MSR Investments, LLC

MSR Quantitative Directional Strategy

Year-to-Date
N/A
Minimum Investment
$ 5,000,000
Management Fee 1.00%
Performance Fee 0.00%
Annualized Volatility 9.07%
Sharpe (RFR=1%) 0.07
CAROR 1.19%
Assets $4,000,000
Worst Drawdown -18.07
S&P Correlation 0.22

Summary

MSR Investments, LLC takes a unique approach to short term directional trading. MSR’s Quantitative Directional Program evaluates multiple return distributions over a variety of time frames. Based on given forecasts of probability-based forward return distributions, the Program determines whether a certain market is most likely to be in reversal or momentum mode and then trades it accordingly. The time horizon for this assessment can range from one week to one month, although actual trading positions may be shorter in duration. Additionally, the Program incorporates an intraday “break-out” trading model that attempts to mitigate losses when there are large intraday price changes. The Program trades a wide variety of futures markets including global equity indices, currencies, fixed income, energy and gold.