A quantitative systematic trend following strategy called dTrend is designed to outperform Saudi benchmark indices through positions in the top 50 most liquid Saudi stocks. The strategy uses 150-minute candles to identify emerging trends and takes directional long or short positions at the start of trends. Real-time risk management includes portfolio correlation checks and volatility-based stop losses. Backtesting from 2008-2012 showed dTrend achieved higher average annual returns with lower volatility compared to the indices, generating a Sharpe ratio of 0.23 versus -0.14 for the TASI Index.

1. A Quality systematic trend
following strategy to yield
absolute returns
In stock as compared to Saudi
bench mark indices

2. The Mandate
• Yield superior returns for the investors as compared to Saudi Benchmark Indices
• Yield alpha irrespective of the equity market directions
• Generate consistent returns with low volatility and significant Sharpe
• Trade only the most liquid equities, which are not subjected to price manipulations /
random fluctuations
• 100% systematic and disciplined

3. The Universe
• Limited risk of price manipulations and absurd price movements
• Universe chosen to be of Top 50 liquid stocks in Saudi Market, so that getting in and out of the
positions are easy and less prone to slippages
• Universe chosen across varied sectors classes (non-correlated, loosely correlated) like Bank,
Infrastructure, Oil etc.
Top
50
Liquid
Stocks
in
Banks,
IT,
Steel,
Real
Saudi
Market
Estate,
Auto,
Oil
&
Gas
etc.
The
Universe

4. The Structure and Capital Deployment
• Trends of the equities identified in the candles of 150 min.
• Most equities move 2%-5% on a daily basis and hence, shorter term trend like that of 2 to 3
hours. and higher frequency needs to be captured in real time
• Making sure that at no time the model exceeds SAR 100 invested, and stays within the
unleveraged positions
Exposure
upto
SAR
100
taken
in
stocks
dTrend
SAR
100
Invested
May not be used
completely at all
times / Not a
continuous exposure
model

5. The Methodology
• Methodology designed to sustain various kind of market environments (Bulling, Bearish and
Range Bound)
• Designed to take positions at the start of the trend, so that major moves can be captured
• Trend can be both Upside (Directional long position) or Downside (Directional short position)
• 100% systematic and disciplined strategy
Real
Dme
150
min.
candles
maker
PorOolio
Capturing
correlaDon
trends
when
checked
in
they
start
to
real
Dme
develop
Real
Dme
VolaDlity
volaDlity
based
bet
based
stop
and
posiDon
loss
system
sizing

6. Back-test based on Realistic Scenario
• Slippage and Transaction Cost @ 12 BP

7. The Back Testing Approach
The
Considerations Approach
• 4.5 years data on 1 min. closing taken for all the stocks
Back Testing Mechanism • Data cleaned and adjusted for gaps / outliers
• Data of all 50 stocks taken together to test the overall strategy
• Position of long taken on the asset, on 150 min candles, based on the
Long signals from the trend following system
Asset Positioning
• Correlation of the portfolio checked, to avoid taking positions in highly
correlated assets at any given time
• Every 1 minute checks are in place for stop loss based on volatility of
Asset Risk Management
the asset (More volatile => Higher trailing stop loss)
• When the stop loss is hit
Asset Unwinding • When the trend reverses in the other direction – the position is
unwounded
• Exposure limits is tightly kept in control, so that there are no excess
Exposure Limits
leverage on the strategy
• Equal exposure of is taken on each single trade so that the portfolio of
Portfolio Weight
assets remains equally distributed

8. The Trade Characteristics*
Trade Characteristics Values
Average Value Per Trade SAR 100,000 Notional
Average Number of Trades Per Month 56 Trades
Average Monthly Turnover* ~ SAR 11.2 Million
Average Return Per Trade* SAR 266 (0.26%)
Transactions Costs (Brokerage, Taxes) 12 BP
* Historical return generated by back-testing
Slippage & Transaction Cost @ 12bp

9. Yearly performance comparison of dTrend and Benchmark Indices*
TASI Index Return (%)
S&P Saudi Index Return (%)
40.00%
30.00%
20.00%
10.00%
0.00%
2008
2009
2010
2011
2012
-10.00%
-20.00%
-30.00%
-40.00%
-50.00%
-60.00%
* Historical return generated by back-testing
Slippage & Transaction Cost @ 12bp

10. Performance of dTrend over Benchmark Indices*
40.00%
TASI Index Return (%)
S&P Saudi Index Return (%)
20.00%
0.00%
-20.00%
-40.00%
-60.00%
-80.00%
-100.00%
Jan-­‐2008
Jul-­‐2008
Jan-­‐2009
Jul-­‐2009
Jan-­‐2010
Jul-­‐2010
Jan-­‐2011
Jul-­‐2011
Jan-­‐2012
* Historical return generated by back-testing
Slippage & Transaction Cost @ 12bp

11. Value of SAR 5 Mn invested in dTrend Vs Benchmark Indices*
TASI Index (Buy & Hold)
S&P Saudi Index (Buy & Hold)
7,000,000
6,000,000
5,000,000
Jan-­‐2008
Jul-­‐2008
Jan-­‐2009
Jul-­‐2009
Jan-­‐2010
Jul-­‐2010
Jan-­‐2011
Jul-­‐2011
Jan-­‐2012
4,000,000
3,000,000
2,000,000
1,000,000
0
* Historical return generated by back-testing
Slippage & Transaction Cost @ 12bp

12. Monthly Performance Chart of dTrend*
15.00%
10.00%
5.00%
0.00%
Jan-08
Apr-08
Jul-08
Oct-08
Jan-09
Apr-09
Jul-09
Oct-09
Jan-10
Apr-10
Jul-10
Oct-10
Jan-11
Apr-11
Jul-11
Oct-11
Jan-12
Apr-12
-5.00%
-10.00%
* Historical return generated by back-testing
Slippage & Transaction Cost @ 12bp

13. -200.00%
-150.00%
-100.00%
-50.00%
0.00%
50.00%
100.00%
150.00%
200.00%
1020-SA
1030-SA
1040-SA
1050-SA
1060-SA
1080-SA
1090-SA
1120-SA
1140-SA
1150-SA
1211-SA
2010-SA
2020-SA
2040-SA
Slippage & Transaction Cost @ 12bp
2050-SA
2060-SA
* Historical return generated by back-testing
2070-SA
2210-SA
2230-SA
2250-SA
2260-SA
2280-SA
2290-SA
2310-SA
2330-SA
2350-SA
2380-SA
3010-SA
3020-SA
3030-SA
3040-SA
3050-SA
3060-SA
3080-SA
3091-SA
4030-SA
4090-SA
4100-SA
4150-SA
4190-SA
4220-SA
4240-SA
Outperformance of dTrend over Buy & Hold in Top 50 Saudi Stocks*
4250-SA
4280-SA
4300-SA
5110-SA
7010-SA
7020-SA
7030-SA

14. Yearly performance comparison of dTrend and Benchmark Indices*
dTrend TASI Index S&P Saudi Index
Year wise comparison
(%) Return (%) Return (%) Return
2008 -20.97% -54.06% -55.56%
2009 30.06% 22.30% 23.15%
2010 1.38% 8.57% 22.14%
2011 -6.12% -4.03% -8.31%
2012 18.91% 5.30% 4.94%
Average Annualized Return 4.65% -4.38% -2.73%
Annualized Volatility in Return 20.20% 29.33% 32.28%
Sharpe Ratios 0.23 -0.14 -0.08
* Historical return generated by back-testing
Slippage & Transaction Cost @ 12bp

15. dTrend Vs. TASI Index (Relative Comparison)*
Result of dTrend dTrend TASI Index
Period Back tested 01 Jan 2008 - 16 Jun 2012 01 Jan 2008 - 16 Jun 2012
Model Type dTrend TASI - Buy & Hold
Candle Length (In Minutes) 150
Average Daily Return 0.01% -0.03%
Avg Annualized Return (Unleveraged) 4.65% -4.38%
Average Annualized Volatility 20.20% 29.33%
Sharpe Ratio 0.23 -0.14
Total Number of Trades 3053
Average Trades Per Day 2.73
Winning Ratio in Trades 40.91%
* Historical return generated by back-testing
Slippage & Transaction Cost @ 12bp

16. Performance of dTrend over Buy & Hold in Saudi Market*
Result of dTrend dTrend TASI Index
Average Trade Return (Per Month/Per Stock) 0.31% -0.33%
Positive Return % for Per Stocks Per Month of
61.38% 49.37%
Holding
Average Annual Return Per Stock 3.69% -3.99%
Average Volatility Per Stock 9.63% 10.70%
Annualized Outperformance over Buy/Hold 7.68%
% of stocks outperforming Buy/Hold strategy 75.51%
* Historical return generated by back-testing
Slippage & Transaction Cost @ 12bp

17. The Fund Structure
Details Terms
Quantitative Intelligence & Support Dr Dhari Al Abdulhadi & Team
Minimum Capital Investment SAR 3 Mn.
Maximum Overnight Exposure SAR 3 Mn. (Unleveraged)
Prime Broker NBK, or any Mubasher Supported Brokerage
Minimum Investment Period 7 Months
Performance Fees
• Performance Fee: 15%
Fee Structure • Hurdle rate : NIL
• Management Fees: 2.25%
• High Water-Mark: Yes

18. DISCLAIMER & RISK FACTORS
The information contained in this document does not constitute in any manner any investment advice or solicitation or endorsement relating to
the products mentioned herein ("Products"). The Products may not be suited to all categories of investors and hence Investors/Recipients must
make their own investment decision (at their sole description & risk) and where necessary take advice from independent professional advisors
before investing. Investors/Recipients are (1) not provided any guarantee/assurance that the investment objective of the Products will be
achieved; and (2) not offered any guarantee/assured returns on their investments in the Products.
Investments in Quantitative products/strategy are subject to market risks due to various micro and macro factors and forces affecting the capital
markets which include price fluctuation risks. The investments may not be suited to all categories of Investors/Recipients. As with any
investment in any securities, the value of the portfolio under products/strategy can go up or down depending on the factors and forces affecting
the capital market.
dTrend is only the name of the products/strategy and does not in any manner indicate either the quality of the products/strategy or its future
prospects and returns. The past performance of the strategy and/or its back-tests is not indicative of future performance.
The Portfolio Manager, its affiliates/associates, their directors, employees, representatives or agents shall not be liable or responsible, in any
manner whatsoever, to any Investor/Recipient or any other person, for the performance/profitability/operations of the products/strategy, the
contents of any document or any investments in the products/strategy including any and all direct, special, punitive, indirect, or consequential
damages (including lost profits), even if notified of the possibility of such damages.
dTrend is not sponsored, endorsed, sold or promoted by Saudi Exchanges

19. Contact us
Head
Office:
Fahad AlSalem Street, AlSalhiya Complex, Kuwait City
For
more
informa6on:
E:
info@almoadala.com
T:
+96522405400, +96599000554
F: +96522458444
www.almoadala.com