Wimmer Horizon LLP : Managed Account

Year-to-Date
1.15%
Jun Performance
1.32%
Min Investment
$ 5,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
16.74%
Sharpe (RFR=1%)
0.42
CAROR
6.82%
Assets
$ 63.6M
Worst DD
-31.27
S&P Correlation
-0.18

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 Jun Qtr YTD 1yr 3yr 5yr 10yr Since
5/2005
Managed Account 1.32 3.95 1.15 -0.78 -13.23 22.76 11.60 154.76
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 144.34
+/- S&P 500 -5.57 0.16 -16.19 -8.99 -51.96 -25.79 -205.08 10.42

Strategy Description

Summary

Underpinning Wimmer Horizon’s investment philosophy is the concept that financial markets do not appear to be efficient and experience persistence of behaviour in the form of price trends. This can be somewhat explained by influences of crowd behaviour, information absorption delays,... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 5,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
1-7 Days
Redemption Frequency
1-7 Days
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
1500 RT/YR/$M
Avg. Margin-to-Equity
20%
Targeted Worst DD
Worst Peak-to-Trough
0%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
50.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Currency FX
20.00%
Interest Rates
20.00%
Energy
10.00%
Grains
10.00%
Livestock
10.00%
Softs
10.00%
Stock Indices
10.00%
Industrial Metals
5.00%
Precious Metals
5.00%
Composition Pie Chart

Summary

Underpinning Wimmer Horizon’s investment philosophy is the concept that financial markets do not appear to be efficient and experience persistence of behaviour in the form of price trends. This can be somewhat explained by influences of crowd behaviour, information absorption delays, changing fundamental drivers and the macro economic evolution of global economies.

Wimmer Horizon attempts to capture price trends over multiple time horizons for a globally diversified portfolio of assets. Price trends are not smooth and market movement is not evenly distributed through time and is in itself quite complex. One key differentiator for Wimmer Horizon in this space is that Wimmer Horizon’s research recognises this and models complex price behaviour with a highly unique blend of proprietary linear and non-linear strategies. These strategies are fully automated and Wimmer Horizon believes are better able to deal with price behaviour such as abrupt price reversals and variable range conditions.

The advantage of automated trading systems is that they deliver a consistent, disciplined trading approach that not only enhances risk control but opens up a wealth of historical data for analysis and research. The certainty of action that is delivered from automated trading systems means that one can be certain about their trading actions on past data. A researcher can then instigate experimental investigation that leads to the discovery of potentially persistent phenomena in markets.

Investment Strategy

The Wimmer Horizon Programme is directional in nature and seeks to take advantage of upward and downward trending markets. The model seeks to maximise diversification whilst reducing risk. The portfolio construction methodology is designed to be adaptive, favouring team players over persistently correlated markets to target diversification. The Horizon Program blends the rigor of scientific method with the automation of trader skill to capture to model market behavior. The Horizon Program uses proprietary techniques for the identification of trends; Digital Signal Processing (DSP) techniques used to identify market cycles over multiple time frames and pattern recognition techniques used to identify significant turning points in trends. The DSP approach leverages off a large body of scientific and engineering knowledge for the analysis of signal data. The Pattern Approach builds on the experience of David Beach’s 20 years’ of trading using patterns that are unique to Beach Horizon. The combination of the use of rigorous scientific methodology combined with the automation of trader experience creates a robust model that adapts to varying trading conditions. The Horizon Program is directional in nature and seeks to take advantage of upward and downward trending markets. The model seeks to maximise diversification whilst reducing risk. The portfolio construction methodology is designed to be adaptive and avoid trading persistently correlated markets and omit trading markets that do not benefit the risk and diversification profile of the model.

The model operates in a framework designed to control all levels of risk including market, operational and business risk. Risk management controls are applied by the system hundreds of times a day to constantly adjust to the targeted level of market risk. Proprietary risk filters are built into the model to automatically adapt to changing market risks including a trend risk function that mitigates the risk of collapsing trends. Beach Horizon uses a bespoke electronic execution platform that combines algorithmic and trader led execution to deliver efficient execution whilst minimising error risk.

Risk Management

Portfolio allocation methodology attempts to manage portfolio risk by determining the best portfolio that maximises diversification and minimises volatility and correlation. Market risk is controlled by a number of filters that reduce risk on when market risk increases and when the risk of a trend reversing in the short of long term. Market liquidity risk is handled by the firms bespoke execution system that allows us to feedback execution information back into the model. This way the model is ‘liquidity aware’ in real-time. Execution risk is minimised by the use of our custom screens and automated execution system.

Beach Horizon has a bespoke operational framework using Straight Through Processing and automation to minimise operational risk.

   

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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Risk
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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
-31.27 29 16 4/1/2011 9/1/2013
-27.25 35 - 2/1/2016 1/1/2019
-15.45 2 4 6/1/2007 8/1/2007
-14.46 2 2 6/1/2008 8/1/2008
-14.18 5 9 4/1/2006 9/1/2006
-12.94 17 5 2/1/2009 7/1/2010
-10.65 3 3 3/1/2015 6/1/2015
-6.62 1 3 9/1/2015 10/1/2015
-6.01 2 2 2/1/2008 4/1/2008
-4.13 1 1 1/1/2006 2/1/2006
-3.01 1 1 9/1/2005 10/1/2005
-2.54 1 1 6/1/2005 7/1/2005
-2.21 1 1 2/1/2011 3/1/2011
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Consecutive Gains

Run-up Length (Mos.) Start End
45.10 9 7/1/2014 3/1/2015
42.94 6 9/1/2008 2/1/2009
41.42 3 12/1/2007 2/1/2008
18.27 3 11/1/2005 1/1/2006
17.38 2 9/1/2007 10/1/2007
17.19 2 3/1/2006 4/1/2006
14.92 3 12/1/2010 2/1/2011
14.69 3 8/1/2010 10/1/2010
14.41 3 4/1/2007 6/1/2007
13.84 4 11/1/2015 2/1/2016
13.04 3 7/1/2015 9/1/2015
11.25 2 10/1/2017 11/1/2017
9.56 4 10/1/2006 1/1/2007
8.81 2 5/1/2008 6/1/2008
8.24 2 5/1/2005 6/1/2005
7.92 2 6/1/2016 7/1/2016
7.64 1 11/1/2009 11/1/2009
7.27 2 3/1/2010 4/1/2010
7.26 1 5/1/2012 5/1/2012
7.20 3 2/1/2019 4/1/2019
7.20 1 8/1/2018 8/1/2018
6.25 1 3/1/2018 3/1/2018
6.14 2 7/1/2011 8/1/2011
6.07 1 11/1/2016 11/1/2016
5.81 2 8/1/2009 9/1/2009
5.75 2 8/1/2005 9/1/2005
5.62 2 7/1/2017 8/1/2017
4.92 2 4/1/2014 5/1/2014
4.47 1 4/1/2011 4/1/2011
3.87 2 10/1/2013 11/1/2013
3.66 1 11/1/2011 11/1/2011
3.57 2 11/1/2018 12/1/2018
3.35 1 7/1/2012 7/1/2012
3.19 1 4/1/2013 4/1/2013
3.16 1 1/1/2018 1/1/2018
2.79 2 1/1/2014 2/1/2014
1.45 1 1/1/2013 1/1/2013
1.32 1 6/1/2019 6/1/2019
1.22 1 8/1/2006 8/1/2006
0.79 1 4/1/2017 4/1/2017
0.51 1 2/1/2017 2/1/2017
0.37 1 6/1/2010 6/1/2010
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Consecutive Losses

Run-up Length (Mos.) Start End
-15.45 2 7/1/2007 8/1/2007
-14.49 5 8/1/2012 12/1/2012
-14.46 2 7/1/2008 8/1/2008
-13.40 3 3/1/2016 5/1/2016
-13.13 3 5/1/2006 7/1/2006
-13.03 4 4/1/2018 7/1/2018
-10.65 3 4/1/2015 6/1/2015
-10.51 5 3/1/2009 7/1/2009
-9.64 5 5/1/2013 9/1/2013
-8.52 2 5/1/2011 6/1/2011
-8.31 1 2/1/2018 2/1/2018
-8.23 2 9/1/2018 10/1/2018
-7.89 1 5/1/2010 5/1/2010
-7.86 5 12/1/2011 4/1/2012
-7.38 2 5/1/2017 6/1/2017
-7.25 1 6/1/2012 6/1/2012
-7.10 1 9/1/2017 9/1/2017
-7.05 2 9/1/2011 10/1/2011
-6.62 1 1/1/2019 1/1/2019
-6.62 1 10/1/2015 10/1/2015
-6.01 2 3/1/2008 4/1/2008
-5.81 3 8/1/2016 10/1/2016
-5.22 3 12/1/2009 2/1/2010
-5.19 2 2/1/2007 3/1/2007
-4.68 1 10/1/2009 10/1/2009
-4.67 1 7/1/2010 7/1/2010
-4.58 1 3/1/2017 3/1/2017
-4.13 1 2/1/2006 2/1/2006
-4.12 2 2/1/2013 3/1/2013
-3.50 1 11/1/2010 11/1/2010
-3.27 2 12/1/2016 1/1/2017
-3.01 1 10/1/2005 10/1/2005
-2.54 1 7/1/2005 7/1/2005
-2.40 1 9/1/2006 9/1/2006
-2.38 1 6/1/2014 6/1/2014
-2.21 1 3/1/2011 3/1/2011
-2.03 1 11/1/2007 11/1/2007
-1.73 1 12/1/2013 12/1/2013
-1.46 1 3/1/2014 3/1/2014
-0.90 1 12/1/2017 12/1/2017
-0.27 1 5/1/2019 5/1/2019
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods170.00168.00165.00159.00153.00147.00135.00123.00111.00
Percent Profitable52.9455.9552.1253.4658.8262.5967.4173.9890.09
Average Period Return0.671.953.867.6212.1916.9226.8333.9338.78
Average Gain4.307.4812.7220.9928.5234.9546.4549.8744.38
Average Loss-3.42-5.07-5.79-7.74-11.15-13.23-13.73-11.38-12.15
Best Period20.7241.4262.6365.83103.3591.88106.50136.11149.00
Worst Period-10.69-13.40-17.49-20.34-23.85-28.71-27.75-19.74-19.48
Standard Deviation4.838.8313.2819.0425.9230.2038.0442.9743.24
Gain Standard Deviation3.397.7912.6316.2721.4023.3530.5538.8141.88
Loss Standard Deviation2.253.433.975.756.988.207.615.365.72
Sharpe Ratio (1%)0.120.190.250.350.410.490.630.700.78
Average Gain / Average Loss1.261.482.202.712.562.643.384.383.65
Profit / Loss Ratio1.411.872.393.123.664.427.0012.4633.21
Downside Deviation (10%)3.044.756.359.5712.8915.2517.7818.0316.52
Downside Deviation (5%)2.854.195.147.129.2610.5710.498.345.71
Downside Deviation (0%)2.814.054.856.568.429.508.946.404.19
Sortino Ratio (10%)0.080.150.220.270.360.440.620.690.68
Sortino Ratio (5%)0.200.410.650.931.151.412.273.585.89
Sortino Ratio (0%)0.240.480.801.161.451.783.005.309.25

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 6 5.16 8/2015
Diversified Trader Index Month 10 5.16 8/2015

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