Ml Capital asset management - Managed futures program - September 2014 - +0.99%

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Information about Ml Capital asset management - Managed futures program - September 2014 -...
Economy & Finance

Published on October 13, 2014

Author: jppoggi

Source: slideshare.net

Description

Ml Capital asset management - Managed futures program - September 2014 - +0.99%
Multi asset-class systematic intraday strategy

1. Performance Returns The Program was up 0.99% in September. Company Overview Established in 1992, the ML Capital Asset Management (MLCAM) team consists of professional and dynamic fund managers with over 50 years experience in the Financial sector. MLCAM has a proven 20 year track record, with in excess of $100m AUM invested in its long established Fund of Funds and suite of investment and pension funds. ML Capital currently have AUM in excess of $850m. MLCAM is one of an elite group of institutions authorised by the Central Bank of Ireland to provide discretionary management services and it can also manage all investment fund categories, including alternative investments. With access to investment markets throughout the world, MLCAM manages funds on behalf of their clients and makes decisions focused on maximizing gains in line with the investor’s requirements and risk profile. They use Leading edge technology and varied market analysis tools to enhance their ability to meet all investment requirements. Strategy Description The MLCAM Managed Futures Program is a 100% systematic trading program, which uses algorithms developed by Jean Paul Poggi and Mervin Harris to take advantage of short term market movements. The program trades intraday only and all accounts are in cash overnight. The strategy is restricted to investing in futures with deep liquidity and across all asset classes. The algorithms are based on volatility analysis in different time periods, using varying strategies at optimum times during the day. It is a medium frequency trading strategy executing a maximum of two trades per product per day. The program adheres to a strict risk management policy, including automatic implementation of stop/loss targets and comprehensive risk analysis tools. Monthly Commentary Volatility continued it’s welcome increase across many of our contracts, but still remains at very low historical levels. New monetary stimulus in Europe, favourable to the market, contrasted with a more uncertain world geopolitical risk, with a number of disappointing monthly economic indicators. The performance was generated from currencies, which started to be quite active in the second part of the month, and on some commodity contracts, notably: coffee, copper, oil and soyabeans. Equity and FI had a negative impact on the final result, with only sporadic changes in volatility. ML Capital Asset Management Managed Futures Program Systematic Intraday Strategy Jean Paul Poggi – Masters degree in International Law from the University of Sorbonne. CIIA and member of the European Federation of Financial Analysts. Previously, FACTSHEET THE MANAGER September 2014 For more information visit www.mlcapital.com Mervin Harris - Honours degree in Business Studies from Trinity College, Dublin Fellow of the Chartered Association of Certified Accountants. Exec Director PROGRAM FACTS and Founder of MLCAM. Prior to starting the firm in 1992, he had gained extensive experience in the financial and investment sector with Irish Life Assurance and Guinness & Mahon Bank. Jean Paul was in charge of a European Mutual Fund in a subsidiary of CDC Group, the largest financial Group in France. He also managed Alternative Investment Funds and spent eight years in charge of Macro Global asset allocation within MLCAM. Strategy Managed Futures Style Systematic Product Futures only Broker Self Invest Manager MLCAM Location Ireland Depository Macquarie UK Structure Managed account Management fees 1% Performance fees 20% Minimum subscription €500,000

2. Monthly Returns Disclaimer Risk Warning: MLCAM, is regulated by the Central Bank of Ireland under the MIFID regulation. The performance figures detailed are generated by back testing the MLCAM Global Macro intraday strategy to the inception date. This report has been prepared by MLCAM for information purposes only and is not intended to and does not represent a personal recommendation, nor provide the sole basis for any evaluation of the securities discussed. The information contained in this report should not be taken as an offer or solicitation of investment advice, nor be seen as a recommendation to purchase or sell any particular security, option, future or other derivative instrument. MLCAM recommends that specific advice should always be taken prior to investment. MLCAM, nor any of its employees, directors or agents, will not be liable either directly or indirectly for any losses, damages, costs, claims, demands or expenses of any kind whatsoever, whether direct or indirect, suffered or incurred as a consequence of any reliance upon this information. This report is for information purposes only and is not a solicitation to do business. Issued and approved by ML Capital Asset Management Ltd. Authorised and Regulated by the Central Bank of Ireland Contact Details Investor Contact: ML Capital Asset Management Ltd ML Capital Ltd 26 Fitzwilliam Street Upper, Dublin 2, Ireland, +353 (0)1 535 0912 30 St. James’s Square London SW1Y 4AL +44 (0)20 7925 2748 info@mlcapital.com info@mlcapital.com For more information visit www.mlcapital.com Statistics (Including Pro-forma) Total Day Positive 50.13% Total Day Negative 44.78% Min Day -1.71% Max Day 5.43% Months Negative 24.69% Max Drawdown -16.41% Min Month -3.22% Max Month 19.86% The performance figures quoted above represent the performance of the MLCAM Managed Futures Program, however please note period 1st January 2008 to 31st August 2012 refers to back testing data, real performance of the program from 1st September 2012. These performance figures refer to the past and past performance is not a guarantee of future performance or a reliable guide to future performance. Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Yearly 2014 0.23% - 2.33% 0.59% - 0.67% 0.24% 2.03% 1.12% 1.26% 0.99% 3.45% 2013 - 1.45% - 0.20% - 0.69% - 0.19% 0.04% -3.22% 0.12% 0.50% - 1.90% - 2.03% - 0.61% - 1.23% - 10.40% 2012 2.04% 0.42% 1.29% 0.58% 12.45% 1.12% 0.83% - 2.36% 0.02% - 0.38% - 0.13% 0.23% 16.54% 2011 - 0.76% 2.25% 3.93% 2.31% 2.74% 1.49% 1.69% 16.69% 5.71% 0.08% 2.25% 2.73% 48.37% 2010 - 0.85% - 0.19% - 0.28% 1.24% 9.08% 2.58% 1.21% 5.25% 1.22% 1.07% 3.27% 4.53% 31.51% 2009 5.67% 2.34% 0.47% 1.66% 4.33% 0.13% - 0.72% 2.31% 2.37% 0.61% 0.93% 1.60% 23.76% 2008 6.22% 3.68% 2.50% - 0.01% 2.80% 1.30% 1.43% 4.50% 2.18% 19.86% 9.28% 3.04% 71.83% Risk Measures (Including Pro-forma) Sharpe Ratio 2.75 Profit Factor 1.69 MAR Ratio 1.52 Volatility Daily 0.50% Volatility Annualised 7.95% Mean Monthly Return 1.93% Performance (Including Pro-forma) Leverage (Including Pro-forma) Since Inception 348.25% Performance Annualised 24.89% Average Leverage 0.89 Maximum Leverage 5.62 ML Capital Asset Management Managed Futures Program Systematic Intraday Strategy August 2014

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