversified portfolio of assets is employed to reduce systematic risk. A low leverage, low margin-to-equity ratio approach is adopted from the outset, consistent with the investment ethos of the other trading strategies under management. The strategy does not use any traditional hard stops but dynamically transitions to changing market conditions following directional changes. 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
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Sharpe Ratio: (RF=1%)
Skewness:
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Compound RoR:
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-21.85 8 7 1/1/2017 9/1/2017
-13.79 4 - 8/1/2018 12/1/2018
-0.95 1 3 6/1/2016 7/1/2016
-0.83 1 1 6/1/2018 7/1/2018
-0.06 1 1 4/1/2018 5/1/2018
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Consecutive Gains

Run-up Length (Mos.) Start End
22.17 3 2/1/2018 4/1/2018
22.04 5 9/1/2016 1/1/2017
13.19 3 10/1/2017 12/1/2017
8.31 5 2/1/2016 6/1/2016
7.66 3 5/1/2017 7/1/2017
6.80 1 8/1/2018 8/1/2018
4.19 1 1/1/2019 1/1/2019
3.72 4 5/1/2019 8/1/2019
2.08 1 6/1/2018 6/1/2018
0.71 1 11/1/2018 11/1/2018
0.62 1 3/1/2019 3/1/2019
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Consecutive Losses

Run-up Length (Mos.) Start End
-19.37 3 2/1/2017 4/1/2017
-9.97 2 8/1/2017 9/1/2017
-9.71 2 9/1/2018 10/1/2018
-5.95 1 1/1/2018 1/1/2018
-5.19 1 12/1/2018 12/1/2018
-0.95 2 7/1/2016 8/1/2016
-0.83 1 7/1/2018 7/1/2018
-0.35 1 2/1/2019 2/1/2019
-0.23 1 4/1/2019 4/1/2019
-0.06 1 5/1/2018 5/1/2018
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year
Number of Periods43.0041.0038.0032.0026.0020.00
Percent Profitable65.1268.2955.2665.6396.1590.00
Average Period Return0.782.354.377.9913.3818.24
Average Gain3.146.7612.7415.3713.9720.61
Average Loss-3.88-7.14-5.96-6.09-1.43-3.15
Best Period12.8822.1727.5137.2526.8734.03
Worst Period-10.29-19.37-13.72-16.80-1.43-4.94
Standard Deviation4.558.9411.6914.058.8210.20
Gain Standard Deviation3.206.338.5011.248.467.50
Loss Standard Deviation3.175.784.545.212.53
Sharpe Ratio (1%)0.150.240.330.501.351.59
Average Gain / Average Loss0.810.952.142.539.756.55
Profit / Loss Ratio1.622.042.644.82243.7258.94
Downside Deviation (10%)3.005.666.367.193.054.41
Downside Deviation (5%)2.865.205.235.070.631.73
Downside Deviation (0%)2.825.094.964.600.281.14
Sortino Ratio (10%)0.130.200.300.421.901.81
Sortino Ratio (5%)0.250.400.741.3818.869.40
Sortino Ratio (0%)0.280.460.881.7447.6015.93

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 10 4.19 1/2019
Systematic Trader Index Month 9 6.80 8/2018
Diversified Trader Index Month 9 6.80 8/2018
Systematic Trader Index Month 4 4.01 4/2018
Diversified Trader Index Month 2 4.01 4/2018
Systematic Trader Index Month 3 4.01 4/2018
Diversified Trader Index Month 2 4.01 4/2018
Diversified Trader Index Month 1 5.22 3/2018
Systematic Trader Index Month 5 5.22 3/2018
Systematic Trader Index Month 5 11.63 2/2018
Diversified Trader Index Month 1 11.63 2/2018
Systematic Trader Index Month 3 6.74 12/2017
Diversified Trader Index Month 2 6.74 12/2017
Systematic Trader Index Month 3 3.97 11/2017
Diversified Trader Index Month 1 3.97 11/2017

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