Fitrol Investment Management : Investment Program

Summary

-Methodology Development of the Strategy From 1997 to 2001, a period of extensive research was undertaken and by the end of 2001, the Fitrol Trading System (the â??Trading Modelâ??) currently being used was implemented (although the Trading Model continues to evolve as a result of on-going research). The Trading Model uses mathematical and statistical forecasting techniques. The Strategy - Fully-computerized Investment Decision - Unique Investment Strategy Applications - Based on Mathematical & Statistical Models - Successful track-record We have developed and successfully implemented the Fitrol Managed Futures Program: consistent asset management through systematic trading in derivative products (Equity indices' futures) based on the Trading Model. Concept The investment strategy consists of the active management (long/short) of trading positions in a diversified portfolio of the worldâ??s equity indices. Investment is based on proprietary computer trading technology and advanced risk management models. Objective To achieve consistent performance with minimal draw-down and to control market risk by systematically adjusting trading positions by applying sophisticated risk management techniques. Trading Methods The trading system seeks to identify and take advantage of directional trends in various international stock index markets. As determined by the proprietary trading model, a fixed percentage of assets are placed on each trade. Risk is defined at the inception of each trade and â??stopsâ?? are implemented at trade initiation. However, the system is dynamic in nature - adjusting risk, and subsequent â??stopâ?? levels in response to market developments. While technical in nature, trader discretion is exercised if multiple signals are generated intraday. This discretionary override is designed to mitigate the whipsaw effect exhibited during volatile market conditions. Volatility is managed by defined parameters. Essential to the trading system is an integrated sensitivity to shifts in market direction. The system contains a reversal component whereby a trade may be stopped in one direction and a new trade initiated in the other direction. This distinctive element of the trading system may result in long and short positions in a particular index on the same day. The system may be neutral, as positions are taken only on signals. One of the most significant features of the system, however, addresses profit preservation. Initial profit objectives are defined at each tradeâ??s initiation. Once the primary profit objective has been reached, part of the position is liquidated and proceeds are preserved. Because the trading system utilized is proprietary, the description given here is not meant to be exhaustive.