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Low Leverage Multi‐manager Institutional Program; Min $3m
FX Composite institutional portfolio is a multi‐manager program consisting
of three uncorrelated spot forex money managers or groups that use little Equity Curve since Jan 2005 vs. S&P500 and BTOP FX
or no leverage. 3,000,000
The managers include a top‐ranked FX trader and ex‐top‐ranked S&P CTA 2,750,000
with over 25 years of trading experience, a seasoned trading group with
2,500,000
over 40 years of experience in the foreign exchange market, and a skilled,
active trader with 8 years of experience trading FX. See summary of each of 2,250,000
the three programs or methodologies below: F X Ins t it ut io na l C o m po s it e
2,000,000
Program 1: This multi‐strategy model employs both trend determining and
trend predicting technologies. It seeks to responds to the markets more like 1,750,000
an experienced human trader, not random optimized formulas. It trades
1,500,000
short‐term swing, medium‐term trend, and trend exhaustion moves. Be‐
SP 500
sides the various entry signals, it has five exit strategies: initial stop loss, 1,250,000
break even stop, trailing stop, stop & reverse and 1 to 3 profit targets for
most trades. Enhancements to the method in August 2006 allow the initial 1,000,000
stop loss orders to be moved to break even very quickly. This has kept the
750,000 B a rc la y's C urre nc y T ra de rs Inde x
volatility and drawdowns very low. Trades are selected from 20‐40 curren‐ (B T OP F X)
cies from 6 or more geo‐political regions. Trader uses some discretion with 500,000
regard to signal selection and portfolio balancing for further risk control.
The results show a low correlation to most CTA’s, currency traders, and 250,000
hedge funds.
0
Program 2: This program is systematic without discretion. It is compromised J05 J05 J06 J06 J07 J07 J08 J08 J09 J09 J10
of several proprietary models, merged into a diverse portfolio designed to
capture movements in the FX market. Using fractal similarity, the statistical
methods seek recurring patterns from the last 15 years, assigning a larger Statistics (Since Jan 05)
weight to the most recent market behavior to determine potentially larger
moves in the market. Once a trade is entered, a predefined stop loss, timed Annualized Return 21.59%
exit, and take profit levels are used. Constant research focused on the mini‐ Average Monthly Return 1.66%
mization of the duration and severity of drawdowns is employed.
Maximum Drawdown (monthly close) 2.16%
Program 3: This managed account program is based on tape reading, auc‐
tion theory and 9 trading setups the portfolio manager has developed. It is a Profitable Months 80.65%
discretionary short‐term trading strategy with the same setups executed Average Annual Standard Deviation 5.74
repeatedly. The basis of this program is price pattern recognition. It is not
determined by traditional technical patterns or analysis. Average Annual Sharpe Ratio 3.44
Monthly Returns (net)
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2010 2.5% 3.1% 5.6%
2009 0.0% 0.0% ‐2.1% 1.7% 3.8% 1.9% ‐0.8% 0.3% 4.8% 0.6% 1.9% 1.5% 13.5%
2008 0.8% 1.0% 0.0% ‐0.6% 0.0% 0.5% 0.2% 2.5% 0.5% 2.0% 2.5% 1.9% 11.3%
2007 ‐0.8% 2.9% 3.8% ‐0.3% ‐0.8% 0.8% 2.8% 3.8% 1.4% 1.3% 4.1% 2.0% 21.0%
2006 0.9% 2.6% 1.6% 4.8% 0.1% 5.4% 2.9% ‐0.5% ‐0.4% 3.6% 0.9% 0.3% 22.3%
2005 2.8% 1.6% 3.3% 2.9% 2.7% 0.0% 3.2% 4.9% 3.0% 2.2% 0.4% 2.0% 28.9%
Forex trading involves substantial risk of loss and is not suitable for all investors. The high degree of leverage that is often obtain‐
able in forex can work against you as well as for you. Increasing leverage increases risk. In any market where a potential for profit
exists, there exists also a risk of loss. Past performance is not necessarily indicative of future results. This is not a solicitation to
invest and you should carefully consider your financial situation as to the suitability to your situation prior to making any invest‐
ment or entering into any transaction. Performance results are net of fees. No representation is being made that any account will
or is likely to achieve profits or losses similar to these being shown. All of this information has been provided by the Advisors of
this program.
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