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FOREX CTA's
Alder
Capital
Alternative Asset Management
Camelot Partners LLC
Global Eurofund Management
Ltd.
Wallwood Consultants
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| Alder
Capital |
| Trading
Team
Mark Caslin
was the general manager and Head of research at Beacon Systems Ltd from
July 1991 to May 1999. Beacon Systems was a sister company of Gaiacorp
Ireland Limited. Beacon provided the 100% systematic trading process used
by Gaiacorp in its fund management business. Mark was responsible for
the performance of the Gaia 25% Risk Program from January 1995 to April
1999. In July 1998 this was the best performing currency fund in the world
over three years (Source MAR) . Mark parted company with the Gaiacorp
in May 1999 and set up Alder Capital after failing to agree terms with
the owner on a management buyout.
Brian
McCarthy worked with Gaiacorp Ireland as a currency trader
from September 1994 to January 2000. His role included the day-to-day
management of the trade execution room which involved, trade execution,
day-to-day monitoring of the risk management systems and trade confirmation,
monitoring of margin positions and managing the audit trail for these
trades. His role also on occasion included explanation of Beacon's currency
trading process to institutional clients.
Trading
Approach
Alder Capital is a systematic, trend-following currency
fund manager. All of our trading techniques are mathematically based.
Our research has identified that certain currency markets trend more often
than they do not. Our trading system is designed to take advantage of
these movements. The currencies which exhibit the characteristics we are
looking for are, US Dollar, Euro, Japanese Yen. We are looking to capture
the medium to long term market moves in these currencies. If you consider
these major liquid currencies as continental shelves, shifting between
each other, we at Alder seek to make gains on the continuous stream of
seismic tremors sent.
Performance
| |
2001 |
2002 |
2003 |
2004 |
| Jan |
|
2.50% |
7.16% |
-6.86% |
| Feb |
0.46% |
-1.83% |
-2.48% |
4.33% |
| Mar |
10.78% |
-4.82% |
3.47% |
|
| Apr |
-2.98% |
-0.12% |
5.29% |
|
| May |
-1.50% |
8.12% |
9.84% |
|
| Jun |
2.53% |
7.33% |
-3.96% |
|
| Jul |
0.08% |
-0.60% |
-5.24% |
|
| Aug |
3.42% |
1.67% |
-7.72% |
|
| Sep |
-6.91% |
-0.18% |
0.82% |
|
| Oct |
0.78% |
-0.54% |
-3.13% |
|
| Nov |
-1.26% |
1.08% |
0.97% |
|
| Dec |
12.54% |
5.72% |
7.36% |
|
| Total |
17.66% |
15.54% |
11.18% |
-2.83% |
Performance figures provided
by Alder Capital. All performance figures are net of fees and are calculated
with the profit / loss on closed position, but do not include open position
profit / loss.
Performance
Analytics
| Avg.
annual return since inception |
14.25% |
Currencies
traded |
EUR/USD,
USD/JPY |
| Avg.
monthly return since inception |
1.19% |
Maximum
monthly return |
12.54% |
| Year
to date return |
-2.53% |
Percentage
of positive months |
54.05% |
| Maximum
drawdown |
-7.72% |
Positive
months avg. return |
4.74% |
| Minimum
investment size |
$1MM |
Negative
months avg. return |
-3.05% |
| Leverage
|
4:1 |
Correlation
to S&P |
0.072128797 |
Risk
Management
Alder Capital uses
past price history and a proprietary currency forecasting system to predict
what the future price of a currency will be. The interest differential
and the currency appreciation are the key elements that determine this
forecast. When Alder has a forecast for each currency, they know which
are strengthening and which are weakening. This forecast is overlaid with
a tight risk framework using a unique proprietary developed risk management
system, CALM.
Alder measures market
volatility to pick up signals of any change in market risk. This information
is used to adjust the traded positions in line with each customer's targeted
risk every day. Firstly, all positions are reviewed from a directional
perspective. Once the direction is correct, the size of the position the
size of the position is adjusted in accordance with the customers risk
target. The customer's value at risk stays constant irrespective of market
conditions.
Risk
Disclosure
Past performance is not indicative of future results, as
returns may very according to market conditions. Trading in foreign exchange
is speculative and may involve the loss of principal; therefore, funds
placed under management should be risk capital funds that if lost will
not significantly affect one's personal financial well being. 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
investment or entering into any transaction.
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| Alternative
Asset Management (AAM) |
Trading
Team
Jean-Jacques
Chenier, President, AAM - Developed the Trendoscil proprietary
trading system. Jean-Jacques has been active in the money management and
futures industry for 30 years.
Sylvain Bergfeld, Senior Vice President,
AAM - Sylvain helped develop the Trendoscil proprietary
trading system. He previously served at Shearson Lehman, then Bergfeld
Asset Management, Inc.
Trading
Approach
TRENDOSCIL FOREX has four basic components. The trend-following
indicator is a simple moving average of the closing price, calculated
by summing all the data points over a defined window length, and then
dividing the sum by the length of the window. The length of the window
is optimized for specific markets. Momentum indicators will be rising
during trends that are gaining strength. If the trend weakens or reverses,
these indicators will turn negative and signal that an imminent turn may
be taking place. The money management algorithm controls the equity growth
of the system as a direct function of using correct position sizing. It
is based on the theory of using volatility-derived stop losses as a logical
method to allocate capital. The volatility indicator measures market volatility
as a smoothed average of weekly true range. It is used to place the initial
protective stop and to size the position. A stop-loss stop placed at this
level in less likely to suffer whipsaw solely because of normal price
volatility.
Performance
| |
2001 |
2002 |
2003 |
2004 |
| Jan |
|
11.12% |
14.99% |
2.53% |
| Feb |
|
-3.53% |
4.79% |
-2.76% |
| Mar |
|
1.86% |
-5.74% |
|
| Apr |
|
-4.62% |
1.40% |
|
| May |
|
32.78% |
8.46% |
|
| Jun |
|
6.96% |
-3.05% |
|
| Jul |
-1.26% |
-13.55% |
-3.99% |
|
| Aug |
8.92% |
7.63% |
-1.02% |
|
| Sep |
-12.04% |
9.74% |
-5.71% |
|
| Oct |
-9.06% |
-2.44% |
0.19% |
|
| Nov |
0.00% |
0.33% |
8.98% |
|
| Dec |
20.11% |
17.43% |
19.59% |
|
| Total |
3.33% |
73.60% |
41.70% |
-0.30% |
Performance figures
provided by Alternative Asset Management. All performance figures are
net of fees and are calculated with the profit / loss on closed position,
but do not include open position profit / loss.
Performance
Analytics
| Avg.
annual return since inception |
40.89% |
Currencies
traded |
G7 |
| Avg.
monthly return since inception |
2.44% |
Maximum
monthly return |
32.78% |
| Year
to date return |
-0.30% |
Percentage
of positive months |
56.25% |
| Maximum
drawdown |
-13.55% |
Positive
months avg. return |
9.88% |
| Minimum
investment size |
$50,000 |
Negative
months avg. return |
-4.91% |
| Leverage
|
10:1 |
Correlation
to S&P |
0.0331134889 |
Risk
Management
Money management stops are used to limit the amount of
money lost if the market takes a sudden and unexpected turn. These stops
are part of the system and are not discretionary. Initial protective stops
are placed according to the volatility at the time of the signal and cannot
be larger than 5% of equity. AAM uses a proprietary formula to adapt risk
exposure to changing volatility. Being disciplined and systematic does
not mean AAM has a "black box" process. AAM's investment process
is dynamic, involving periodic adaptation to changing market conditions
and decisions on such matters as position size and capacity and entry
into new markets. These changes are made in the context of our underlying
principles.
Risk
Disclosure
Past performance is
not indicative of future results, as returns may very according to market
conditions. Trading in foreign exchange is speculative and may involve
the loss of principal; therefore, funds placed under management should
be risk capital funds that if lost will not significantly affect one's
personal financial well being. 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 investment or entering into any
transaction.
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| Camelot
Partners LLC |
Trading
Team
Conquest Capital, LLC, a New York based money management
firm, is the trading advisor of the Conquest Funds and managed accounts.
Rich Silver and Marc Malek are the Managing Partners of the firm. Messrs
Silver and Malek built and managed businesses in foreign exchange, derivatives,
and emerging markets in the US, Europe and Asia for the Union Bank of
Switzerland from 1993 to 1999. These businesses generated over $130 million
in profit and employed 120 people globally. Prior to UBS, Mr. Silver managed
similar businesses at Banker Trust New York Corp in New York, London,
and Tokyo. Mr. Silver began his career at O’Connor and Associates,
a premier derivatives boutique in Chicago. Mr. Malek’s previous
work engagements include trading and system design for a large commodity
fund, heading worldwide exotic fx options for the Union Bank of Switzerland,
and later heading foreign exchange proprietary trading for the combined
UBS/SBC in Europe.
Trading
Approach
Conquest Capital employs several complimentary and independent
mathematical trading models that are used to ensure disciplined investment
decisions. The models are diversified across time frame and style implementing
trend and counter trend as well as short and medium term strategies. The
average duration of the medium term strategies is 10 days while the short
term strategies average 1.5 days. The distinct benefit of these strategies
is that their average monthly correlation is 0.2; this improves the risk-adjusted
returns for the overall portfolio by reducing its volatility.
Performance
| |
1999 |
2000 |
2001 |
2002 |
2003 |
2004 |
| Jan |
|
7.34% |
-1.86% |
4.84% |
-3.64% |
2.87% |
| Feb |
|
-1.57% |
-2.16% |
-3.98% |
1.59% |
-0.41% |
| Mar |
|
1.49% |
6.72% |
9.30% |
4.75% |
|
| Apr |
|
-2.48% |
-3.83% |
4.55% |
-6.41% |
|
| May |
3.12% |
-0.57% |
5.43% |
0.04% |
7.75% |
|
| Jun |
-2.55% |
-0.56% |
-3.94% |
2.25% |
-2.65% |
|
| Jul |
8.44% |
-0.88% |
-1.03% |
-1.40% |
0.25% |
|
| Aug |
6.64% |
3.18% |
-0.57% |
-3.85% |
1.45% |
|
| Sep |
1.52% |
3.90% |
-1.51% |
0.40% |
3.87% |
|
| Oct |
0.26% |
2.32% |
-2.10% |
-1.54% |
-5.05% |
|
| Nov |
2.44% |
1.86% |
-1.68% |
2.06% |
2.20% |
|
| Dec |
-0.74% |
7.41% |
5.95% |
6.56% |
1.93% |
|
| Total |
19.13% |
21.44% |
-0.58% |
19.23% |
1.64% |
2.46% |
Performance figures
provided by Camelot Partners LLC. All performance figures are net of fees
and are calculated with the profit / loss on closed position, but do not
include open position profit / loss.
Performance
Analytics
| Avg.
annual return since inception |
13.04% |
Currencies
traded |
--- |
| Avg.
monthly return since inception |
1.09% |
Maximum
monthly return |
9.30% |
| Year
to date return |
2.45% |
Percentage
of positive months |
55.17% |
| Minimum
investment size |
$5M |
Positive
months avg. return |
3.83% |
| Average
leverage |
2.5:1 |
Negative
months avg. return |
-6.41% |
| Maximum
leverage
|
6:1 |
Correlation
to S&P |
-0.1275902 |
Risk
Disclosure
Past performance is
not indicative of future results, as returns may very according to market
conditions. Trading in foreign exchange is speculative and may involve
the loss of principal; therefore, funds placed under management should
be risk capital funds that if lost will not significantly affect one's
personal financial well being. 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 investment or entering into any
transaction.
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| Global
Eurofund Management Ltd. |
Trading
Team
Mr. Hans Meijer, Senior Trader
for GEFM’s TCT program, has
been involved in commodity trading since the late 1980's in his role as
trade and supply manager for British Petroleum. In the following years
he has been involved in the development of the currently used trading
systems and started in July 1998 with a currency fund, TCT accounts. That
fund in its original set-up was terminated and is now being restarted
within Global Eurofund Management Limited.
Mr. Timothy Ogunbiyi, Managed Director of
GEFM, is a graduate in Politics, Economics and Law and
had a Masters in Commercial and International Trade Law. Mr. Ogunbiyi
has worked for Bank of America as a trader in the early 1990’s trading
spot foreign exchange and forwards. He then progressed to the to the FRA/FWDS
desk and then on to the proprietary desk where he helped create trading
platforms. Mr. Ogunbiyi left the bank in 1996 to research and develop
trading strategies and systems, combined with managing currency portfolio’s
for professional clientele.
Trading
Approach
Global Eurofund Management Ltd (GEFM) has available trading
methodologies based on mathematical models that create algorithms based
on price, volatility, volume and arbitrage. Through these methods, in
regard to its trading activities for clients, trades the U.S. dollar,
the Euro and the Japanese Yen in the interbank (over the counter) markets
and will not trade futures or options on futures on any organized exchange.
This program analyses the strength of the Euro, the US Dollar and the
Japanese Yen against a basket of exchange rates. It gives distinct buy
and sell signals for each currency, which are then implemented against
the two remaining currencies. The resulting positions are then implemented
in the market. It uses the mentioned methodologies that combine both fundamental
and technical analysis. The indicators used are time and price based and
are designed to predict how long it will take before a market direction
turns. The technical analysis is based on repeatable, recognizable patterns
in the algorithms. The programs are not always in the market, but positions
are generally held for short periods ranging from 2 days to 14 days.
As the program does not qualify the quality of the signal, all the positions
taken are of the same size and leverage is applied in line with the client's
preferred risk level.
Performance
| |
1998 |
1999 |
2000 |
2001 |
2002 |
2003 |
2004 |
| Jan |
|
10.08% |
3.40% |
1.90% |
8.50% |
-4.90% |
-0.34% |
| Feb |
|
4.70% |
10.40% |
0.30% |
10.10% |
-5.70% |
|
| Mar |
|
4.10% |
5.30% |
-2.90% |
14.00% |
5.10% |
|
| Apr |
|
-0.30% |
-1.80% |
3.20% |
-3.80% |
-4.01% |
|
| May |
|
6.70% |
0.20% |
-6.50% |
7.40% |
-4.01% |
|
| Jun |
|
12.90% |
0.20% |
4.20% |
8.00% |
-1.40% |
|
| Jul |
0.10% |
-10.60% |
0.10% |
6.80% |
-0.60% |
-3.14% |
|
| Aug |
0.10% |
4.90% |
0.30% |
1.20% |
11.20% |
1.20% |
|
| Sep |
7.90% |
11.20% |
-0.10% |
5.10% |
5.10% |
0.50% |
|
| Oct |
2.50% |
1.10% |
1.40% |
-2.80% |
-4.10% |
-4.81% |
|
| Nov |
14.20% |
25.90% |
2.70% |
-0.20% |
-1.60% |
0.36% |
|
| Dec |
10.60% |
-7.00% |
-2.00% |
-3.20% |
6.20% |
-2.24% |
|
| Total |
35.40% |
64.40% |
20.10% |
7.10% |
60.40% |
-23.05% |
-0.34% |
Performance figures
provided by Global Eurofund Management Ltd.. All performance figures are
net of fees and are calculated with the profit / loss on closed position,
but do not include open position profit / loss.
Performance
Analytics
| Avg.
annual return since inception |
29.80% |
Currencies
traded |
G7 |
| Avg.
monthly return since inception |
2.52% |
Maximum
monthly return |
25.90% |
| Year
to date return |
0.00% |
Percentage
of positive months |
64.18% |
| Maximum
drawdown |
-10.60% |
Positive
months avg. return |
5.63% |
| Minimum
investment size |
$25,000 |
Negative
months avg. return |
-3.25% |
| Leverage
|
5:1 |
Correlation
to S&P |
0.033496477 |
Risk
Disclosure
Past performance is
not indicative of future results, as returns may very according to market
conditions. Trading in foreign exchange is speculative and may involve
the loss of principal; therefore, funds placed under management should
be risk capital funds that if lost will not significantly affect one's
personal financial well being. 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 investment or entering into any
transaction.
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| Wallwood
Consultants |
Trading
Team
Wallwood
Consultants Ltd.
was established in 1998 by Mario Kelly and Daryl Swain who each hold the
title of Director and serve as account managers. Collectively, Messrs
Swain and Kelly wield over twenty years of experience trading foreign
exchange. Wallwood Consultants registered with the Financial Service Authority
(FSA) as a British financial services firm in August of 1999 to advise
client on participating in foreign exchange. Wallwood Consultants upgraded
its regulatory status with the FSA in December of 2000 enabling it to
offer of managed account services in foreign exchange.
Trading
Approach
Wallwood utilizes a short to medium term trend-following
strategy embedded in which is a filter to minimize exposure markets that
are not conductive to trend-following strategies. This proprietary trading
system based solely on technical analysis. Wallwood harnesses this trading
system to perpetually scan the market for trading opportunities and determine
entry and exit points. Wallwood focuses its research and trading on the
two most liquid currency pairs; EUR/USD and USD/JPY, which can periodically
result in a synthetic EUR/JPY position. Wallwood employs leverage of approximately
6:1. Wallwood exits its positions through the employment of trailing stops,
thus simultaneously capping losses while enabling profits to run.
Performance
| |
2001 |
2002 |
2003 |
2004 |
| Jan |
|
-0.35% |
2.22% |
12.03% |
| Feb |
3.35% |
-5.25% |
-7.97% |
12.38% |
| Mar |
9.68% |
4.08% |
10.02% |
|
| Apr |
1.96% |
1.30% |
-1.82% |
|
| May |
-0.64% |
11.62% |
-10.06% |
|
| Jun |
-4.83% |
5.97% |
-6.74% |
|
| Jul |
1.45% |
-6.95% |
-2.11% |
|
| Aug |
3.37% |
13.86% |
-9.12% |
|
| Sep |
8.77% |
-3.25% |
1.66% |
|
| Oct |
4.23% |
-6.50% |
5.26% |
|
| Nov |
0.46% |
-7.75% |
6.07% |
|
| Dec |
0.00% |
7.04% |
5.21% |
|
| Total |
28.80% |
13.82% |
-7.38% |
24.41% |
Performance figures
provided by Wallwood Consultants. All performance figures are net of fees
and are calculated with the profit / loss on closed position, but do not
include open position profit / loss.
Performance
Analytics
| Avg.
annual return since inception |
23.32% |
Currencies
traded |
EUR/USD,
USD/JPY |
| Avg.
monthly return since inception |
1.94% |
Maximum
monthly return |
13.86% |
| Year
to date return |
25.90% |
Percentage
of positive months |
59.46% |
| Maximum
drawdown |
-10.06% |
Positive
months avg. return |
6.05% |
| Minimum
investment size |
$50,000 |
Negative
months avg. return |
5.91% |
| Leverage
|
6:1 |
Correlation
to S&P |
-0.1658521 |
Risk
Management
Wallwood’s trading strategy places a premium emphasis
on risk management. Upon entering a position, Wallwood immediately defines
the maximum allowed loss and places a stop order on the position that
is initially set in a 30-70-pip range. The level at which at which the
stop is initially set is determined by the current market volatility in
the currency pair being traded and the strength of the signal received
that initiated the position. The stops are then are adjusted when the
position moves toward profitability in order to capture profits. Positions
are exited either through this trailing stop when the market reverses,
or when a new signal is received.
Risk
Disclosure
Past performance is
not indicative of future results, as returns may very according to market
conditions. Trading in foreign exchange is speculative and may involve
the loss of principal; therefore, funds placed under management should
be risk capital funds that if lost will not significantly affect one's
personal financial well being. 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 investment or entering into any
transaction.
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