Estlander Partners Presto Program April 2015

Transcription

Estlander Partners Presto Program April 2015
ESTLANDER & PARTNERS PRESTO
Monthly report - April 2015
THE MONTH IN BRIEF
HISTORICAL PROGRAM PERFORMANCE
• The month of April was characterized by trend reversals on a broad
front.
• Within the fixed income segment, investors revolted against negative
yields.
• In equities, European indices fell heavily during the second half of the
month.
• Systematic strategies can provide this timing across asset classes.
1600
1400
1200
1000
April
YTD
-1.14 %
5.61 %
MONTHLY REVIEW
The month of April was characterized by trend reversals on a broad
front. The biggest moves were seen in commodities, where the
downtrend took a breather and markets reversed up. Within the FX
segment, the U.S. dollar index was noted for its first monthly retreat in
10 months as mixed economic data prompted analysts to push forward
from June their estimates for when the Fed will lift rates for the first time
since 2006. In fixed income, investors gave the clearest sign yet they are
losing patience with the record-low yields on euro-area government
bonds in a selloff at the end of the month that spared no market. In
equities, European indices fell heavily during the second half of the
month and in the U.S. the S&P 500 Index closed below its 50-day
moving average after making a third attempt this year at breaking the
important 2100 level. As stated in the previous monthly report, the index
would need a solid break of this level or the likelihood of a bigger drop
is evident.
Within the fixed income segment, investors revolted against negative
yields in Europe and wiped 142 billion euros off the value of the region’s
government bonds during the last week of the month. German 10-year
yields completed their biggest two-day climb since November 2011 on
signs of euro-area inflation. Within commodities, short positions suffered
as the Bloomberg Commodities Index gained 4% in April, with U.S. oil up
20%. Oil rebounded from a six-year low in March on speculation that a
drilling slowdown will curb excess supply. Supplies are still at record
highs and haven’t been this high since 1930, based on monthly records
dating back to 1920. The strategy was able to mitigate losses by closing
out positions and the positioning in the portfolio now reflects the new
environment. Risks in the portfolio are low and the models are reactive
in both directions.
Looking forward odds are that volatility will continue to pick up across
asset classes as investors digest the factors affecting the global market
space. Higher volatility and bigger directional moves have traditionally
been a good environment for trend followers. One important factor
affecting markets is that central policy divergence remains. In the end,
the ECB is conducting an expansive policy while the Fed is set to raise
rates. In addition, the euro area’s growth is not as strong as that of the
U.S. even though some positive signs are emerging. An interesting fact is
that there are currently influential voices that offer contrarian views. Last
month we mentioned Swiss adviser and fund manager Marc Faber
warning that we are in a gigantic financial asset bubble, which could
burst any day. Now Janus Capital’s Bill Gross, who once managed the
world’s largest bond fund, said that bunds were the short of a lifetime,
even better than the pound in 1993 and that the only question is timing.
Systematic strategies can provide this timing across asset classes.
800
2011
2012
2013
2014
2015
SECTOR ATTRIBUTION % LAST MONTH
2.0 %
1.0 %
0.0 %
-1.0 %
-2.0 %
-3.0 %
1.7 %
Currency
-0.2 %
Fixed income
0.0 %
Equities
-2.6 %
Commodities
VALUE AT RISK % END OF MONTH
Currency 24 %
Fixed income 20 %
Equities 23 %
Commodities 33 %
PERFORMANCE AND KEY FIGURES*
Since inception
Ann. Return
Sharpe Ratio (rf = 2.5 %)
Sortino Ratio
Standard deviation last 12 months
Strategy Assets (M$)
% Winning Months
% Losing Months
Return Last 12 Months
Current Margin/Equity Ratio
Average Margin/Equity Ratio
Correlations
MSCI World Equity Index
JPMG Fixed Income Unhedged USD Index
Credit Suisse HF Index
Credit Suisse MF Index
NewEdge CTA Short Term Traders Index
26.55 %
4.66 %
0.18
0.48
9.7 %
7
52 %
48 %
2.6 %
0%
13 %
-0.15
0.19
0.01
0.28
0.23
*All figures are net of fees.
The performance and key figures presented for the Presto program are calculated on a composite basis net of fees as described on page 2 of this report. Potential investors should note that an investment in alternative investments can involve
significant risks and the value of an investment may go down as well as up. Past performance is not necessarily indicative of future results. PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN
CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING
COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES
TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.
1
ESTLANDER & PARTNERS PRESTO
Monthly report - April 2015
MONTHLY RETURNS – ESTLANDER & PARTNERS PRESTO
2015
2014
2013
2012
2011
2010
Jan
Feb
Mar
Apr
5.39 %
0.73 %
0.62 %
-1.14 %
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
YTD
2.63 %
-0.66 %
-4.33 %
-0.54 %
-0.67 %
-1.42 %
0.67 %
-5.95 %
3.39 %
1.31 %
-1.53 %
1.60 %
1.25 %
1.96 %
-6.11 %
9.72 %
-0.79 %
3.04 %
-3.96 %
-1.11 %
-2.46 %
-0.89 %
-1.49 %
-1.75 %
-3.39 %
1.86 %
0.12 %
3.77 %
-2.13 %
4.32 %
-1.66 %
8.61 %
-0.81 %
2.23 %
-1.45 %
3.52 %
0.51 %
20.01 %
-5.81 %
6.83 %
-0.01 %
7.19 %
-1.52 %
-3.38 %
6.03 %
4.40 %
0.94 %
-2.95 %
-2.28 %
0.42 %
9.20 %
1.65 %
-1.88 %
4.25 %
-1.09 %
1.80 %
0.77 %
2.03 %
-1.79 %
-5.74 %
0.77 %
0.41 %
5.61 %
-5.74 %
Figures for last month are estimates.
There is no guarantee of trading performance and past or projected performance is neither guarantee for nor necessarily an indication of future results. Monthly returns purely reflect the performance of
the Presto investment program calculated on a composite basis net of fees. Returns in different client accounts applying the Presto investment program may vary depending on e.g. investment timing,
base currency, fee differences and fee accrual periods.
STRATEGY DESCRIPTION
Presto follows a systematic, short-term trading approach in liquid futures and forward markets globally. The program consists of short-term trend
following models with an average holding period of 2 days. The decision making process is based on price data and, to a smaller extent, fundamental
inputs. The program applies a prudent risk management methodology on several layers of the investment process. Presto aims to generate high
returns that have a low correlation to CTAs and are uncorrelated with traditional investments and other hedge fund strategies. The research and
development of the first short-term models within Estlander & Partners began in 2004 and the representative Presto track record dates back to 2010.
Ongoing research seeks to maintain the profitability on a high level and adapt the program to changing circumstances.
CONTACT INFORMATION
Estlander & Partners Ltd.
Aleksanterinkatu 48A, 6th floor
Alatori 1 A
Tel. +358 (0)20 7613 300
FI-00100 Helsinki, Finland
FI-65100 Vaasa, Finland
Fax +358 (0)20 7613 329
[email protected]
The figures presented for the Presto program are on a composite basis. The Presto composite performance is hypothetical up until and including
September 2013 and as of October 2013 actual composite performance. Up until and including September 2013, the composite performance has
been calculated based on the actual returns generated by the short-term trading models employed by the Estlander & Partners Global Markets
program net of pro-forma fees, i.e. a management fee of 1.75 % p.a. and a quarterly incentive fee of 20 %, and excluding pro-forma interest rate
income on notional assets as of May 2004 in line with NFA rule 2-34. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS,
SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR
LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND
THE ACTUAL RESULTS ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS
IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE
FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL
TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES
ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO
THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN
THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. As of
October 2013, the composite performance for the Presto program has been calculated on all non-restricted client accounts managed by Estlander &
Partners Ltd according to the Presto program, taking into account the same pro-forma fee levels as mentioned above. The past performance is shown
for the entire period during which the short term trading models have been included in the investment program in question in their current form.
Further information on the methodology for calculating the composite performance are available from Estlander & Partners Ltd upon request. The
composite performance includes accounts that may include CFTC-restricted instruments which may not be available for U.S. investors. The actual
returns of client accounts applying the Presto program can deviate from the returns of the trading program depending on e.g. investment timing,
base currency, fee differences and fee accrual periods. Investments in alternative investments is speculative and involves substantial risks, including the
risk that an investor may lose some, all or amounts in excess of the assets committed. The value of an investment may go down as well as up. PAST
PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
This document has been prepared for circulation to persons reasonably believed to be within one of the exemptions contained in the Act on Mutual
Funds (48/1999, as amended and Act on Investment Services (Sijoituspalvelulaki 747/2012, as amended) in Finland (“professional investor”) or to
whom this document may otherwise lawfully be communicated to give preliminary information about the trading program described herein. In the
U.S., this document may be distributed only to “Qualified Eligible Persons” (as such term is defined in U.S. Commodity Futures Trading Commission
Reg. § 4.7). It is confidential communication to, and solely for the use of, such persons. This document is not directed to any person in any jurisdiction
where (by reason of that person’s nationality, residence or otherwise) availability of this document is prohibited. It is the responsibility of every person
receiving a copy of this document to satisfy himself as to the full observance of laws of any relevant country.
This document is not an invitation to make an investment in any product managed or advised by Estlander & Partners Ltd or to open a managed
account with Estlander & Partners Ltd, nor does it constitute an offer for sale of any such product or service. None of the services or other matters
described herein should be taken as an offer or solicitation of those services or other matters in any jurisdiction where such an offer or solicitation is
not permitted under applicable legislation. While the information contained herein has been compiled with utmost care, Estlander & Partners Ltd or
any other company in the Estlander & Partners Group make no representations or warranties of any kind, express or implied, about the completeness,
correctness, reliability, suitability or availability with respect to the document or the information, products, services, or related graphics contained in
this document for any purpose. Any views or opinions constitute our judgment as of the date indicated and are subject to change without notice.
www.estlanderpartners.com
2