the imfc managed futures fund - iam group managed futures fund.pdf · the imfc managed futures fund...
TRANSCRIPT
1
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
The IMFC Managed Futures Fund
February, 2008
THIS DOCUMENT CONTAINS INFORMATION ABOUT INTEGRATED MANAGED FUTURES CORP. (“IMFC”) AND ITS KEY PERSONNEL, A GENERAL DESCRIPTION OF IMFC’S TRADING PROGRAMS AND MODELS AND A PERFORMANCE HISTORY OF THESE PROGRAMS. THIS DOCUMENT IS NOT AN OFFER OR SOLICITATION TO INVEST IN IMFC'S TRADING PROGRAMS. SUCH A SOLICITATION CAN ONLY BE MADE ONCE A PROSPECTIVE CLIENT HAS BEEN PROVIDED A DISCLOSURE DOCUMENT. PLEASE CONTACT IMFC FOR FURTHER INFORMATION ABOUT ITS PROGRAM OR TO RECEIVE A COPY OF IMFC’S DISCLOSURE DOCUMENT. EACH CLIENT MUST ACKNOWLEDGE RECEIVING IMFC’S DISCLOSURE DOCUMENT 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 PROGRAMS WILL HAVE SIMILAR RESULTS IN THE FUTURE SINCE PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
2
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Important Information
Past Performance is not indicative of future results
This communication is not and under no circumstances is to be construed as an invitation to make an investment in IMFC Managed Futures Fund nor does it constitute a public offering to sell the fund. Applications for IMFC Managed Futures Fund will only be considered on the terms set out in the Offering Memorandum. Terms defined in the Offering Memorandum shall have the same meaning in this material. Potential investors should note that alternative investments can involve significant risks and the value of the investment may go down as well as up. There is no guarantee of trading performance and past performance is not indicative of future results. Investors should review the Offering Memorandum in its entirety for a complete description of IMFC Managed Futures Fund and consult their investment advisors before making an investment. The information contained in this material is subject to change without notice and IMFC will not be held liable for any inaccuracies or misprints.
Risks of InvestingThere are risks associated with an investment in the Fund, as a result of, among other considerations, the proposed nature and operations of the Fund. An investment in units should only be made after consultation with independent qualified sources of investment and tax advice. An investment in the fund is speculative and involves a high degree of risk and is not intended as a complete investment program. It should be borne in mind that risks 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 Fund will be lost entirely or in part. Only investors who do not require immediate liquidity of their investment and who can reasonably afford a substantial impairment or loss of their entire investment should consider the purchase of units. Capitalized terms not defined in this document are defined as set forth in the Offering Memorandum.
3
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
About Integrated Asset Management Corp.
Integrated Managed Futures Corp. is the managed futures division of Integrated Asset Management Corp. of Toronto
About Integrated Asset Management Corp.
Founded in 1998
More than $3.0 billion in assets and committed capital under management
Over 280 employees
Publicly listed, majority owned by employees
Focused exclusively on alternative asset classes
Asset classes presently include private equity, private debt, hedge funds, real estate and managed futures
Broad knowledge in managed futures
4
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Integrated Managed Futures
CTA founded May, 1996
Commenced trading November, 1996
Integrated Managed Futures Corp (IMFC) founded March, 2003
Management own 35%, IAM owns 65%
Registered as Commodity Trading Advisor (CTA) and Commodity Pool Operator (CPO) with CFTC
Registered as Commodity Trading Manager (CTM) and Limited Market Dealer (LMD) with Ontario Securities Commission
Member of National Futures Association (NFA)
Member of Managed Funds Association (MFA)
5
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Key Personnel
Roland P. Austrup, B.A.(Honours), (University of Western Ontario), President, CEO & Director
David G. Mather, B.A. (Honours), M.A., (University of Waterloo), Vice President & Director, Executive Vice President & Director, Integrated Asset Management Corp.
Adam Kolkiewicz, M.Math. (Technical University of Wroclaw), Ph.D., (University of Waterloo), Quantitative Research Associate. Associate Professor, Dept. of Statistics & Actuarial Science, University of Waterloo
Robert Koloshuk, B.A., (University of Guelph), Senior Strategist & Director of Trading
James Rider, B.A.,(University of Toronto), M.A., (Sussex University), Portfolio Manager
Stephen Johnson, B. Sc. (Econ), (Southampton University), C.A., (Scotland), C.A., C.B.V., Chairman, CFO & Director, Integrated Asset Management, Senior Vice President, Integrated Partners
Michael Staresinic, B. Math., (University of Waterloo), C.A., CFA, CAIA, Controller
6
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Managed Futures - Comparative Return Analysis01/1990-12/2007
ITR P40 ManagedFutures Index
S&P 500 Total Return Index
Ann. Return 9.84% 10.54%
Ann. Volatility 12.34% 13.74%
Ann. Downside Volatility( below 0% ) 10.08% 14.75%
Sharpe Ratio (RF=5%) 0.39 0.40
Sortino Ratio (RF = 0%) 0.98 0.71
Largest Drawdown - 15.00% - 44.73%
Skewness 0.46 -0.46
7
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Correlation Analysis
Correlation of managed futures to equities, bonds and hedge fundstyles (January 1990 to December 2007)
EquityHedge
EventDriven
GlobalMacro
RelativeValue
LehmanAggregateBond Index
S&P 500TotalReturn Index
ManagedFutures
Equity Hedge 1 0.78 0.6 0.55 0.06 0.66 -0.01
Event Driven 1 0.56 0.65 0.05 0.64 -0.1
Global Macro 1 0.41 0.33 0.38 0.37
Relative Value 1 0.05 0.36 -0.13
Lehman AggregateBond Index 1 0.13 0.24
S&P 500 TotalReturn Index 1 -0.12
ManagedFutures 1
8
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Impact of Adding Managed Futures to Equities
S&P 500 TotalReturn Index
80% S&P 500 TR20% ITR P40 Change
Ann. Return 10.54% 10.60% 0.06%
Ann. Volatility 13.74% 10.85% -2.89%Ann. Downside Volatility ( below 0 % ( 14.75% 10.76% -3.99%
Sharpe Ratio (RF =5%) 0.40 0.52 0.11
Sortino Ratio (RF = 0%) 0.71 0.98 0.27
Largest Drawdown -44.73% -32.00% 12.73%
Skewness -0.46 -0.17 0.29
9
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Correlation at Higher MomentsManaged Futures become negatively correlated to equities when equities underperform
10
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Performance Under StressManaged Futures add significant value during times of real equity market stress
-15.00%
-10.00%
-5.00%
0.00%
5.00%
10.00%
Aug/98
- LT
CM
Sep/02
- Eq
uity M
arke
t Coll
apse
Feb/01
- US
Econ
omic
Slow
down
Aug/90
- US
Reces
sion
Sep/01
- 9/11
Nov/00 - P
resid
entia
l Elec
tion
Jul/0
2 - W
orldC
omJu
n/02
- W
orldC
om
Jan/90
- US
Econ
omic
Slow
down
Mar
/01 - U
S Ec
onom
ic Sl
owdo
wnAu
g/01
- US
Reces
ion
S&P500 TR IndexITR P40 Managed Futures Index
11
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
IMFC Managed Futures Fund
Multi-strategy fund
Combines two uncorrelated trading programs
90 % IMFC Global Investment Program
10 % IMFC FxVol Program
12
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Highlights IMFC Global Investment ProgramVery long term systematic trading strategy
Average duration of profitable trades typically greater than 1 year
Returns come from capturing persistent risk premiums prices into various asset classes• Physical commodities• Currencies• Equity and fixed income markets
Heavy emphasis on Risk Management• Portfolio risk budget based on Value-at-Risk and volatility targets• Constant Risk Allocation avoids concentration in any given market or sector• Profit taking algorithms• Risk management based on work with the Math Faculty of the University of Waterloo
50% Financial Futures, 50% Physical Commodity Futures
Metals, Energies, Agricultural and Soft Commodities, Currencies, Bonds, Equity IndicesShort-term interest rates
13
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Markets Traded IMFC Global ProgramFinancial Commodities
Euro EurodollarSwiss Franc Canadian Bankers’ Acceptance ( BAX )British Pound 3 mth Sterling Rate ( Short Sterling )Japanese Yen 3 mth EuriborCanadian DollarAustralian Dollar E-mini S&P 500
Nasdaq 100Euro / Yen Hang Seng IndexEuro / Swiss DAX IndexPound / Euro S&P Canada 60 Index
Australia SPI 200 IndexUS 5 yr NoteUS 10 yr NoteUS 30 yr BondCanadian 10 yr ( CGB )Japanese 10 yr ( JGB )Euro German BundEuro German BoblLong GiltAustralian 10 yr Bond
14
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Markets Traded IMFC Global Program
Physical Commodities
Light Crude Oil CornBrent Crude Oil Chicago WheatReformulated Blendstock Gasoline SoybeansGas Oil Soybean Meal# 2 Heating Oil Soybean OilNatural Gas CanolaDeferred Natural Gas
Live CattleHigh Grade Copper Lean HogsAluminumNickel Arabica CoffeeZinc Robusta CoffeeGold # 5 SugarPalladium # 11 SugarPlatinum CocoaSilver Cotton
TCE RubberMalaysian Palm Oil
15
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Actual Performance IMFC GlobalActual Performance Capsule I ($US.)
For IMFC Monthly Rate of Return of The IMFC Global Investment Program
Percentage rate of return (computed on a compounded monthly basis in accordance with the “Time-Weighted” method)
Month
2007
2008
January 4.57% February - 6.55% March - 3.03% April 9.05% May 5.56% June 4.44% July -7.01% August -3.72%
September 11.52% October 7.13% November -1.25% December 2.27% YTD Rate of Return
17.69% 4.57%
IMFC has been executing managed futures trading programs since 1996. The core program offered today, the IMFC Global Investment Program, has evolved from the original program offered in 1996, the IMFC Diversified Program.. Performance information on the IMFC Diversified Program is available upon request.
16
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Targets substantial medium term growth of capital with absolute risk adjusted returns with a moderate level of volatility.
Invests in a diversified portfolio of long and covered short Over the Counter (“OTC”) Foreign Exchange (“FX”) options contracts. The Fund’s strategy targets absolute risk adjusted returns that are independent of traditional stock and bond markets investments and directional currency funds.
By using methods that allow for profits to be made whether currencies or volatilities are rising, falling or stable, and by monitoring exchange rate movements on a global 24 hour basis, the Program can capitalize on investment opportunities that are not available to traditional investment programs.
All investments must conform to the Program’s limited loss philosophy and adhere to strict capital allocation limits.
Highlights FxVol Program
17
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
The Program employs six separate and distinct trading Strategies* as follows:
1) Gamma Scalp
2) Short Date Strangles
3) Short Date “Double-No-Touch-Options or “DNTs”
4) Mean Reversion (Value)
5) Mean Revision (Momentum)
6) Volatility Arbitrage
The first 5 strategies are initiated based on systematicprocesses and the last strategy, volatility arbitrage isdiscretionary and intended to mitigate overall portfolio risks.
FxVol Investment Strategies
18
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Actual Performance FxVol
Actual Performance Capsule I ($US.) For IMFC FxVol
Monthly Rate of Return of The IMFC FxVol Program Percentage rate of return
(computed on a compounded monthly basis in accordance with the “Time-Weighted” method)
Month
2008
January 0.14 % February March April May June July August
September October November December YTD Rate of Return 0.14%
19
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Summary
Institutional quality infrastructure
Extensive research capability
Highly disciplined programs with extensive risk controls
Combination of uncorrelated strategies
Ideal diversifier for hedge portfolios or traditional portfolios
Expect significant upside when equity markets under pressure
20
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
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 Managed Funds Association. Mr. Austrup is also a member of the advisory board of the Centre for Advanced Studies in Finance (CASF) at the University of Waterloo. CASF provides the focus for research and education in the finance discipline at the University, co-ordinates and supports the Collaborative Master's Program in Finance, and stimulates and promotes research in finance. Previously, Mr. Austrup was President, CEO and a co-founder of Aero Capital Corporation (a formerly registered commodity trading advisor and Member of NFA) and, prior to that, 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 & DirectorExecutive Vice President, Integrated Asset Management Corp. since 2001. Director since 2004. Vice-President, Director and Principal, Integrated Managed Futures Corp. since 2003. Mr. Mather is an associate member of the National Futures Association and is a member of the Managed Funds Association. 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 Chair, Board of Governors, Royal St George's 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, Vice 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.
21
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Professional Staff
Stephen C. Johnson, CA (Scotland), CA, C.B.V.Principal and DirectorMr. 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 AssociateDr. Kolkiewicz is an Associate 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, Canada's premier Master's 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. Kolkiewicz's 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.
22
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
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 the Department of Statistics and Actuarial Sciences at the University of Waterloo for the past five years. Mr. Koloshuk is a skilled computer programmer and a trade execution and account management supervisor. Mr. Koloshuk has a B.A. (Honours Philosophy) from the University of Guelph, where he specialized in Machine Functionalism.
James Rider, B.A., M.A.Portfolio ManagerFounder, President and CEO of FxVolResearch Ltd. FxVolResearch Ltd and Mr. Rider have been exclusively retained by IMFC to manage the IMFC FxVol Program. 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.
23
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Professional Staff
Michael Staresinic, B. Math., CA, CFA, CAIACorporate ControllerMr. Staresinic is also the Corporate Controller for Integrated Asset Management Corp., BluMont Capital and Integrated Partners. Responsible for all corporate accounting, reporting and treasury functions of IAM. Mr. Staresinic sits on various committees of the Corporation. Prior experience in public accounting serving institutional investors since 1992. B. Math. (Honours), University of Waterloo. Chartered Accountant, Chartered Financial Analyst, Chartered Alternative Investment Analyst.
24
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
IMFC Contact Information
Integrated Managed Futures Corp. 70 University Avenue, Suite 1200Toronto, Ontario M5J 2M4Canada
Contact: David G. MatherVice President & DirectorTel: + 1 416 933 8274Fax: + 1 416 360 7446Email: [email protected]: www.imfc.ca
www.iamgroup.ca