2. Disclaimer
There can be no assurance that the investment objective of Although offering potential benefits, an investment in an
a managed futures account will be achieved. managed futures account managed by Global Edge Capital
Management, involves substantial risk and is only suitable if
Most managed futures accounts are highly leveraged, you have the adequate means to provide for your current
which may potentially provide higher return, but also needs and personal contingencies, you can bear the economic
increases the overall risk and volatility of the investment. risk of losing your entire investment and possess an
appropriate level of financial sophistication and experience.
Managed futures accounts are less liquid than stocks and
bonds. You should carefully consider whether your financial condition
permits you to open a managed futures account.
Costs and expenses of managed futures accounts are
significantly higher than mutual funds and other investment This presentation does not constitute an offer or solicitation of
vehicles. securities to anyone in any jurisdiction and is being provided
for informational purposes only.
Investors in managed futures accounts realize taxable gains
and losses in the year in which they occur and proper For more information interested parties should read and
consideration should be given to the tax implications of an understand out latest Disclosure Document.
investment.
Futures and forward contracts have a high degree of price
variability and are subject to occasional rapid and
substantial changes. Investing in managed futures is
speculative and investors must be prepared to lose all or a
substantial amount of their investment.
3. Contents
Managed Futures
Global Edge Capital Management
5. Managed Futures
Advantages
Reduce Portfolio Volatility Risk
Potential to Profit in Any Economic Environment
Increase Portfolio Diversification
Protect Against Inflation and Possibly Deflation
6. Managed Futures
Reduce Portfolio Volatility Risk
One of the key views of Modern Portfolio Theory, as developed by the
Nobel Prize economist Dr. Harry M. Markowitz, is that more efficient
investment portfolios can be created by diversifying among asset classes
with low to negative correlations.
The primary benefit of adding managed futures to a diversified investment
portfolio is that it may decrease portfolio volatility risk. This risk-reduction
contribution to the portfolio is possible because of the low to slightly
negative correlation of managed futures with equities and bonds.
8. Managed Futures
Optimum Portfolio Mix (01/1987 – 02/2008)
Return
Volatitily
1) Managed futures : CASAM CISM CTA Equal Weighted
2) Stocks: MSCI World
3) Bonds JP Morgan Government Bond Global;
Source: CME Group/Bloomberg
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
9. Managed Futures
Potential to Profit in Any Economic Environment
Because of the diverse investment vehicles managed futures trading
advisors participate in, some the advisors have the ability to profit in various
economic conditions.
10. Managed Futures
Casam CTA Index X S&P 500 (01/80 to 05/10)
Casam CTA Index S&P 500
7000%
6000%
5000%
4000%
3000%
2000%
1000%
0%
1981
1983
1985
1987
1989
1991
1993
1995
1997
1999
2001
2003
2005
2007
2009
Source: CME Group/Bloomberg
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
11. Managed Futures
Worst Case Stock Markets Declines and
How Managed Futures Performed Over the Same Period
40 Casam CTA Index
Casam CTA Index Casam CTA Index
31.60%
20 23.97% 23.97%
0
-15.40%
-20
-40 -52.00%
-55.37%
-60
-75.00%
-80
-100
Casam CTA Index S&P 500 NASDAQ MSCI International Stocks
(Aug.89 to Oct.89) (Nov.07 to Feb. 09) (Mar.00 to Sep. 02) (Nov.07 to Feb.09)
Source: CME Group/Bloomberg.
From 1989 to 2010
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
12. Managed Futures
Worst Months for S&P 500 and How Casam CTA Best Months for S&P 500 and How Casam CTA
Index Performed Over the Same Period Index Performed Over the Same Period
1.7%
1.7%
-6.42%
-6.8%
-6.8% -8.0%
-8.0-%
Source: CME Group/Bloomberg
From 01/1980 to 09/2010
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
13. Managed Futures
Increase Portfolio Diversification
Managed Futures trading advisors participate in a wide variety of
commodity products and markets not available in traditional investment
products. Global Edge Diversified program trades more than 100 different
futures contracts diversified across 9 low correlated market sectors in
various exchanges around the globe.
14. Managed Futures
Protect Against Inflation and Possibly Deflation
Managed Futures could also offer protection in an inflationary or possible
deflation environment because commodity prices tend to shift up under this
economic situation giving opportunities to a Managed Futures fund to profit
from these price movements.
15. Global Edge Capital Management, LLC
Disadvantages
Higher Volatility than Other Hedge Funds Strategies
Higher Drawdown than Other Hedge Funds Strategies
We recommend not more than 10% of a client’s overall investment
portfolio be exposed to Managed Futures
17. Global Edge Capital Management, LLC
Global Edge Capital Management, LLC is an alternative investment
manager that utilizes 100% systematic strategies, with long or short
positions, through global futures contracts.
The trading system employed is based upon mathematical algorithms
derived from statistically based research into historical price
movements.
Our strategies analyze price, volume, and open interest as the
primary sources of data for input to arrive at trading decisions. We do
not incorporate fundamentals. In addition, we use several mechanical
models to try to control exposure, drawdown and risk. While such
models help reduce risk, they cannot eliminate risk.
Global Edge Capital Management, LLC is constantly focused on the
development of new strategies.
18. Global Edge Capital Management, LLC
Strategies and Weightings
Medium Term Strategy
14%
Short Term
Strategy
47%
Long Term
Strategy
39%
19. Global Edge Capital Management, LLC
• Long Term Strategy:
• Trades from long term trends
• Average Holding Period: 45 days
• Medium Term Strategy:
• Trades from intermediate term trends
• Average Holding Period: 20 days
• Short Term Strategy:
• Trades from short term movements in overbought and oversold
markets
• Average Holding Period: 7 days
20. Global Edge Capital Management, LLC
Trade Exit
Trade Entry
Trailing Stop
Long Position
Long Term System in a Favorable Market – Crude Oil
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
21. Global Edge Capital Management, LLC
Trade Exit
Trade Entry – Short Position
Short Position Exit
And Trade Entry
Long Position Entry
Long Position
Long Term System in an Adverse Market – Rubber Tokyo Short Position
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
22. Global Edge Capital Management, LLC
Trade Entry
Trade Exit
Trade Exit
Short Term System in a Favorable Market – Lumber CME Short Position
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
23. Global Edge Capital Management, LLC
Trade Exit
Trade Entry
Trade Exit
Trade Entry
Trade Entry
Trade Exit
Trade Exit
Trade Entry
Short Term System in an Adverse Market – Australian Dollar Long Position
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
24. Global Edge Capital Management, LLC
Risk Management
Stop losses are used in every trade to attempt a limited loss in each trade and are based
on a robust volatility forecasting model and previous price levels.
Risk is defined as the theoretical loss from current price to the stop level, and is
calculated on an individual trade level as well as in aggregate on a continual basis.
• Position level: each position has an initial risk ranging from 0.01% to 0.15% of our
total equity
•Contract level: Max contract risk set at 1.3% (accounts for multiple systems trading
the same contract).
•Sector level : each sector has a maximum risk of 5% of our total equity
•Market volatility is an important element in position sizing
•1800 round turn per million per year
•Average margin to equity: 12%
STOP LOSSES ARE NO GUARANTEE OF EXECUTION PRICE ON FAST MOVING MARKETS.
25. Global Edge Capital Management, LLC
Improvements
02/2008 – 80% Long Term, 5% Medium Term, 15% Short Term
10/2008 – Use of Profit Targets on Long Term Strategies
12/2008 – 65% Long Term, 10% Medium Term, 25% Short Term
06/2009 – 39% Long Term, 14% Medium Term, 47% Short Term
10/2010 – Dynamic Position Sizing Incorporated
Drawdown Improvement
2008 2009
- 52 . 0 0 % 2010
0
-5
-10 13.32%
15.87%
Drawdown
-15
-20
-25
-30
35.14%
-35
-40
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
26. Global Edge Capital Management, LLC
Exchanges Traded
North America: Chicago, New York, Kansas City, Montreal, Winnipeg
South America: São Paulo
Europe: London, Milan, Frankfurt, Madrid, Stockholm
Asia: Tokyo, Osaka, Hong Kong, Seoul, Singapore, Kuala Lumpur
Australia: Sydney
Africa: Johannesburg
27. Global Edge Capital Management, LLC
Markets Traded
Currencies Swiss Bond Australian 10 Yr Bond OMX Index Energies Metals
German Bobl S&P CNX Nifty Index
Australian Dollar German Schatz Indices MSCI Singapore Stock Heating Oil High Grade Copper
British Pound Buxl MSCI Taiwan Index Kerosene Tokyo Platinum Tokyo
Canadian Dollar German Bund EOE Amsterdam Index Euro Stoxx Index Brent Crude Oil Palladium
Euro Interbank Libor JSE All Share Index S&P Canada 60 Gas Oil Gold CBOT
US Dollar Index Euro Swap Note -2 Yr MSCI EAFE Index Mini DJ STOXX 50 Index Natural Gas Mini Silver CBOT
Japanese Yen Euribor FTSE Eurofirst 80 Index SPI 200 Light Crude Oil Light Mini
U.S. Dollar/Korean Won Euro Swiss S&P Midcap 400 Mini DJIA Mini Gasoline Livestock
Mexican Peso Fed Funds Russell 2000 Mini
New Zealand Dollar Long Gilt S&P 500 Mini Grains Foods/Fibers Feeder Cattle
South Africa Rand Sterling Rate - 3Mth CAC 40 Index Live Cattle
Euro/Swiss Franc 5 Years Note DAX Soybean Oil Cocoa Lean Hogs
Euro/British Pound Swap Interest Rate - 5 Yr FTSE 100 Corn Cotton Brazilian Live Cattle
Euro/Japanese Yen New Zealand Bank Bill Hang Seng China Ent. Palm Oil Coffee
Swiss Franc Swap Interest Rate -10 Yr Hang Seng Index Mini Wheat Kansas City London Cocoa Others
Brazilian Real Euroyen - 3Mth MIB Index Mini White Maize London Coffee
10 Yr Mini JGB Nikkei 225 Index Mini Oats London SugarNo.5 Lumber
Financials 2 Years Note Topix Index Rough Rice Orange Juice CBOE Volatility Index
10 Years Note DAX Midcap Index Canola Sugar No. 11 Japanese Rubber
Aussie 30-Day Interbank Australian 90 Day Bank Bill Ibovespa Mini Wheat Carbon Emissions
Canadian Bakers Bills US T-Bonds Ibex 35 Index Soybean Meal
Canadian 10 Year Bond Australian 3 Yr Bond Nasdaq 100 Index Mini Mini Soybeans
28. Global Edge Capital Management, LLC
Typical Region Breakdown
South America
10% Asia
30%
Europe
20%
North America
40%
29. Global Edge Capital Management, LLC
Global Edge Diversified Managed Accounts Program
Minimum Investment: US$ 200,000
Management Fee: 2% per year, charged monthly
Performance Fee: 20 % per year, charged quarterly, with high water mark
50% Notional Funding Managed Account Accepted
Recommended Holding Period: 3 Years
30. Global Edge Capital Management, LLC
Principal
Gabriel Pellegrini was born in 1981. He graduated Fundação Getúlio Vargas. Gabriel
has been trading commodities and futures contracts since 2003, when he began to trade
his own capital, and testing mechanical, rule based trading systems he developed. He
continues to conduct research regarding the technical and methodological aspects of
strategies upon which the Global Edge trading program is based. The goal of this
continuing research is to develop new strategies and risk control measures uncorrelated
with the running models. Mr. Pellegrini and his staff are responsible for the daily trading
and the implementation of the systems and programs.
Ricardo J. de Souza was born in 1980. He graduated with a degree in business from
Fundacao Armando Alvares Penteado in São Paulo, Brazil in 2006. He began his work in
the financial markets in 2004, at Global Portfolio Strategists, one of the biggest family
office trading firms in Brazil. Mr. de Souza’s main function at Global Portfolio Strategists
was to choose hedge funds portfolios to suit client profiles. After this experience, Mr. de
Souza began trading futures and other securities for his own account.
31. Global Edge Capital Management, LLC
Highly Regulated
National Futures Association (NFA) is the industry wide, self-regulatory organization for the U.S. futures industry.
NFA strives every day to develop rules, programs and services that safeguard market integrity, protects investors
and help them Members meet their regulatory responsibilities.
( http://www.nfa.futures.org/basicnet/Details.aspx?entityid=0392198&rn=Y )
Contact Information
Global Edge Capital Management
Rua João Cachoeira, 1682, ap 102
São Paulo, Brazil
CEP 04535-008
Tel: +1 347 329-4433
Fax: +55 (11) 3498-9101
info@globaledgecm.com
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS