Synthesis Multi-Strategy Currency Fund* * Subject to approval from the Luxembourg Financial Regulator

Transcription

1 Synthesis Multi-Strategy Currency Fund* * Subject to approval from the Luxembourg Financial Regulator

2 INDEX 3 Introduction and Objectives 4 Investment Strategy 5 Diversification and Portfolio Construction 6 Portfolio at Launch 9 Graphics 10 Manager Biography 11 Terms & Fund Service Providers 12 Disclaimer

3 Introduction and Objectives (the Fund ) is a proposed FX-only Sub-Fund of Synthesis Multi-Asset Architecture SI- CAV-SIF, SCA, a Luxembourg-domiciled regulated investment fund. The Fund will seek to profit from fluctuations in currency markets, by establishing short term long/short positions in rolling spot contracts in highly liquid currency pairs. Its focus is on generating superior and consistent absolute returns with low or no correlation to other asset classes, allocating capital across a diversified set of proprietary forex trading and investment strategies. The objectives of the Fund are to achieve capital growth targeted at 25-30% annually with a target volatility of 16-22%, controlling risk at all times. We set ourselves a maximum investment value drawdown of 30% from the highest NAV-level reached in the past 12 months. 3

4 Investment Strategy The Fund will seek to accomplish its investment objective by utilizing both systematic, rule based, fully automated trading strategies (+/-60 % of its activity). +/- 40 percent of its activity is classed as discretionary style. These percentages may vary according to portfolio requirements as deemed necessary or opportune by the manager. All trading, without exception, takes place via electronic means and confirmations are sent in real time to risk management appli- cations of the manager, the fund administrator and custodian. The currencies traded include mainly but are not limited to the most liquid G10 currencies (i.e. USD, EUR, GBP, CAD, JPY,CHF, AUD, NZD. In addition, non-physical spot Gold (XAU) contracts are traded under the same regime against the mentioned G10 currencies. The Fund may at times also use long option contracts and covered short option contacts (i.e. no naked short option contracts), on said currency pairs, to control overall portfolio risk. 4

5 Diversification and Portfolio Construction Diversification and risk spreading within the systematic style of the Fund take place on 3 different levels: Diversified pool of strategies: the strategies employed are mean-reverting, trend following, scalping, grid-trading, breakout trading, and momentum driven in nature. Time frame of directional exposure: some strategies are of a high frequency nature to exploit very short term anomalies or to scale into short term positions. Risk is lowered by diversifying these strategies into an overall blended portfolio, with variable weightings allocated to the underlying strategies of the portfolio, depending on the prevailing market conditions and market regime. In doing so, correlation between portfolio components is kept to an absolute minimum. Holding periods of positions vary between several seconds for HFT models (High Frequency Trading), to 92 hours for our flagship strategy and several days for our trend following strategy. Program manager diversification: the Fund manager seeks to select strategies of a limited number of existing and established FX managers, when it is quantitatively proven that this benefits the objectives of the Fund. 5

6 Portfolio at Launch Our FX portfolio at launch is a blend between 2 distinct but complementary strategies: an overweight short term grid trading/mean reverting trading model and an underweight medium term pure trend following model. As such, opportunity is captured both in non-trending markets whilst at the same time the overall model tries to capture broader trends. When a given market regime changes, the weighting of the 2 underlying strategies will be adjusted. The model takes statistical studies into account that FX markets only show larger trends for 10% of the time. It is intended to add further strategies to the blend in order to reduce risk and produce a well balanced portfolio that can perform well in all market regimes. Model Ingredients The underlying master strategy is based on very short term breakout and trend following principles, within a broader established price range grid. Trade triggers are calculated with proprietary moving averages and confirmed within daily and hourly open/close bar chart indicators. Very short term trends are exploited not just once but several times within an established market grid as prudent profit taking and re-entering positions on pull-backs is a key element in the strategy. When a short term trend reversal is detected by the algorithm, profit is taken and the model s position bias reverses, executing the same entering and exit principles as before. The master strategy mainly trades in following currency pairs: EUR/USD, AUD/USD, NZD/USD and USD/JPY. In depth analysis has shown that there is no correlation between the trading results in any of these 4 portfolio constituents. Applied leverage for this strategy is 4X AUM. The master strategy has been given a Strategy Quality Score of 4.63 on EA Analyzer Software (Strategyquant.com), placing it in the top end of Excellent Trading Systems. A minor component (underweight) of the model is a medium term trend following strategy based on stochastics. The Strategy Quality Score for the blend is 6.19 (Superb, top percentile). 6

7 Portfolio at Launch Performance Performance tends to be stable and steady in most market conditions except during periods of sharp extended price spikes without pull-backs. Trading frequency is high (+/- 275 trades per day) -- but with many smaller de-leveraged tickets--, which allows for maximum exploitation of opportunity and steady build up of many smaller profits. Maximum directional exposure of this strategy is very dynamic and varies between 0.5 and 20 times initial deposit for very short periods of time. Directional position holding periods vary between several hours to several days. The model was discovered and developed via a long process of market behavior observation, full time professional trading activity, detecting and fine tuning model ingredients, and formulating key strategy rules. Initial tests over the last few years showed very promising results which have now been confirmed by 6 months forward testing. Key statistics of the live testing can be seen in the following table: pro forma results, live tested Jan Feb Mar Apr May June July Aug Sept Oct Nov Dec YTD ,

8 Portfolio at Launch Key Statistics Avg Monthly Return % +2.9 Annualized Return % Risk Reward ratio Trade Win % 54.60% Trades/day 275 Avg Trade Length 94.2 minutes Profit Factor 1.24 Max DD -17.4% Applied Leverage 4 X AUM Max Open Position 18 X AUM Avg Daily Turnover 14 X AUM System Quality Number (EAA) 4.63 to 6.19 (excellent to superb) Conseq. Monthly Wins 7 Conseq. Monthly Losses 0 Longest Equity DD 9 days Slippage Tolerance High Expectancy per 1 $ risked Cents 8

9 Graphics (live test, start date 29 Sep 2014) 9

10 Manager Biography Frank PJ Nagels Frank has 29 years of currency trading experience, and has held a number of trading, managerial and sales & advisory roles at several major financial institutions. He started trading in 1986 as an interbank market maker in FX forwards for Kredietbank NV (now KBC Bank NV), Brussels. Frank played a pivotal role in establishing Kredietbank as the market leader in ECU, thereby contributing substantially to the overall trading revenues of the bank during his tenure. As a pioneer in the development of arbitrage techniques between different FX/MM instruments such as futures/fras/forwards and ECU basket arbitrage, Frank joined the Global Markets Proprietary trading group at Bankers Trust Company (now Deutsche Bank) in London in 1993 and contributed to the success and reputation of Bankers during the 1990s. In 1998 Frank returned to KBC Bank, rising to Head of Spot FX trading in 2000 at the bank s headquarters in Brussels. In 2005 he returned to the City again as head of FX Spot Trading for Wells Fargo (Wachovia Bank), London Branch and Hedge Fund JSP as Partner and FX Portfolio Manager. Between 2011 and 2014, Frank held roles as proprietary FX trader and senior treasury sales advisor to institutional clients at BKB, Switzerland. Frank has broad experience in running top end trading teams and managing portfolios of traders and trading models, he has extensive knowledge of a wide cross section of markets, market mechanics, FX trading strategies and styles, trader psychology, arbitrage techniques and last but not least the e-fx industry. He has a proven solid and consistent performance record throughout his career. Frank holds a M.Sc. in Trade and Financial Sciences from the University College (HUB-EHSAL), Brussels and passed the UK Financial Regulation Exam of the Securities and Investment Institute, London. He is currently also a member of the Synthesis-SURF Investment Committee. 10

11 Terms & Fund Service Providers Anticipated Launch Date: Late May 2015 Base Currency: USD Fund Administrator and Custodian: Edmond de Rothschild (Europe) Auditor: Deloitte S.A. Legal Counsel: Allen & Overy Liquidity Provider: CFH Clearing Ltd, London Form: Open ended fund, anticipated soft close at $ 100 MM Liquidity Terms: Weekly Redemptions, Weekly Subscriptions Lock-up Period: None, 12 months for Initial Investor Target Returns: 25-30% per annum Annual Management Fee: 1.5% Performance Fee: 25% High Water Mark: Yes Minimum Investment: USD 250,000 11

12 DISCLAIMER Past performance does not guarantee future results. FOREX carries a high level of risk. This document is not intended for any citizen of the United States or any other person or entity subject to U.S. Securities law. Without any limitation, this presentation does not constitute an offer, an invitation to offer or a recommendation to enter into any transaction. The information herein does not constitute the provision of investment advice or a recommendation; its sole purpose is to generate interest for a product proposal. Changes to this presentation may be made without notice. Opinions expressed may differ from views set out in other documents. Although the information contained herein has been taken from sources, which the authors believe to be accurate, no warranty or representation is made as to the correctness, completeness and accuracy of the information or the assessments made on its basis. The authors do not accept liability for any damage arising from the reliance on this presentation. This presentation may not be distributed by the recipient to any other person without the express written consent of the authors. Each recipient of this presentation is expected to be sophisticated and capable of independently evaluating the merits and risks of an investment in the product. If an investor decides to invest in the fund, the investor does so in reliance on his own judgement. Investing in the product reflects a particular market view the recipient of this presentation has taken independently from the authors. When making an investment decision the recipient of this presentation should rely solely on his own market and financial research and not the information contained here in. The product described herein may not suit all investors and before entering into any transaction each investor should take steps to ensure that he fully understands the product and has made an independent assessment of the suitability of the product, including its possible risks, in light of the investor s own objectives and financial situation. In particular, investing in the product may result in the return of less than the investor s original investment and even the total loss thereof. Any investor should seek advice from its professional advisors in making such assessment. 12

13 Head Office: 20, Boulevard Emmanuel Servais, L-2535 Luxembourg Grand Duchy of Luxembourg Tel: , Fax: (Shareholder Operational Support, Edmond de Rothschild Europe) (for general enquiries): Cell: