SHARE IN OUR PERFORMANCE
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1 intalus.com SHARE IN OUR PERFORMANCE GRE T PERFORMANCE. MADE IN GERMANY. SINCE 1990.
2 STRATEGY INDEX. CHAMELEON FX One 4 A breakout intraday strategy, covering 9 currency pairs CHAMELEON FX Global 6 An extremely diversified end-of-day strategy, covering 100 currency pairs CHAMELEON FX Control 8 A trend-following intraday strategy, covering 10 currency pairs CHAMELEON FX Fast 10 An intraday breakout strategy with overnight positions, covering 25 currency pairs CHAMELEON Equity Index One 14 An end-of-day low frequency retracement strategy, covering 7 equity index futures CHAMELEON Commodities Control 16 An end-of-day strategy including a built-in money-management function, covering 7 energy and precious metals futures CHAMELEON Energy Fast 18 An end-of-day low frequency retracement strategy, covering 4 oil and gas futures CHAMELEON Bonds Control 20 An end-of day strategy for trading a globally diversified set of 18 major treasury and interest rate futures contracts TELESCOPE. Gran Telescopio Canarias. Canary Islands / Spain. The earth s largest optical reflecting telescope with a diameter of 10.4 m (410 in).
3 CHAMELEON QUANTITATIVE STRATEGIES. PERFORMANCE FOR SALE. More than 6 of todays activity in US equity markets is generated by trading algorithms. Increasing reliance on algorithms can also be observed in all other global financial markets. The reason is simple rule-based trading is fast, measurable, reliable, inexpensive, and it eliminates human factors such as fear and greed which can lead to expensive mistakes. You don t need your own quant division to participate in Algorithmic Trading. With Chameleon, Intalus offers exclusive quantitative strategies which cover a broad range of markets. These algorithms are already proven and available to you now. You can test them before deciding how to integrate one or more strategies into your fund or managed account structure, or use them in your proprietary trading. You maintain complete control over all strategies and trading, because all strategies execute on your own hardware. You will only be charged for using a strategy when it returns profit. The range of strategies we offer is extensive. We are happy to discuss or consult with you, to calling on the extensive experience and understanding of our quant team. For more than a decade our team has assisted institutional clients with portfolio construction and alpha generation to meet investment objectives for risk and return. For more information and the current performance of all strategies please visit
4 CHAMELEON FX One CURRENCY TRADING STRATEGY YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD % 0.54% % 1.33% 1.97% 2.56% 1.58% -0.32% 1.86% 2.03% % 1.33% 3.81% 5.21% % 2.37% 0.22% -0.92% 1.33% -1.39% 2.49% 16.54% % -1.79% % % 1.77% 2.82% 0.46% 2.41% 1.97% 12.87% % 0.89% 3.64% -0.49% % % 0.61% 1.41% -1.89% 10.78% % 2.37% 1.99% 0.16% -0.28% 0.47% 1.66% -0.02% 2.99% 1.49% 2.43% 4.03% 18.64% % 2.08% % 0.31% 0.38% % 1.07% % % % % % 2.14% -1.32% % 7.58% % 2.09% % 6.22% 0.16% 1.33% % 1.17% 1.87% 3.26% % 1.09% 0.68% % 2.49% -5.07% 2.09% % 2.13% % % -1.69% 2.12% -1.56% 3.16% % -0.26% 0.18% 1.69% 1.79% % 1.39% 2.04% -0.62% -0.36% % % 0.67% 1.06% -1.49% 3.12% % -1.33% % % 0.57% % % 0.01% -2.42% TRADING STRATEGY CHAMELEON FOREX ONE is a 10 systematic computer model for institutional FOREX trading. It works without any discretionary inputs and exactly the same rules and parameters are applied to all cross rates and all time frames (no optimization). Its' logic is based on a simple chart pattern recognition approach combined with different volatility filters. Best results are achieved when applied on London liquid trading hours. CHAMELEON FOREX ONE can be provided with risk stops and profit targets for open overnight positions. The trading frequency is around 3 trades per week per chart. Positions are open from a couple of hours to a couple of days, depending on the strength of a trend after the opening of a position. PERFORMANCE* FX One DJCS HFI (MF) ESTX50 REX(P) All installations of CHAMELEON FOREX ONE have different setups to avoid different clients receiving the same signal at the same time STATISTICS* ANNUAL RETURN* FX One DJCS HFI (MF) ESTX50 REX(P) Since inception % Last 12 month -2.42% Year-to-date -2.42% Performance (annualized) 9.59% Best month 6.22% Worst month -5.07% Average month 0.8 Volatility (annualized) 5.87% Sharpe Ratio 1.29 Sortino Ratio Skewness DISTRIBUTION OF RETURNS* Kurtosis # Positive month Ø Gain (positive month) 1.63% Negative month 41 Ø Loss (negative month) -1.24% % number of positive month 71.33% Ø Gain / Ø Loss Maximum Draw Down -8.36% VaR (99%) on monthly basis 3.94% % -8% -7% -6% - -4% -3% -2% -1% 1% 2% 3% 4% 6% 7% 8% 9% Type of strategy Breakout Frequency Intraday BENCHMARKS Year of inception 2010 Portfolio 10 currency pairs DJCS HFI (MF) = Dow Jones Credit Suisse Core Hedge Fund Index (Managed Futures) Number of trades per month 72 ESTX50 = EUROSTOXX 50 Index Average holding period 6 hours REX(P) = REX Performance Index Average time in the market 96% * The results are solely backtesting results that consider reasonable execution costs (spreads and slippage). To avoid curve-fitting the trading logic has been developed and calibrated on in-sample datasets and verified on out-of-sample data. GRE T PERFORMANCE. MADE IN GERMANY. SINCE BERLIN. BERMUDA. BREMEN. DUBAI. FRANKFURT. HONG KONG. LONDON. FOLLOW US
5 CURRENCY TRADING STRATEGY PERFORMANCE AND VOLATILITY 12 MONTH PERFORMANCE EXPOSURE SUMMARY USD / CHF USD / JPY AUD / USD EUR / CHF -1 USD / CAD EUR / GBP 12 MONTH VOLATILITY 1 7. GBP / USD GBP / JPY EUR / USD EUR / JPY CORRELATION 12 MONTH CORRELATION DJCS HFI (MM) ESTX50 REX(P) CORRELATION 12 MONTH SINCE INCEPTION DJCS HFI(MF) ESTX REX(P) PROPOSAL You could smooth the equity curve of your entire portfolio (reduce volatility), if you combine those Chameleon strategies which have non-correlated weekly returns. DISCLAIMER No representation or warranty as to the accuracy of the information contained in this performance update is made or is to be implied. This update is for information purposes only, and does not constitute an offering. These materials are not, and under no circumstances are they to be construed as, a prospectus, advertisement or public offering.there is no guarantee that any account will or is likely to achieve profits or losses similar to those shown at this pages. There are frequently differences between hypothetical results and the results achieved by real trading. The shown trading results or performances in the past are no guarantee for profits in the future. The risk of loss in trading Futures, Forex or CFDs can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. CONTACT All trading strategies are offered to you for three months without any obligations and at no cost. The only premise: You have to be an institutional investor. Select those trading strategies that suit your needs. Test them for the three month trial and if you are satisfied with the performance let us know and participate in your success. It s that simple. INTALUS GERMANY INTALUS UK & IRELAND frankfurt@intalus.com london@intalus.com +49 (0) (0) INTALUS BERMUDAS hamilton@intalus.com INTALUS MIDDLE EAST dubai@intalus.com Intalus Asset Management 5 intalus.com
6 CHAMELEON FX Global CURRENCY TRADING STRATEGY YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD % 3.23% -3.11% 2.61% 3.01% % 3.77% 5.62% % 3.56% 23.72% % 0.58% -1.34% % -0.64% -0.04% -0.96% -0.78% % 0.74% 9.23% % -0.32% 0.53% -0.37% -0.44% 3.17% % -1.24% -1.41% 0.87% -0.43% -0.38% % 0.37% -0.92% 1.47% 1.33% -0.21% -1.23% -0.36% -0.14% 0.84% 0.12% 0.06% 1.92% % % 0.71% 0.81% % % 1.27% 0.91% 12.89% % 3.46% % % -0.23% % 10.02% 5.52% -0.97% 21.08% % 1.38% 1.11% % 2.89% 1.51% 1.94% 1.59% % 32.43% % 1.23% 2.01% 0.04% 5.82% 1.28% 3.68% % 1.77% 0.89% 1.42% 21.56% % 1.16% -2.42% % 2.68% 0.52% 0.44% -0.26% 0.37% 1.44% 1.38% 6.34% % 0.69% 1.01% -1.57% -0.09% % % 0.78% -0.58% 0.07% % 1.46% % % 0.57% % % 8.53% % 0.33% -0.82% -0.21% -0.19% -0.04% -0.78% 0.17% -0.62% % -1.61% TRADING STRATEGY CHAMELEON FX GLOBAL is an algorithmic logic that can be used to trade forex cross rates. The system is applied to charts that are plotted in EOD (end-of-day) format. CHAMELEON FX GLOBAL is a short-term trend following system that has been designed to capture relatively small forex price moves using a very flexible signal-generation logic. Two main modes are used (one for each group of crosses). They differ in that the same turning "flex" points are either used to buy or sell the market. Historically, one mode has been more successful in crosses that enjoy higher volatility while the other has been profitable in crosses where trend changes have a slower pace. PERFORMANCE* FX Global DJCS HFI (MF) ESTX50 REX(P) System's average trading frequency: circa 2 times per month per cross rate. Stop-loss points are fixed throughout the life of the trade. They refer to the point of entry +/- a loss distance value that is equal to 2.5 times the average true range (as calculated at entry time) STATISTICS* ANNUAL RETURN* FX Global DJCS HFI (MF) ESTX50 REX(P) Since inception % Last 12 month -1.61% Year-to-date -1.61% Performance (annualized) 11.32% Best month 10.02% Worst month -3.11% Average month 0.94% Volatility (annualized) 6.2 Sharpe Ratio 1.50 Sortino Ratio Skewness 1.25 DISTRIBUTION OF RETURNS* Kurtosis # Positive month 100 Ø Gain (positive month) 1.69% Negative month 44 Ø Loss (negative month) -0.7 % number of positive month 69.44% Ø Gain / Ø Loss 2.26 Maximum Draw Down -3.2 VaR (99%) on monthly basis 4.16% % -7% -6% - -4% -3% -2% -1% 1% 2% 3% 4% 6% 7% 8% 9% 11% 12% Type of strategy Indicators & Patterns Frequency End-of-day BENCHMARKS Year of inception 2010 Portfolio 100 currency pairs DJCS HFI (MF) = Dow Jones Credit Suisse Core Hedge Fund Index (Managed Futures) Number of trades per month 2 per chart ESTX50 = EUROSTOXX 50 Index Average holding period 15 days REX(P) = REX Performance Index Average time in the market 9 * The results are solely backtesting results that consider reasonable execution costs (spreads and slippage). To avoid curve-fitting the trading logic has been developed and calibrated on in-sample datasets and verified on out-of-sample data. GRE T PERFORMANCE. MADE IN GERMANY. SINCE BERLIN. BERMUDA. BREMEN. DUBAI. FRANKFURT. HONG KONG. LONDON. FOLLOW US
7 CURRENCY TRADING STRATEGY PERFORMANCE AND VOLATILITY 12 MONTH PERFORMANCE 5 EXPOSURE SUMMARY 4 TRY MXN MONTH VOLATILITY 15. HUF PLN SGD NOK SEK DKK HKD CZK ZAR USD EUR AUD GBP CHF CAD JPY NZD CORRELATION 12 MONTH CORRELATION DJCS HFI (MM) ESTX50 REX(P) CORRELATION 12 MONTH SINCE INCEPTION DJCS HFI(MF) ESTX REX(P) PROPOSAL You could smooth the equity curve of your entire portfolio (reduce volatility), if you combine those Chameleon strategies which have non-correlated weekly returns. DISCLAIMER No representation or warranty as to the accuracy of the information contained in this performance update is made or is to be implied. This update is for information purposes only, and does not constitute an offering. These materials are not, and under no circumstances are they to be construed as, a prospectus, advertisement or public offering.there is no guarantee that any account will or is likely to achieve profits or losses similar to those shown at this pages. There are frequently differences between hypothetical results and the results achieved by real trading. The shown trading results or performances in the past are no guarantee for profits in the future. The risk of loss in trading Futures, Forex or CFDs can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. CONTACT All trading strategies are offered to you for three months without any obligations and at no cost. The only premise: You have to be an institutional investor. Select those trading strategies that suit your needs. Test them for the three month trial and if you are satisfied with the performance let us know and participate in your success. INTALUS GERMANY INTALUS UK & IRELAND frankfurt@intalus.com london@intalus.com +49 (0) (0) INTALUS BERMUDA hamilton@intalus.com INTALUS MIDDLE EAST dubai@intalus.com Intalus Asset Management 7 intalus.com
8 CHAMELEON FX Control CURRENCY TRADING STRATEGY YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD % -0.09% 0.49% % 1.74% 1.97% 1.61% 5.13% % 14.06% % 2.89% % 1.18% % -0.41% % -0.52% 1.92% 12.18% % -2.03% -0.54% -0.26% % % 1.16% 1.21% 0.27% 4.06% 10.54% % 1.86% 2.68% % % -0.58% 0.53% -0.88% 9.81% % % -1.61% -0.91% 4.33% 1.82% 0.92% 2.67% 1.02% 1.64% 5.13% 21.01% % 1.94% 0.36% 2.13% -0.71% % 1.39% 0.74% % 3.06% 9.99% % -1.29% 2.51% 0.88% 3.14% 0.18% -0.68% % -0.78% 1.18% 7.57% % % % 0.04% -0.27% -0.36% -0.19% 0.89% % % 0.17% % % 0.22% -2.13% % 1.27% % -0.29% 1.89% -1.49% -0.14% -0.18% -0.53% -2.47% -1.86% 0.67% % % 1.18% 1.78% 1.72% % -0.02% 0.47% -1.08% -0.02% 1.62% 0.13% 6.18% % -1.07% 0.87% -0.91% -0.24% % 3.07% 1.23% -1.39% % TRADING STRATEGY PERFORMANCE* 2 23 FX Control DJCS HFI (MF) ESTX50 REX(P) CHAMELEON FOREX CONTROL is a 10 systematic computer model for institutional FOREX trading. It works without any discretionary inputs and exactly the same rules and parameters are applied to all cross rates and all time frames (no optimization). The system is defensive by trading only in low volatility phases. The logic is based on common technical indicators combined with several volatility measurements. Best results are achieved when applied on London liquid trading hours. CHAMELEON FOREX CONTROL can be provided with risk stops and profit targets for open overnight positions. The trading frequency is around 2 trades per week per chart. Positions are open from a couple of hours to a couple of days, depending on the strength of a trend after opening a position STATISTICS* Since inception % Last 12 month 0.71% Year-to-date 0.71% Performance (annualized) 8.41% Best month 5.13% Worst month -3.42% Average month 0.7 Volatility (annualized) 5.34% Sharpe Ratio 1.20 Sortino Ratio 2.55 Skewness 0.27 Kurtosis 3.26 # Positive month 91 Ø Gain (positive month) 1.59% Negative month 53 Ø Loss (negative month) -0.82% % number of positive month 63.19% Ø Gain / Ø Loss 1.93 Maximum Draw Down % VaR (99%) on monthly basis 3.58% ANNUAL RETURN* FX Control DJCS HFI (MF) ESTX50 REX(P) DISTRIBUTION OF RETURNS* % -8% -7% -6% - -4% -3% -2% -1% 1% 2% 3% 4% 6% 7% 8% 9% Type of strategy Patern Recognition / MA breakout Frequency Intraday BENCHMARKS Year of inception 2010 Portfolio 10 currency pairs DJCS HFI (MF) = Dow Jones Credit Suisse Core Hedge Fund Index (Managed Futures) Number of trades per month 60 ESTX50 = EUROSTOXX 50 Index Average holding period 8 hours REX(P) = REX Performance Index Average time in the market 9 * The results are solely backtesting results that consider reasonable execution costs (spreads and slippage). To avoid curve-fitting the trading logic has been developed and calibrated on in-sample datasets and verified on out-of-sample data. GRE T PERFORMANCE. MADE IN GERMANY. SINCE BERLIN. BERMUDA. BREMEN. DUBAI. FRANKFURT. HONG KONG. LONDON. FOLLOW US
9 CURRENCY TRADING STRATEGY PERFORMANCE AND VOLATILITY 12 MONTH PERFORMANCE EXPOSURE SUMMARY USD / CHF USD / JPY AUD / USD EUR / GBP USD / CAD EUR / JPY 12 MONTH VOLATILITY NZD / USD GBP / USD GBP / JPY EUR / USD CORRELATION 12 MONTH CORRELATION DJCS HFI (MM) ESTX50 REX(P) CORRELATION 12 MONTH SINCE INCEPTION DJCS HFI(MF) ESTX REX(P) PROPOSAL You could smooth the equity curve of your entire portfolio (reduce volatility), if you combine those Chameleon strategies which have non-correlated weekly returns. DISCLAIMER No representation or warranty as to the accuracy of the information contained in this performance update is made or is to be implied. This update is for information purposes only, and does not constitute an offering. These materials are not, and under no circumstances are they to be construed as, a prospectus, advertisement or public offering.there is no guarantee that any account will or is likely to achieve profits or losses similar to those shown at this pages. There are frequently differences between hypothetical results and the results achieved by real trading. The shown trading results or performances in the past are no guarantee for profits in the future. The risk of loss in trading Futures, Forex or CFDs can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. CONTACT All trading strategies are offered to you for three months without any obligations and at no cost. The only premise: You have to be an institutional investor. Select those trading strategies that suit your needs. Test them for the three month trial and if you are satisfied with the performance let us know and participate in your success. It s that simple. INTALUS GERMANY INTALUS UK & IRELAND frankfurt@intalus.com london@intalus.com +49 (0) (0) INTALUS BERMUDAS hamilton@intalus.com INTALUS MIDDLE EAST dubai@intalus.com Intalus Asset Management 9 intalus.com
10 CHAMELEON FX Fast CURRENCY TRADING STRATEGY YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD % 0.36% % 2.52% 1.94% 1.63% % 1.14% -1.01% 9.74% % 0.86% 2.38% 0.51% 0.19% 0.29% % -0.16% % -0.08% 7.19% % -1.89% -1.23% 0.44% 1.37% 1.21% -0.22% % -0.49% 1.04% 0.13% % 0.59% % 0.19% % 0.94% 0.54% -0.71% % % 0.96% 0.46% % 6.49% % 2.57% 1.99% 24.77% % -0.29% % % -0.52% 14.31% -1.04% % % 2.53% 9.51% 6.88% % % 3.81% -5.22% 1.52% 27.47% % 4.07% 3.51% 3.06% 2.67% 5.93% 3.56% % 2.02% 0.19% % 1.76% 2.02% 0.28% -0.03% 1.68% 3.17% 3.34% 7.73% % 26.67% % % -0.14% % % -1.32% 1.01% 0.93% % 1.11% % -2.87% -0.04% -1.73% 1.54% -2.03% % -0.71% % -1.69% 0.69% -0.97% 0.19% -0.29% -0.28% -0.62% 3.88% 1.37% 2.64% -0.77% 5.87% TRADING STRATEGY CHAMELEON FX FAST is an algorithmic logic that can be used to trade forex cross rates. The system is applied on charts that are plotted in intraday (15 min, 20 min, 25 min) format. CHAMELEON FX FAST is a breakout logic that has been designed to capture short-term swings in market direction regardless of the long-term dominating trend. Two main modes are used with the intention of optimizing the system's output. They differ in the way they calculate the assumed breakout points. PERFORMANCE* FX Fast DJCS HFI (MF) ESTX50 REX(P) System's average trading frequency : circa 12 times per month per cross rate. Stop-loss points are fixed throughout the life of the trade. They refer to the point of entry +/- a loss distance value that is equal to 1% of the traded currency. To accommodate active trading within European banking hours, the portfolio is (a) limited to the most active crosses and (b) constrained to include only those crosses with sides that display low intraday correlation STATISTICS* ANNUAL RETURN* FX Fast DJCS HFI (MF) ESTX50 REX(P) Since inception % Last 12 month 5.87% Year-to-date 5.87% Performance (annualized) 11.72% Best month 14.31% Worst month -5.22% Average month 0.98% Volatility (annualized) 8.66% Sharpe Ratio 1.12 Sortino Ratio Skewness 1.79 DISTRIBUTION OF RETURNS* Kurtosis # Positive month Ø Gain (positive month) 2.04% Negative month 49 Ø Loss (negative month) -1.09% % number of positive month 65.97% Ø Gain / Ø Loss 1.88 Maximum Draw Down -9.07% VaR (99%) on monthly basis 5.82% % -3% -2% -1% 1% 2% 3% 4% 6% 7% 8% 9% 11% 12% 13% 14% 1 Type of strategy Intraday breakout Frequency 15, 20, 25 min. bars BENCHMARKS Year of inception 2006 Portfolio 25 currency pairs DJCS HFI (MF) = Dow Jones Credit Suisse Core Hedge Fund Index (Managed Futures) Number of trades per month 12 per chart ESTX50 = EUROSTOXX 50 Index Average holding period 2.5 days REX(P) = REX Performance Index Average time in the market 97% * The results are solely backtesting results that consider reasonable execution costs (spreads and slippage). To avoid curve-fitting the trading logic has been developed and calibrated on in-sample datasets and verified on out-of-sample data. GRE T PERFORMANCE. MADE IN GERMANY. SINCE BERLIN. BERMUDA. BREMEN. DUBAI. FRANKFURT. HONG KONG. LONDON. FOLLOW US
11 CURRENCY TRADING STRATEGY PERFORMANCE AND VOLATILITY 12 MONTH PERFORMANCE EXPOSURE SUMMARY MONTH VOLATILITY CHF 8% CAD 8% AUD 8% NZD 6% NOK 4% GBP SEK 4% DKK 2% JPY 12% USD 2 EUR 18% CORRELATION 12 MONTH CORRELATION DJCS HFI (MM) ESTX50 REX(P) CORRELATION 12 MONTH SINCE INCEPTION DJCS HFI(MF) ESTX REX(P) PROPOSAL You could smooth the equity curve of your entire portfolio (reduce volatility), if you combine those Chameleon strategies which have non-correlated weekly returns. DISCLAIMER No representation or warranty as to the accuracy of the information contained in this performance update is made or is to be implied. This update is for information purposes only, and does not constitute an offering. These materials are not, and under no circumstances are they to be construed as, a prospectus, advertisement or public offering.there is no guarantee that any account will or is likely to achieve profits or losses similar to those shown at this pages. There are frequently differences between hypothetical results and the results achieved by real trading. The shown trading results or performances in the past are no guarantee for profits in the future. The risk of loss in trading Futures, Forex or CFDs can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. CONTACT All trading strategies are offered to you for three months without any obligations and at no cost. The only premise: You have to be an institutional investor. Select those trading strategies that suit your needs. Test them for the three month trial and if you are satisfied with the performance let us know and participate in your success. It s that simple. INTALUS GERMANY INTALUS UK & IRELAND frankfurt@intalus.com london@intalus.com +49 (0) (0) INTALUS BERMUDA hamilton@intalus.com INTALUS MIDDLE EAST dubai@intalus.com Intalus Asset Management 11 intalus.com
12 TELESCOPE. Keck 2. Mauna Kea / Hawaii. The earth s second largest optical reflecting telescope with a diameter of 10 m (394 in).
13 DO ALL YOUR INVESTMENTS PERFORM WELL? Give quantitative strategies a try, and see how they reduce risk and stabilize returns. ORDER YOUR 3-MONTH TRIAL NOW.
14 CHAMELEON Equity Index One FUTURES TRADING STRATEGY YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD % % -2.24% 0.38% 0.78% % 3.21% 10.69% % 3.07% 2.79% % -0.69% 0.21% 1.56% -3.88% 2.58% 0.79% 0.94% 6.93% % % 1.91% 1.17% 2.13% -0.54% -2.86% 0.91% 7.28% % 7.76% % -1.44% 0.86% 1.14% 6.81% 1.52% 3.29% -3.17% 1.79% 2.62% 1.46% % % 0.43% 1.29% 0.37% -0.67% 7.94% % 5.88% % -0.02% 23.88% % 3.03% % 2.57% 2.18% 2.13% 2.06% 11.36% 13.24% % 41.33% % -3.48% % 1.43% 7.97% -0.39% -1.07% -0.01% 19.17% % 5.18% 2.13% % % -3.86% 0.78% -1.72% 3.21% % % % % 1.93% 2.87% 3.47% -0.98% % 13.42% % -2.16% 10.58% -5.76% 4.81% 8.26% 6.74% -3.01% 7.89% 3.91% 0.81% 0.07% 32.18% % -2.69% -0.44% 5.09% -0.94% % -1.07% -0.03% % 14.54% 37.49% % -1.93% 1.76% -2.79% -8.62% % -2.74% -5.32% -5.08% -1.21% TRADING STRATEGY PERFORMANCE* 35 Equity Index One DJCS HFI (MF) ESTX50 REX(P) CHAMELEON EQUITY INDEX ONE is a 10 quantitative and systematic strategy; used for low frequency trading in liquid index futures based on end-of-day data. It can be characterized as a retracement strategy The strategy depends on market volatility and seeks statistically significant market movements to enter positions, in the direction of the current trend. Depending on several filters the strategy opens between one and three positions simultaneously. There are three different logics that control the closing of these positions. The strategy uses market volatility to determine stop levels and exit points (Profit Targets). Open positions are held from several hours up to several days STATISTICS* ANNUAL RETURN* Equity Index One DJCS HFI (MF) ESTX50 REX(P) Since inception % Last 12 month Year-to-date Performance (annualized) 15.74% Best month 14.54% Worst month % Average month 1.31% Volatility (annualized) 14.56% Sharpe Ratio 0.94 Sortino Ratio Skewness 0.27 DISTRIBUTION OF RETURNS* Kurtosis # Positive month 88 Ø Gain (positive month) 3.69% Negative month 54 Ø Loss (negative month) -2.51% % number of positive month 61.97% Ø Gain / Ø Loss 1.47 Maximum Draw Down VaR (99%) on monthly basis 9.78% % -12% -11% -9% -8% -6% - -3% -2% 2% 3% 6% 8% 9% 11% 12% 14% 1 17% Type of strategy Statistically proven patterns Frequency End-of-day BENCHMARKS Year of inception 2010 Portfolio 7 index futures DJCS HFI (MF) = Dow Jones Credit Suisse Core Hedge Fund Index (Managed Futures) Number of trades per month 12 ESTX50 = EUROSTOXX 50 Index Average holding period 1 day REX(P) = REX Performance Index Average time in the market 24% * The results are solely backtesting results that consider reasonable execution costs (spreads and slippage). To avoid curve-fitting the trading logic has been developed and calibrated on in-sample datasets and verified on out-of-sample data. GRE T PERFORMANCE. MADE IN GERMANY. SINCE BERLIN. BERMUDA. BREMEN. DUBAI. FRANKFURT. HONG KONG. LONDON. FOLLOW US
15 FUTURES TRADING STRATEGY PERFORMANCE AND VOLATILITY 12 MONTH PERFORMANCE EXPOSURE SUMMARY S&P 400 Midcap 14% RUSSEL % DAX 1 EuroSTOXX MONTH VOLATILITY NASDAQ100 14% Dow Jones 14% S&P % CORRELATION 12 MONTH CORRELATION DJCS HFI (MM) ESTX50 REX(P) CORRELATION 12 MONTH SINCE INCEPTION DJCS HFI(MF) ESTX REX(P) PROPOSAL You could smooth the equity curve of your entire portfolio (reduce volatility), if you combine those Chameleon strategies which have non-correlated weekly returns. DISCLAIMER No representation or warranty as to the accuracy of the information contained in this performance update is made or is to be implied. This update is for information purposes only, and does not constitute an offering. These materials are not, and under no circumstances are they to be construed as, a prospectus, advertisement or public offering.there is no guarantee that any account will or is likely to achieve profits or losses similar to those shown at this pages. There are frequently differences between hypothetical results and the results achieved by real trading. The shown trading results or performances in the past are no guarantee for profits in the future. The risk of loss in trading Futures, Forex or CFDs can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. CONTACT All trading strategies are offered to you for three months without any obligations and at no cost. The only premise: You have to be an institutional investor. Select those trading strategies that suit your needs. Test them for the three month trial and if you are satisfied with the performance let us know and participate in your success. It s that simple. INTALUS GERMANY INTALUS UK & IRELAND frankfurt@intalus.com london@intalus.com +49 (0) (0) INTALUS BERMUDAS hamilton@intalus.com INTALUS MIDDLE EAST dubai@intalus.com Intalus Asset Management 15 intalus.com
16 CHAMELEON Commodities Control FUTURES TRADING STRATEGY YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD % 1.56% 0.32% 1.76% 1.36% -1.71% 1.79% -0.47% -0.54% 4.87% 1.17% 3.68% 13.13% % -1.58% % % % 2.29% 1.64% % % % 2.28% 2.03% 3.39% % -0.01% % % 0.26% 4.26% 8.76% 0.28% % -0.57% % % 1.88% -0.21% 0.64% 0.23% 0.17% % -0.21% % % 0.11% 0.48% 0.81% -1.39% 3.18% 1.28% % -0.76% 1.97% 15.06% % -2.83% -0.58% 4.12% -1.59% 1.96% 0.64% 1.12% -0.76% -0.36% 2.38% 5.66% % 0.27% 0.18% % -0.81% 0.02% 1.26% % % 8.97% % % 2.99% 0.57% -1.27% -0.01% 2.66% 2.14% -0.31% % 7.36% % % -1.97% % -0.92% -0.43% % 0.66% -3.46% % -1.78% 3.47% % -1.16% 1.36% -0.77% -0.92% % 1.73% % 1.34% -0.07% -2.71% % % 2.66% 0.09% 0.18% 0.32% 4.5 TRADING STRATEGY CHAMELEON COMMODITIES CONTROL is an algorithmic logic that issues specific BUY/SELL trading signals. Trading this logic is 10 mechanical and purely systematic. NO trading discretion is required on the user's part at ANY time. The system is "in the market" nearly 10 of the time, continuously attempting to capitalize on short-term market swings by placing BUY STOP / SELL STOP orders that try to anticipate the direction of the market's imminent move. PERFORMANCE* Commodities Control DJCS HFI (MF) ESTX50 REX(P) The same set of system rules and parameters is applied to all markets at all times. Trading Orders are issued once a day at the end of the day's trading session looking for potential fills on the following day's session. On average, the system's trading frequency is around 4 trades per market per month. The system features a built-in money-management function that equalizes risk over time in each market and allows the user to set trading risk as a percentage of the allocated capital. Based on the user's criteria and prevailing conditions of market-volatility, the system will use this function to increase or decrease the number of traded contracts per trading signal STATISTICS* ANNUAL RETURN* Commodities Control DJCS HFI (MF) ESTX50 REX(P) Since inception % Last 12 month 4.5 Year-to-date 4.5 Performance (annualized) 10.04% Best month 8.76% Worst month -3. Average month 0.84% Volatility (annualized) 6.57% Sharpe Ratio 1.22 Sortino Ratio Skewness 0.73 DISTRIBUTION OF RETURNS* Kurtosis # Positive month Ø Gain (positive month) 1.84% Negative month 52 Ø Loss (negative month) -0.93% % number of positive month 63.89% Ø Gain / Ø Loss 1.97 Maximum Draw Down -6.58% VaR (99%) on monthly basis 4.41% % -8% -7% -6% - -4% -3% -2% -1% 1% 2% 3% 4% 6% 7% 8% 9% Type of strategy short term swing trading Frequency End-of-day BENCHMARKS Year of inception 2010 Portfolio 7 Energy & Precious Metals Futures DJCS HFI (MF) = Dow Jones Credit Suisse Core Hedge Fund Index (Managed Futures) Number of trades per month 4 per chart ESTX50 = EUROSTOXX 50 Index Average holding period 7 days REX(P) = REX Performance Index Average time in the market 97% * The results are solely backtesting results that consider reasonable execution costs (spreads and slippage). To avoid curve-fitting the trading logic has been developed and calibrated on in-sample datasets and verified on out-of-sample data. GRE T PERFORMANCE. MADE IN GERMANY. SINCE BERLIN. BERMUDA. BREMEN. DUBAI. FRANKFURT. HONG KONG. LONDON. FOLLOW US
17 FUTURES TRADING STRATEGY PERFORMANCE AND VOLATILITY 12 MONTH PERFORMANCE 3 EXPOSURE SUMMARY 2 1 NG 14% GC 1-1 RB 14% SI 1 12 MONTH VOLATILITY 12. HO 14% HG 14% 1 7. CL 14% CORRELATION 12 MONTH CORRELATION DJCS HFI (MM) ESTX50 REX(P) CORRELATION 12 MONTH SINCE INCEPTION DJCS HFI(MF) ESTX REX(P) PROPOSAL You could smooth the equity curve of your entire portfolio (reduce volatility), if you combine those Chameleon strategies which have non-correlated weekly returns. DISCLAIMER No representation or warranty as to the accuracy of the information contained in this performance update is made or is to be implied. This update is for information purposes only, and does not constitute an offering. These materials are not, and under no circumstances are they to be construed as, a prospectus, advertisement or public offering.there is no guarantee that any account will or is likely to achieve profits or losses similar to those shown at this pages. There are frequently differences between hypothetical results and the results achieved by real trading. The shown trading results or performances in the past are no guarantee for profits in the future. The risk of loss in trading Futures, Forex or CFDs can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. CONTACT All trading strategies are offered to you for three months without any obligations and at no cost. The only premise: You have to be an institutional investor. Select those trading strategies that suit your needs. Test them for the three month trial and if you are satisfied with the performance let us know and participate in your success. It s that simple. INTALUS GERMANY INTALUS UK & IRELAND frankfurt@intalus.com london@intalus.com +49 (0) (0) INTALUS BERMUDA hamilton@intalus.com INTALUS MIDDLE EAST dubai@intalus.com Intalus Asset Management 17 intalus.com
18 CHAMELEON Energy Fast FUTURES TRADING STRATEGY YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD % -1.68% 1.48% 0.69% -1.12% -0.28% -0.99% 0.79% 1.63% -4.92% 4.11% % % -1.16% 1.31% 2.21% -2.54% % 6.93% 1.61% % 3.23% 0.99% % 2.27% 3.01% 7.83% -1.21% 6.97% -2.88% 5.13% 25.31% % 3.59% 2.33% 3.63% -3.83% -0.72% 1.77% -3.09% 3.27% -3.42% % % 0.09% 0.79% -1.33% -1.31% % 2.86% 0.57% 1.32% -0.72% -4.44% 5.91% % 2.18% % % 5.83% % 27.38% % -0.18% % % 0.27% 3.51% 0.18% -1.57% 3.36% 14.84% % -1.39% -0.87% -1.73% 8.81% -0.17% -3.21% 6.19% 1.02% % -1.47% 11.41% % 0.63% 2.74% 1.48% 1.76% % -0.62% % % -2.63% -3.14% 6.68% -0.04% 1.83% % -1.18% -2.96% -0.07% % -1.52% 2.98% % -4.41% -3.66% % 0.88% % 1.67% 0.34% 1.11% % 1.83% -1.51% -0.47% % 1.32% 13.8 TRADING STRATEGY PERFORMANCE* 23 Energy Fast DJCS HFI (MF) ESTX50 REX(P) CHAMELEON ENERGY FAST relies on a multi-asset, multistrategy approach for its trading logic. Combining two logics within one portfolio enables the system to maintain diversification in two directions. Diversifying assets as well as strategies in this way leads to stable returns and reduces overall risk. It is a low frequency trading approach but the system targets mainly on short term trades The system combines a break-out-logic with a retracement approach. Positions are either opened when Break-Outs in a certain market condition or statistical significant market moves during price setbacks occur. The trading logics monitor these open positons according to market volatility to determine stop levels and exit points. Open positions are held from one day up to one week on average and are either closed Market on Close or by reaching the trailing stop levels STATISTICS* ANNUAL RETURN* Energy Fast DJCS HFI (MF) ESTX50 REX(P) Since inception Last 12 month 13.8 Year-to-date 13.8 Performance (annualized) 9.51% Best month 9.7 Worst month -4.92% Average month 0.79% Volatility (annualized) 10.06% Sharpe Ratio 0.75 Sortino Ratio Skewness 0.50 DISTRIBUTION OF RETURNS* Kurtosis # Positive month 81 Ø Gain (positive month) 2.77% Negative month 63 Ø Loss (negative month) -1.7 % number of positive month 56.2 Ø Gain / Ø Loss 1.58 Maximum Draw Down % VaR (99%) on monthly basis 6.76% % -8% -7% -6% - -4% -3% -2% -1% 1% 2% 3% 4% 6% 7% 8% 9% Type of strategy Statistical prooven pattern Frequency End-of-day BENCHMARKS Year of inception 2010 Portfolio 4 energy futures DJCS HFI (MF) = Dow Jones Credit Suisse Core Hedge Fund Index (Managed Futures) Number of trades per month 8 ESTX50 = EUROSTOXX 50 Index Average holding period 1 day REX(P) = REX Performance Index Average time in the market 2 * The results are solely backtesting results that consider reasonable execution costs (spreads and slippage). To avoid curve-fitting the trading logic has been developed and calibrated on in-sample datasets and verified on out-of-sample data. GRE T PERFORMANCE. MADE IN GERMANY. SINCE BERLIN. BERMUDA. BREMEN. DUBAI. FRANKFURT. HONG KONG. LONDON. FOLLOW US
19 FUTURES TRADING STRATEGY PERFORMANCE AND VOLATILITY 12 MONTH PERFORMANCE EXPOSURE SUMMARY RBOB Gasoline 2 Crude Oil 2 12 MONTH VOLATILITY Natural Gas 2 Heating Oil 2 CORRELATION 12 MONTH CORRELATION DJCS HFI (MM) ESTX50 REX(P) CORRELATION 12 MONTH SINCE INCEPTION DJCS HFI(MF) ESTX REX(P) PROPOSAL You could smooth the equity curve of your entire portfolio (reduce volatility), if you combine those Chameleon strategies which have non-correlated weekly returns. DISCLAIMER No representation or warranty as to the accuracy of the information contained in this performance update is made or is to be implied. This update is for information purposes only, and does not constitute an offering. These materials are not, and under no circumstances are they to be construed as, a prospectus, advertisement or public offering.there is no guarantee that any account will or is likely to achieve profits or losses similar to those shown at this webpage. There are frequently differences between hypothetical results and the results achieved by real trading. The shown trading results or performances in the past are no guarantee for profits in the future. The risk of loss in trading Futures, Forex or CFDs can be substantial. You should therefore carefully consider whether such trading is suitable for you in light of your financial condition. CONTACT All trading strategies are offered to you for three months without any obligations and at no cost. The only premise: You have to be an institutional investor. Select those trading strategies that suit your needs. Test them for the three month trial and if you are satisfied with the performance let us know and participate in your success. It s that simple. INTALUS GERMANY INTALUS UK & IRELAND frankfurt@intalus.com london@intalus.com +49 (0) (0) INTALUS BERMUDAS hamilton@intalus.com INTALUS MIDDLE EAST dubai@intalus.com Intalus Asset Management 19 intalus.com
20 CHAMELEON Bonds Control FUTURES TRADING STRATEGY YEAR JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD % 3.87% -8.17% 0.28% 3.93% -3.12% % 1.36% -4.73% 0.08% 0.93% 0.07% % 2.76% 2.32% -0.37% 2.51% -0.49% -0.72% % 1.33% -0.24% 0.81% 11.33% % 0.12% % 4.22% 0.13% % 3.79% 0.18% -1.96% % 2.56% -1.23% % % -3.42% 0.69% -1.58% -0.59% % -2.42% -1.73% 4.87% 2.68% -3.44% 3.73% % 5.09% -1.24% 5.06% % -0.26% 1.62% 0.01% -1.51% 3.17% 2.32% 1.37% % % -0.84% 0.37% 1.23% -3.01% % % 1.81% % 3.37% 2.23% % % 9.41% % % % 1.13% 2.31% 3.79% % -2.07% 0.47% 13.34% % 0.24% % 5.82% % -3.17% % -9.33% % -1.22% 2.64% % -1.39% 0.76% % 0.02% 4.14% % 1.09% 1.43% 1.02% 5.02% -0.23% 2.01% 5.22% % 2.41% 19.38% TRADING STRATEGY CHAMELEON BONDS CONTROL is an algorithmic logic that issues specific BUY/SELL trading signals. Trading this logic is 10 mechanical and purely systematic. NO trading discretion is required on the user's part at ANY time. The system attempts to capture medium to short-term swings in Global Treasury and Interest Rate markets. Portfolio Composition: a globally diversified set of major Treasury and Interest Rate future contracts. PERFORMANCE* Bonds Control DJCS HFI (MF) ESTX50 REX(P) The trading system is a medium term trend-following logic where the same set of system rules and parameters are applied on all markets at all times. Trading Orders are issued once a day at the end of each day's trading session. These orders are placed looking for potential fills on the following day's session. All orders are LIMIT orders. On average, excluding contract rollovers, the system's trading frequency is around 8 trades per year per contract STATISTICS* ANNUAL RETURN* Bonds Control DJCS HFI (MF) ESTX50 REX(P) Since inception 68.83% Last 12 month 19.38% Year-to-date 19.38% Performance (annualized) 5.74% Best month 5.82% Worst month -8.17% Average month 0.48% Volatility (annualized) 8.27% Sharpe Ratio 0.45 Sortino Ratio Skewness DISTRIBUTION OF RETURNS* Kurtosis # Positive month 84 Ø Gain (positive month) 2.03% Negative month 60 Ø Loss (negative month) -1.7 % number of positive month 58.33% Ø Gain / Ø Loss 1.20 Maximum Draw Down VaR (99%) on monthly basis % -8% -7% -6% - -4% -3% -2% -1% 1% 2% 3% 4% 6% 7% 8% 9% Type of strategy Medium term swing trading Frequency End-of-day BENCHMARKS Year of inception 2010 Portfolio 18 bonds futures DJCS HFI (MF) = Dow Jones Credit Suisse Core Hedge Fund Index (Managed Futures) Number of trades per month 0.7 per chart ESTX50 = EUROSTOXX 50 Index Average holding period 30 days REX(P) = REX Performance Index Average time in the market 7 * The results are solely backtesting results that consider reasonable execution costs (spreads and slippage). To avoid curve-fitting the trading logic has been developed and calibrated on in-sample datasets and verified on out-of-sample data. GRE T PERFORMANCE. MADE IN GERMANY. SINCE BERLIN. BERMUDA. BREMEN. DUBAI. FRANKFURT. HONG KONG. LONDON. FOLLOW US
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