Imfc Alpha Pres Mar 2011
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IMFC Alpha

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Imfc Alpha Pres Mar 2011 Imfc Alpha Pres Mar 2011 Presentation Transcript

  • The IMFC Global Investment Program Sustainable Alpha in Managed Futures March, 2011 THIS DOCUMENT CONTAINS INFORMATION ABOUT INTEGRATED MANAGED FUTURES CORP. (“IMFC”) AND ITS KEY PERSONNEL, A GENERAL DESCRIPTION OF IMFC’S TRADING PROGRAM AND MODEL AND A PERFORMANCE HISTORY OF THIS PROGRAM AND MODEL. THIS DOCUMENT IS NOT AN OFFER OR SOLICITATION TO INVEST IN IMFCS TRADING PROGRAM. SUCH A SOLICITATION CAN ONLY BE MADE ONCE A PROSPECTIVE CLIENT HAS BEEN PROVIDED A DISCLOSURE DOCUMENT (FOR U.S. RESIDENT INVESTORS) OR OFFERING DOCUMENTS ( FOR CANADA-RESIDENT INVESTORS). PLEASE CONTACT IMFC FOR FURTHER INFORMATION ABOUT ITS PROGRAM OR TO RECEIVE A COPY OF IMFC’S DISCLOSURE DOCUMENT OR OFFERING DOCUMENTS. EACH CLIENT MUST ACKNOWLEDGE RECEIVING IMFC’S DISCLOSURE DOCUMENT OR OFFERING DOCUMENTS PRIOR TO OPENING AN ACCOUNT. FURTHERMORE, THE PERFORMANCE RESULTS SHOWN IN THIS DOCUMENT ARE BEING SHOWN FOR INFORMATIONAL PURPOSES ONLY AND ARE NOT MEANT TO IMPLY THAT IMFC’S PROGRAM WILL HAVE SIMILAR RESULTS IN THE FUTURE SINCE PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 1
  • Important InformationPast Performance is not indicative of future resultsThis communication is not and under no circumstances is to be construed as an invitation to make an investment inthe IMFC Global Investment Program nor does it constitute a public offering to sell the program. Applications forIMFC Global Investment Program will only be considered on the terms set out in the Disclosure Document (for U.S.resident investors ) or Offering Documents (for Canada-resident investors). Terms defined in the Disclosure Documentand Offering Documents shall have the same meaning in this material. Potential investors should note that alternativeinvestments can involve significant risks and the value of the investment may go down as well as up. There is noguarantee of trading performance and past performance is not indicative of future results. Investors should review theDisclosure Document and Offering Documents in their entirety for a complete description of IMFC Global InvestmentProgram. An investment should only be made after consultation with independent qualified sources of investment andtax advice. The information contained in this material is subject to change without notice and IMFC will not be heldliable for any inaccuracies or misprints.Risks of InvestingThere are risks associated with an investment in the Program, as a result of, among other considerations, theproposed nature and operations of the Program. An investment in the Program should only be made after consultationwith independent qualified sources of investment and tax advice. An investment in the Program is speculative andinvolves a high degree of risk and is not intended as a complete investment program. It should be borne in mind thatrisks involved in this type of investment are greater than those normally associated with other types of investments.There is a risk that an investment in the Program will be lost entirely or in part. Only investors who do not requireimmediate liquidity of their investment and who can reasonably afford a substantial impairment or loss of their entireinvestment should consider investment in the Program. Capitalized terms not defined in this document are defined asset forth in the Disclosure Documents and Offering Documents. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 2
  • Hypothetical Performance DisclaimerTHE RESULTS IN THIS PRESENTATION CONTAIN BOTH ACTUAL AND HYPOTHETICAL RESULTS.HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH AREDESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TOACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARPDIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTSSUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLYPREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOTINVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FORTHE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTANDLOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES AREMATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARENUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OFANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATIONOF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUALTRADING RESULTS.PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 3 View slide
  • Sustainable Alpha in Managed FuturesIMFC Global Investment Program vs. naïve trend-following model In this analysis we start with a simple naïve trend-following model and examine returns – both actual and hypothetical – from Jan. 1990 to April 2010. We will then show how the gradual addition of various proprietary IMFC systems and algorithms greatly improves this model. These consist of: 1. IMFC trend-based algorithms 2. Additional Proprietary IMFC Algorithms • Short rate strategy • Value-based long equity index strategy • Long “positive roll yield” strategy 3. Proprietary IMFC Risk Management Algorithms PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 4 View slide
  • Correlation: Model and Actual Model has 0.97 historical correlation to actual IMFC Global returns Monthly performance, net of fees and expensesPlease refer to the Hypothetical Performance Disclaimer on p.3PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 5
  • Beta Model (Pro-Forma)“Beta” managed futures program is a pure naïve trend-following modelSignals are the trend-following indicators utilized to calculate stops in the IMFCGlobal Investment ProgramRisk-balanced positions based on simple 1-Yr historical volatility Summary Statistics (net of fees and expenses) ROR 15.45% StDev 16.05% Downside Dev 13.02% Sortino 1.19 Max Drawdown -21.91%Please refer to the Hypothetical Performance Disclaimer on p.3PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 6
  • Beta Model VAMI (Jan 1990-April 2010) (Pro-Forma)Daily gross returnsPlease refer to the Hypothetical Performance Disclaimer on p.3PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 7
  • IMFC Trend Following SignalsStep 1: Replace trend following signals in Beta model with IMFC trend-basedalgorithms Use mathematical smoothing and sampling techniques Quantify risk premia Probability-weighted price forecast (vol. and direction) Calculate implied ROR Determine likely return source (spot, roll yield, both) Determine type of position (outright, spread)PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 8
  • IMFC Trend Following Signals (Pro-Forma) Summary Statistics (net of fees and expenses) Beta IMFC TF Signals ROR 15.45% 18.38% Std. Dev 16.05% 15.57% Downside Dev 13.02% 13.59% Sortino 1.19 1.35 Max Drawdown -21.91% -19.40%Please refer to the Hypothetical Performance Disclaimer on p.3PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 9
  • VAMI: IMFC Trend Following Signals (Pro-Forma)(Jan 1990-April 2010)Daily gross returnsPlease refer to the Hypothetical Performance Disclaimer on p.3PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 10
  • Other IMFC Trading AlgorithmsStep 2: Add Additional Proprietary IMFC Algorithms1. Short rate strategy Quickly long flight to quality Spread opportunities when yields are low but curve is steep Avoids rising rate environments2. Value-based long equity index strategy3. Long “positive roll yield” strategy Physical commodity futures basket Systematic re-balancingPAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 11
  • IMFC All Trading Strategies (“All Signals”) (Pro-Forma) Summary Statistics (net of fees and expenses) Beta IMFC TF Signals IMFC All SignalsROR 15.45% 18.38% 22.69%Std. Dev 16.05% 15.57% 16.50%Downside Dev 13.02% 13.59% 13.21%Sortino 1.19 1.35 1.72Max Drawdown -21.91% -19.40% -17.05%Please refer to the Hypothetical Performance Disclaimer on p.3PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 12
  • VAMI: IMFC All Signals (Jan 1990-April 2010) (Pro-Forma)Daily gross returnsPlease refer to the Hypothetical Performance Disclaimer on p.3PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 13
  • IMFC Risk ManagementStep 3: Add Proprietary IMFC Risk Management AlgorithmsRisk balancing based on forecast of potential volatility, not average historical volatilityQuantitative techniques reduce market exposure Identify factors associated with transition points and periods of potential future underperformance New and important information; sentiment shifts Market irrationality Volatility shiftsVolatility and non-parametric Value-a-Risk (VaR) overlaysOption-based risk management strategiesPAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 14
  • IMFC Global Investment Program (Pro-Forma) Summary Statistics (net of fees and expenses) IMFC Global IMFC TF IMFC All Investment Beta Signals Signals Program ROR 15.45% 18.38% 22.69% 25.29% Std. Dev 16.05% 15.57% 16.50% 15.40% Downside Dev 13.02% 13.59% 13.21% 11.36% Sortino 1.19 1.35 1.72 2.23 Max Drawdown -21.91% -19.40% -17.05% -17.22%Please refer to the Hypothetical Performance Disclaimer on p.3PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 15
  • VAMI: IMFC Global Investment Program (Pro-Forma)Daily gross returnsPlease refer to the Hypothetical Performance Disclaimer on p.3PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 16
  • Return Distributions (Pro-Forma)Please refer to the Hypothetical Performance Disclaimer on p.3PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 17
  • Actual Performance IMFC Global Investment Program Actual Performance Capsule ( US $ ) For IMFC Global Monthly Rate of Return for the IMFC Global Program percentage rate of return (computed on a compounded monthly basis in accordance with the “Time-Weighted” method) Month 2007 2008 2009 2010 2011 January 0.00% 4.59% -0.88% -3.36% -0.21% February -6.55% 18.84% -0.47% 2.31% 3.88% March -3.03% -1.19% -3.63% 3.52% April 9.05% -2.77% -1.84% 0.56% May 5.56% 1.07% -2.95% -3.44% June 4.44% 4.26% 0.27% -0.62% July -7.01% -6.98% -0.04% -3.88% August -3.72% -3.39% 4.39% 9.37% September 11.52% 4.26% 3.31% 1.80% October 7.13% 19.65% -4.28% 5.63% November -1.25% 2.26% 8.77% -1.86% December 2.27% 2.23% -3.99% 3.07% YTD Rate of Return 17.69% 47.47% -2.14% 12.94% 3.66%PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 18
  • ConclusionsThere are demonstrable sources of Alpha in the IMFC Global Investment ProgramEnhanced core trading algorithms isolate and evaluate factors responsible for serialcorrelation in markets and trend-following performance Diversifying algorithms capture other unrelated sources of market return Substantial risk management processes and algorithms Initial risk budgets based on dynamic volatility and correlation arrays Risk overlays identify factors associated with potential future under-performance Vol/VaR overlays PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 19
  • Professional Staff Roland P. Austrup, B.A. President & CEO Registered with the Commodity Futures Trading Commission (CFTC) in the United States as an Associated Person and Principal since June 1997 and with the Ontario Securities Commission (OSC) as an Advisor since February 1999. Mr. Austrup is an associate member of the National Futures Association. And a member of the MFA. He is also a director of the Master of Quantitative Finance program at the University of Waterloo. Mr. Austrup was an investment advisor with BMO Nesbitt Burns from 1991 to 1996 and a commodities broker with ScotiaMcLeod from 1988 to 1990. B.A. (Honours), University of Western Ontario. David G. Mather, B.A., M.A. Vice President & Director Executive Vice President, Integrated Asset Management Corp. since 2001. Director since 2004. Vice-President, Director and Principal, Integrated Managed Futures Corp. since 2003. Registered with the CFTC as an Associated Person since March, 2010. Associate member of the National Futures Association. Member of the MFA, Director, River Plate House Capital Management Inc. Previously Managing Director, SEI Investments, and Managing Director, Fidelity Group Pensions. Senior Vice-President, Elliott & Page, 1990-1997. Vice-President, Crown Life Investment Management, 1983-1990. Prior experience with Royal Trust and Toronto-Dominion Bank. Presently Past Chair, Board of Governors, Royal St Georges College, Treasurer & Director, Royal St. George’s College Foundation, Treasurer, Director and Chair, Investment Committee, Boys and Girls Clubs of Canada Foundation, Chair, Investment Committee, Heart and Stroke Foundation of Ontario, Chair, Pension Committee, Heart and Stroke Foundation of Canada. Past director Genesis Research Foundation, Toronto Brigantine Inc. B.A. (Honours), University of Waterloo, M.A., University of Waterloo.PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 20
  • Professional Staff Stephen C. Johnson, B.Sc., CA (Scotland), CA, C.B.V. Principal and Director Mr. Johnson is CFO and Director of both Integrated Asset Management Corp. and BluMont Capital, Senior Vice- President, Integrated Partners. Previously, Mr. Johnson was Vice-President, The Poplar Corporation from 1989- 1994, Vice-President, Mergers & Acquisitions, Wood Gundy from 1988-1989, Assistant General Manager, Mergers & Acquisitions, CIBC from 1986-1988, and was with KPMG in London, England, and Toronto from 1975-1986. B.Sc. Economics (Honours), Southampton University. Chartered Accountant and Chartered Business Valuator. Adam Kolkiewicz, Ph.D. Quantitative Research Associate Dr. Kolkiewicz is a Professor in the Department of Statistics and Actuarial Science at the University of Waterloo. Over the last ten years he has been teaching courses in the Master in Statistics-Finance program, Canadas premier Masters program in quantitative finance. He is an Associate Chair for Graduate Studies and a founding member of the Institute for Quantitative Finance and Insurance. Dr. Kolkiewiczs research interests include computational and mathematical finance and methods of statistical inference. In particular, his recent studies deal with the problems of valuation and hedging of complex financial instruments as well as methods of statistical inference for time series models .M.Math, Technical University of Wroclaw, Ph.D., University of Waterloo. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 21
  • Professional Staff Robert Koloshuk, B.A.H. Senior Strategist & Director of Trading Mr. Robert Koloshuk is the Senior Strategist & Director of Trading. Mr. Koloshuk has been registered with the CFTC as an associated person since June, 2004, and is an associate member of the National Futures Association. Mr. Koloshuk has been conducting research exclusive to the Managed Futures industry since September of 2002, and he has been working extensively in collaboration with Professor Kolkiewiez at the University of Waterloo for the past five years. Mr. Koloshuk is also a computer programmer and a trade execution and account management supervisor. Mr. Koloshuk holds a B.A. (Honours Philosophy) from the University of Guelph, where he specialized in Machine Functionalism. James Rider, B.A., M.A. Research Advisor Founder, President and CEO of FxVolResearch Ltd. Mr. Rider is a Research Advisor to IMFC. He has been registered with the CFTC as a CTA, Associated person and Principal of FxVolResearch Ltd. Since November, 2010. Mr. Rider has been involved in the trading, marketing and researching of FX options markets since 1988. Co- founded Volatility Research & Trading Pte Ltd., a hedge fund company funded by a major London-based alternative investment management firm. As Research Director, Mr. Rider directed on-going research and programming with respect to limited loss volatility based trading strategies in the foreign exchange market. Previously spent over 10 years with Canadian Imperial Bank of Commerce (CIBC) in both Toronto and Singapore, chiefly responsible for overseeing the development of CIBC’s Foreign Exchange options business. As Executive Director of CIBC FP Asia, originated the establishment of an institutional derivative product-marketing desk in the Asia-Pacific region. B.A., University of Toronto, M.A. ( International Relations), Sussex University, post-graduate certificate in Economics from Birkbeck College, University of London. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 22
  • Professional Staff Bryan Chuah, B.Sc. Director of Quantitative ResearchBryan joined IMFC in June, 2009. Prior to joining IMFC, Mr. Chuah was a proprietary equity trader with VibeEquities in Edmonton. Bryan is in the final stage of a Masters in Quantitative Finance degree at the University ofWaterloo, and has a Bachelor of Science (actuarial science) degree from the University of Alberta . He has beenregistered with the CFTC as an Associated Person since October 2009, and is an associate member of theNational Futures Association. B.Sc., University of Alberta John Lukovich, B.A.Sc. Trader and Research AnalystJohn joined IMFC in May, 2009. He has been registered with the CFTC as an Associated Person since October2009, and is an associate member of the National Futures Association. John was an FPGA/ASIC verificationengineer at Nortel prior to joining IMFC. John is also working towards a Master of Engineering at the Centre forManagement of Technology and Entrepreneurship at the University of Toronto. B.A.Sc., University of Toronto.PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 23
  • IMFC Contact InformationIntegrated Managed Futures Corp.70 University Avenue, Suite 1200Toronto, Ontario M5J 2M4CanadaContact: David Mather Vice President Tel: + 1 416 933 8274 Fax: + 1 416 360 7446 Email: dmather@iamgroup.ca Website: www.imfc.ca www.iamgroup.caPAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS 24