1. TEMATIC STRATEGIES SERIES w SYSTEMATIC STRATEGIES SERIES w SYSTEMATIC STRATEGIES SERIES w SYSTEMATIC STRATEGIES SERIES w SYSTEMATIC STRATEGIES
Introducing
G10 FX Carry +PLUS Strategy
Lorenzo Bertolini, PhD
October 2012
1 © 2012 Lorenzo Bertolini

2. G10 FX Carry +PLUS Strategy Overview
The G10 FX Carry +PLUS Strategy is an enhancement of traditional FX Carry Trade portfolio
strategies. The added value is given by an advanced money management component which
provides flexibility to leverage up and down following our proprietary Dynamic Conditional
Leverage Model.
This means that the G10 FX Carry +PLUS Strategy has the potential to generate huge profits
during favorable market moves, while at the same time protecting the investor from large
drawdowns.
Dynamic
G10 FX
G10 FX Conditional
Carry
Carry Leverage
+PLUS
Model
1 © 2012 Lorenzo Bertolini

3. Dynamic Conditional Leverage Model (DCL)
The optimal money management is
RiskMetrics
established through our proprietary DCL Early Volatility
formula. Warning
Indicators
Interest
The DCL formula combines portfolio risk Rate
measures, foreign exchange yield Differentials
differentials and intermarket risk factors
with the Kelly formula for maximising
long term capital growth.
Dynamic Conditional Leverage
2 © 2012 Lorenzo Bertolini

4. DCL Indicator for the G10 FX Carry Strategy
3 ©© 2012 LorenzoBertolini
2012 Lorenzo Bertolini

5. G10 FX Carry +PLUS Capital Growth
4 © 2012 Lorenzo Bertolini

6. TEMATIC STRATEGIES SERIES w SYSTEMATIC STRATEGIES SERIES w SYSTEMATIC STRATEGIES SERIES w SYSTEMATIC STRATEGIES SERIES w SYSTEMATIC STRATEGIES
Introducing
G10 FX Carry +PLUS Strategy
Lorenzo Bertolini, PhD
October 2012
1 © 2012 Lorenzo Bertolini