Wimmer Horizon LLP : Managed Account Need help with terms? Snapshot Strategy Charts Statistics & Ratios Performance Tables Badges Show All Year-to-Date 9.71% Nov Performance -1.78% Min Investment $ 5,000k Mgmt. Fee 2.00% Perf. Fee 20.00% Annualized Vol 16.52% Sharpe (RFR=1%) 0.41 CAROR 6.61% Assets $ 75.4M Worst DD -31.27 S&P Correlation -0.21 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 Nov Qtr 2020 1yr 3yr 5yr 10yr Since5/2005 Managed Account -1.78 1.93 9.71 9.71 -4.18 -8.95 2.16 170.98 S&P 500 10.75 3.47 12.10 15.30 40.10 72.31 203.60 211.98 +/- S&P 500 -12.53 -1.53 -2.38 -5.59 -44.28 -81.26 -201.45 -41.00 Strategy Description SummaryUnderpinning 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% 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% SummaryUnderpinning 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 StrategyThe 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 ManagementPortfolio 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. 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 -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 Show More 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 18.76 5 11/1/2019 3/1/2020 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 6.18 3 6/1/2019 8/1/2019 6.17 1 7/1/2020 7/1/2020 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 3.78 1 10/1/2020 10/1/2020 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 1.22 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 Show More 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 -10.61 2 9/1/2019 10/1/2019 -10.51 5 3/1/2009 7/1/2009 -9.64 5 5/1/2013 9/1/2013 -9.19 3 4/1/2020 6/1/2020 -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 -2.72 2 8/1/2020 9/1/2020 -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 -1.78 1 11/1/2020 11/1/2020 -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 Show More Time Windows Analysis 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year Number of Periods187.00185.00182.00176.00170.00164.00152.00140.00128.00 Percent Profitable52.9456.7653.3056.2559.4159.7661.8465.0079.69 Average Period Return0.651.903.817.3811.1814.9822.9728.3733.03 Average Gain4.237.2212.0818.9626.3133.2745.0349.8743.87 Average Loss-3.39-5.08-5.62-7.52-10.97-12.18-12.78-11.56-9.47 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 Deviation4.778.6212.7818.2024.9529.2937.5443.0042.98 Gain Standard Deviation3.317.5212.1315.9921.2323.6031.0638.8141.63 Loss Standard Deviation2.283.413.915.746.888.157.495.165.24 Sharpe Ratio (1%)0.120.190.260.350.390.440.530.570.65 Average Gain / Average Loss1.251.422.152.522.402.733.524.314.63 Profit / Loss Ratio1.401.872.453.243.514.065.718.0118.17 Downside Deviation (10%)3.034.716.159.1612.6915.2118.6720.5919.60 Downside Deviation (5%)2.854.154.956.789.0610.3610.809.736.98 Downside Deviation (0%)2.804.024.676.248.239.289.137.484.86 Sortino Ratio (10%)0.080.140.220.260.280.310.390.330.28 Sortino Ratio (5%)0.200.400.670.941.071.251.852.504.00 Sortino Ratio (0%)0.230.470.821.181.361.612.523.796.80 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. x {{title}} x {{title}} Add Cancel