Genesis Research & Asset Management : Genesis Multi Manager Futures Fund - Series A

Summary

The Genesis Multi Manager Futures Fund is an actively managed multi-strategy approach designed to generate absolute return and control downside volatility. We believe, an actively managed, optimized, diversified fund of low correlated Commodity Trading Advisors will enhance portfolio performance and can provide a portfolio a low volatility, non-correlated (to stock, bonds and hedge funds) source of liquid alpha and absolute return.

Investment Strategy

The Genesis Multi Manager Futures Fund is an actively managed multi-strategy approach designed to generate absolute return and control downside volatility. Core Principals:
1.To manage a low volatility portfolio (with high sortino ratio) with a target return of 8-12% annually.
2.Build a portfolio that is non-correlated to traditional asset classes.
3.Build a portfolio of low correlated CTA's.
4.Hands on interday active management/ risk control of the portfolio.
5.Run the portfolio like a proprietary trading company.

Strategy: The investment strategy drives continuous portfolio improvement. All decisions for CTA selection are made by the portfolio management team (Tim Holmes and Jim Donahue).
1.The process begins with both quantitative and qualitative analysis of over 1800 CTAs which results in a diversified and non-correlated portfolio of 10-15 CTAs. Diversification is by markets or sectors, trading methodologies and strategies.
2. Style: Absolute Return with robust daily risk management on a micro and macro level.
3.Performance metrics are evaluated including sharpe ratio, sortino ratio, correlation to benchmarks, correlation to other CTA's, monthly alpha, monthly returns, monthly drawdown's, and standard deviation.
4. Trading metrics and methodology further break down CTA's trading style into time parameters, decision making inputs, trading approach and methodology.
5. Quantitative factors is the final part of the due diligence for each CTA which includes face to face due diligence meetings, in depth review of trading system and processes with an objective evaluation of each CTA's adaptability to changing market environments, strengths and weaknesses, risk controls, downside risk tolerance and logic test. Does the information make intuitive sense?
6. Portfolio Construction and Allocation: The portfolio management team actively allocates portfolio exposure to individual CTA's by market, sector, strategy and trading style. Execution of our active management style and portfolio modification is significantly enhanced by the expertise and experience of our investment professionals.
7. Multi Layered Risk Management: Genesis employed multi levels of risk monitoring and oversight with planned redundancy to manage portfolio risk and protect against volatility and loss on a daily basis. Risks covered include: macro risks, strategy risks, middle function risks, micro risks and daily risks.

There are a number of ways the portfolio management team distinguishes themselves from others in the market place:
1.The portfolio management team's style of management is grounded in the "trader mentality."
2.That "trader mentality" is embedded into everything that they do regarding CTA selection and risk control of the portfolio.
3.Implementation of that "trader mentality" is facilitated by daily risk management and complete transparency at position level of the entire portfolio.
4.Individual CTA risk is managed on a daily basis by our portfolio management team with "eyes on the screen" tracking every trade in the portfolio.
5.Aggregate portfolio risk is managed daily by the portfolio management team through an overlay on the portfolio.
6.Reallocation between CTAs in the portfolio is a dynamic process that focuses both on the individual CTA as well as aggregate risk reduction of the entire portfolio.
7.Risk management is both quantitative and most importantly qualitative based upon the judgment and experience of our portfolio management team. Our active management approach is designed to smooth the performance of the portfolio and control downside risk.

GenRAM is a highly specialized boutique firm whose portfolio management team has over twenty years of experience and understands the risk of managed futures and options. Their experience which includes risk managing multiple trading strategies. They have insights that can only be achieved through hands on active trading and risk management in this space.

Risk Management

GenesisRAM employs multi levels of risk monitoring and oversight with planned redundancy to manage portfolio risk and protect against volatility and loss on a interday basis. Risks covered include: macro risks, strategy risks, middle function risks, micro risks and daily risks. As a portfolio manager, the firm's risk management approach is focused on individual CTAs and specific trade risk as needed and overal portfolio risk. The portfolio manager controls the risk by managing the CTAs in terms of allocation, leverage and non-correlation. We watch the trades and performance of the individual CTA's to ensure that they follow their investment strategies. We also monitor the portfolio to determine if the aggregate exposure of the portfolio to any given commodity such as S&P 500 or crude oil futures is beyond the aggregate portfolio risk limit. If it is, the investment management team can establish an off-setting trade to bring the portfolio risk back to within acceptable guidelines. The investment team also has the ability to liquidate any manager's position and remove that CTA from the portfolio at any given time without notice. The risk management process is executed by experienced investment professionals with a combination of over 50 years of successful risk management as floor traders and risk managing multiple trader portfolios.