Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
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.
Investment Strategy
The portfolio is constructed from a collection of hundreds of individual "strategies". We define a "strategy" as a combination of one model, one market, and one set of variables. Strategies are reweighted in the portfolio daily based on a probability algorithm designed to predict relative future performance. Retaining hundreds of "strategies" in the portfolio is intended to mitigate the negative effects of data mining that can result from choosing only the “strategy” with the best return.
The individual strategies are divided into two categories: "reversal" and "momentum". We employ a probability based analysis focused on the return distribution of the various markets we trade across certain time frames that our research indicates are critical to determining the current state of the market. This analysis determines whether a certain market is most likely to be in "reversal" or "momentum" mode, and we then trade it accordingly.
Risk Management
Position sizes are detemined by the historical volatility of both the contract being traded and the strategy being employed. Daily VAR limits are also employed. Finally, the daily breakout strategy is designed to limit downside risk on the most volatile of days.
AUM & Cumulative Returns
Distribution
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
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.
Time Window Analysis
1 Month
3 Months
6 Months
1 Year
2 Years
3 Years
Average
0.13
0.50
1.34
3.20
1.71
1.57
Min
-9.17
-10.95
-10.48
-11.54
-11.88
-17.46
Max
5.03
12.51
21.65
32.27
28.75
24.73
% Positive
56.94
55.71
47.76
49.18
36.73
43.24
Avg. Pos. Period
1.91
3.43
6.93
11.58
14.24
14.06
Avg. Neg. Period
-2.21
-3.20
-3.77
-4.91
-5.56
-7.96
# of Periods
72.00
70.00
67.00
61.00
49.00
37.00
Drawdown Report
Depth
Length (Months)
Recovery (Months)
Peak
Valley
-18.07
37
—
2/2011
3/2014
-11.13
2
7
11/2009
1/2010
No data available in table
Consecutive Gains
Run-up
Length (Months)
Start
End
29.38
8
7/2010
2/2011
8.16
2
4/2010
5/2010
6.09
2
8/2014
9/2014
4.94
1
2/2010
2/2010
4.79
5
11/2014
3/2015
4.72
3
9/2009
11/2009
3.08
3
2/2013
4/2013
3.03
2
9/2011
10/2011
2.89
3
4/2014
6/2014
2.47
1
8/2012
8/2012
2.32
1
12/2011
12/2011
2.29
2
5/2011
6/2011
1.97
1
4/2012
4/2012
1.43
1
6/2013
6/2013
1.40
2
11/2012
12/2012
0.88
1
8/2013
8/2013
0.72
1
7/2015
7/2015
0.69
1
5/2015
5/2015
0.50
1
6/2012
6/2012
No data available in table
Consecutive Losses
Run-up
Length (Months)
Start
End
-11.14
7
9/2013
3/2014
-11.13
2
12/2009
1/2010
-6.35
1
8/2015
8/2015
-4.33
2
7/2011
8/2011
-4.17
2
3/2011
4/2011
-3.87
1
11/2011
11/2011
-3.60
3
1/2012
3/2012
-3.51
1
7/2012
7/2012
-3.21
1
3/2010
3/2010
-2.89
1
5/2013
5/2013
-2.81
1
6/2010
6/2010
-2.28
1
4/2015
4/2015
-1.80
1
10/2014
10/2014
-1.80
1
5/2012
5/2012
-1.77
1
6/2015
6/2015
-1.51
2
9/2012
10/2012
-0.83
1
1/2013
1/2013
-0.45
1
7/2014
7/2014
-0.31
1
7/2013
7/2013
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
Top Performer Badges
Index
Award Type
Rank
Performance
Period
No data available in table
Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.
