Summary

Systematic trading, the following of trading rules across a broad selection of tradeable futures markets, has brought consistent success over the last 25 years. At the core of the trading style is trend following. The underlying philosophy of the investment approach is that the nature of markets, and the flow of money in those markets, leads to trends. The investment manager does not predict which markets will trend, or in which direction a trend may occur. However, historical analysis suggests that with good trend identification and sound money management techniques in place, these trends can be profitably followed over the long term by a well constructed portfolio. In normal circumstances trading model signals are 100% adhered to. However experience has led the investment managers to allow themselves some discretion, always motivated by the need to preserve investors‟ capital. This means that the investment managers will never take a risk that exceeds that signalled by the model, but may choose to reduce portfolio risk, if they believe circumstances justify such action. Ordinarily all positions are held on regulated futures exchanges. In the exceptional circumstances where risk reduction is deemed necessary the fund managers might choose to use regulated options markets, or, in the absence of liquid futures markets (such as Sep 11 2001), over –the-counter markets. Any such action would be clearly accounted for. The model follows proprietary trading rules, with signals generated at specific points during the 24-hour trading cycle. Positions in each futures contract can be long, short, or flat. The fund trades futures markets from every sector, on regulated global exchanges. Futures contracts are generally low cost and highly liquid, and minimise counterparty risk, as well as providing transparency in pricing and valuation. Those chosen for inclusion in the portfolio will have satisfied trading criteria with regard to performance and correlation, as well as met requirements with respect to liquidity and operational risk. No contract is ever taken to physical delivery.