imfc alpha pres mar 2011
DESCRIPTION
IMFC AlphaTRANSCRIPT
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
The IMFC Global Investment Program
Sustainable Alpha in Managed Futures
March, 2011
THIS DOCUMENT CONTAINS INFORMATION ABOUT INTEGRATED MANAGED FUTURES CORP. (“IMFC”) AND ITS KEY PERSONNEL, A
GENERAL DESCRIPTION OF IMFC’S TRADING PROGRAM AND MODEL AND A PERFORMANCE HISTORY OF THIS PROGRAM AND MODEL.
THIS DOCUMENT IS NOT AN OFFER OR SOLICITATION TO INVEST IN IMFC'S TRADING PROGRAM. SUCH A SOLICITATION CAN ONLY BE
MADE ONCE A PROSPECTIVE CLIENT HAS BEEN PROVIDED A DISCLOSURE DOCUMENT (FOR U.S. RESIDENT INVESTORS) OR OFFERING
DOCUMENTS ( FOR CANADA-RESIDENT INVESTORS). PLEASE CONTACT IMFC FOR FURTHER INFORMATION ABOUT ITS PROGRAM OR TO
RECEIVE A COPY OF IMFC’S DISCLOSURE DOCUMENT OR OFFERING DOCUMENTS. EACH CLIENT MUST ACKNOWLEDGE RECEIVING
IMFC’S DISCLOSURE DOCUMENT OR OFFERING DOCUMENTS 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 PROGRAM WILL HAVE SIMILAR RESULTS IN THE FUTURE SINCE PAST PERFORMANCE IS
NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
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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
the IMFC Global Investment Program nor does it constitute a public offering to sell the program. Applications for
IMFC Global Investment Program will only be considered on the terms set out in the Disclosure Document (for U.S.
resident investors ) or Offering Documents (for Canada-resident investors). Terms defined in the Disclosure Document
and Offering Documents 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
Disclosure Document and Offering Documents in their entirety for a complete description of IMFC Global Investment
Program. An investment should only be made after consultation with independent qualified sources of investment and
tax advice. 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 Investing
There are risks associated with an investment in the Program, as a result of, among other considerations, the
proposed nature and operations of the Program. An investment in the Program should only be made after consultation
with independent qualified sources of investment and tax advice. An investment in the Program 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 Program 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 investment in the Program. Capitalized terms not defined in this document are defined as
set forth in the Disclosure Documents and Offering Documents.
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Hypothetical Performance Disclaimer
THE RESULTS IN THIS PRESENTATION CONTAIN BOTH ACTUAL AND HYPOTHETICAL RESULTS.
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
SUBSEQUENTLY 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.
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
IMFC Global Investment Program vs. naïve trend-following model
In this analysis we start with a simple naïve trend-following model and examine
returns – both actual and hypothetical – from Jan. 1990 to April 2010.
We will then show how the gradual addition of various proprietary IMFC systems
and algorithms greatly improves this model. These consist of:
1. IMFC trend-based algorithms
2. Additional Proprietary IMFC Algorithms
• Short rate strategy
• Value-based long equity index strategy
• Long “positive roll yield” strategy
3. Proprietary IMFC Risk Management Algorithms
Sustainable Alpha in Managed Futures
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Correlation: Model and Actual
Model has 0.97 historical correlation to actual IMFC Global returns
Monthly performance, net of fees and expenses
Please refer to the Hypothetical Performance Disclaimer on p.3
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Beta Model (Pro-Forma)
“Beta” managed futures program is a pure naïve trend-following model
Signals are the trend-following indicators utilized to calculate stops in the IMFC Global Investment Program
Risk-balanced positions based on simple 1-Yr historical volatility
Summary Statistics (net of fees and expenses)
ROR 15.45%
StDev 16.05%
Downside Dev 13.02%
Sortino 1.19
Max Drawdown -21.91%
Please refer to the Hypothetical Performance Disclaimer on p.3
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Beta Model VAMI (Jan 1990-April 2010) (Pro-Forma)
Daily gross returns
Please refer to the Hypothetical Performance Disclaimer on p.3
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
IMFC Trend Following Signals
Step 1: Replace trend following signals in Beta model with IMFC trend-based algorithms
Use mathematical smoothing and sampling techniques
Quantify risk premia
Probability-weighted price forecast (vol. and direction)
Calculate implied ROR
Determine likely return source (spot, roll yield, both)
Determine type of position (outright, spread)
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
IMFC Trend Following Signals (Pro-Forma)
Summary Statistics (net of fees and expenses)
Beta IMFC TF Signals
ROR 15.45% 18.38%
Std. Dev 16.05% 15.57%
Downside Dev 13.02% 13.59%
Sortino 1.19 1.35
Max Drawdown -21.91% -19.40%
Please refer to the Hypothetical Performance Disclaimer on p.3
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
VAMI: IMFC Trend Following Signals (Pro-Forma)
(Jan 1990-April 2010)Daily gross returns
Please refer to the Hypothetical Performance Disclaimer on p.3
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Other IMFC Trading Algorithms
Step 2: Add Additional Proprietary IMFC Algorithms
1. Short rate strategy
Quickly long flight to quality
Spread opportunities when yields are low but curve is steep
Avoids rising rate environments
2. Value-based long equity index strategy
3. Long “positive roll yield” strategy
Physical commodity futures basket
Systematic re-balancing
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
IMFC All Trading Strategies (“All Signals”) (Pro-Forma)
Summary Statistics (net of fees and expenses)
Beta IMFC TF Signals IMFC All Signals
ROR 15.45% 18.38% 22.69%
Std. Dev 16.05% 15.57% 16.50%
Downside Dev 13.02% 13.59% 13.21%
Sortino 1.19 1.35 1.72
Max Drawdown -21.91% -19.40% -17.05%
Please refer to the Hypothetical Performance Disclaimer on p.3
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
VAMI: IMFC All Signals (Jan 1990-April 2010) (Pro-Forma)
Daily gross returns
Please refer to the Hypothetical Performance Disclaimer on p.3
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
IMFC Risk Management
Step 3: Add Proprietary IMFC Risk Management Algorithms
Risk balancing based on forecast of potential volatility, not average historical volatility
Quantitative techniques reduce market exposure
Identify factors associated with transition points and periods of potential future underperformance
New and important information; sentiment shifts
Market irrationality
Volatility shifts
Volatility and non-parametric Value-a-Risk (VaR) overlays
Option-based risk management strategies
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
IMFC Global Investment Program (Pro-Forma)
Summary Statistics (net of fees and expenses)
Beta
IMFC TF
Signals
IMFC All
Signals
IMFC Global
Investment
Program
ROR 15.45% 18.38% 22.69% 25.29%
Std. Dev 16.05% 15.57% 16.50% 15.40%
Downside Dev 13.02% 13.59% 13.21% 11.36%
Sortino 1.19 1.35 1.72 2.23
Max
Drawdown -21.91% -19.40% -17.05% -17.22%
Please refer to the Hypothetical Performance Disclaimer on p.3
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
VAMI: IMFC Global Investment Program (Pro-Forma)
Daily gross returns
Please refer to the Hypothetical Performance Disclaimer on p.3
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Return Distributions (Pro-Forma)
Please refer to the Hypothetical Performance Disclaimer on p.3
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Actual Performance IMFC Global Investment Program
January 0.00% 4.59% -0.88% -3.36% -0.21%
February -6.55% 18.84% -0.47% 2.31% 3.88%
March -3.03% -1.19% -3.63% 3.52%
April 9.05% -2.77% -1.84% 0.56%
May 5.56% 1.07% -2.95% -3.44%
June 4.44% 4.26% 0.27% -0.62%
July -7.01% -6.98% -0.04% -3.88%
August -3.72% -3.39% 4.39% 9.37%
September 11.52% 4.26% 3.31% 1.80%
October 7.13% 19.65% -4.28% 5.63%
November -1.25% 2.26% 8.77% -1.86%
December 2.27% 2.23% -3.99% 3.07%
YTD Rate of Return 17.69% 47.47% -2.14% 12.94% 3.66%
Month 2010 2011
(computed on a compounded monthly basis in accordance with the “Time-Weighted” method)
percentage rate of return
Actual Performance Capsule ( US $ )
For IMFC Global
Monthly Rate of Return for the IMFC Global Program
2007 2008 2009
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Conclusions
There are demonstrable sources of Alpha in the IMFC Global Investment Program
Enhanced core trading algorithms isolate and evaluate factors responsible for serial correlation in markets and trend-following performance
Diversifying algorithms capture other unrelated sources of market return
Substantial risk management processes and algorithms
Initial risk budgets based on dynamic volatility and correlation arrays
Risk overlays identify factors associated with potential future under-performance
Vol/VaR overlays
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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
MFA. He is also a director of the Master of Quantitative Finance program at the University of Waterloo. 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 & Director
Executive Vice President, Integrated Asset Management Corp. since 2001. Director since 2004. Vice-President,
Director and Principal, Integrated Managed Futures Corp. since 2003. Registered with the CFTC as an Associated
Person since March, 2010. Associate member of the National Futures Association. Member of the MFA, Director,
River Plate House Capital Management Inc. 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
Past 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, 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.
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Professional Staff
Stephen C. Johnson, B.Sc., CA (Scotland), CA, C.B.V.
Principal and Director
Mr. 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 Associate
Dr. Kolkiewicz is a 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.
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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 Professor Kolkiewiez at the University of Waterloo for the past five years. Mr. Koloshuk is also a computer programmer and a trade execution and account management supervisor. Mr. Koloshuk holds a B.A. (Honours Philosophy) from the University of Guelph, where he specialized in Machine Functionalism.
James Rider, B.A., M.A.
Research Advisor
Founder, President and CEO of FxVolResearch Ltd. Mr. Rider is a Research Advisor to IMFC. He has been registered with the CFTC as a CTA, Associated person and Principal of FxVolResearch Ltd. Since November, 2010. 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.
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Professional Staff
Bryan Chuah, B.Sc.
Director of Quantitative Research
Bryan joined IMFC in June, 2009. Prior to joining IMFC, Mr. Chuah was a proprietary equity trader with Vibe
Equities in Edmonton. Bryan is in the final stage of a Masters in Quantitative Finance degree at the University of
Waterloo, and has a Bachelor of Science (actuarial science) degree from the University of Alberta . He has been
registered with the CFTC as an Associated Person since October 2009, and is an associate member of the
National Futures Association. B.Sc., University of Alberta
John Lukovich, B.A.Sc.
Trader and Research Analyst
John joined IMFC in May, 2009. He has been registered with the CFTC as an Associated Person since October
2009, and is an associate member of the National Futures Association. John was an FPGA/ASIC verification
engineer at Nortel prior to joining IMFC. John is also working towards a Master of Engineering at the Centre for
Management of Technology and Entrepreneurship at the University of Toronto. B.A.Sc., University of Toronto.
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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
IMFC Contact Information
Integrated Managed Futures Corp.
70 University Avenue, Suite 1200
Toronto, Ontario M5J 2M4
Canada
Contact: David Mather
Vice President
Tel: + 1 416 933 8274
Fax: + 1 416 360 7446
Email: [email protected]
Website: www.imfc.ca
www.iamgroup.ca