Heritage Ltd : Var5 Fund

Summary

The principal objective is to provide growth of capital while minimizing volatility trough investment in a combination of products, while maitaining an opportunistic outlook for unique investment situations. Using a common sense businesslike approach, our core belief is that return is generated trough diversification. Var5 Fund is largely proved in live trading and in a very different market conditions. The strategy trades only a few highly liquid futures markets and aim to achieve superior returns with low volatility and correlation to other investments

Investment Strategy

The Fund Strategy works as counter-trend strategy, trading some highly liquid futures markets: Australian Dollar, Euro, Sugar #11, Crude Oil, Gold, T-Bond, Eurostoxx50, Dax, Nasdaq100 and S&P 500. The Strategy, a counter-trend type, usea in-house retracement tecnique to profit from highly liquid market volatility. Trades duration average is 4 hour and ½. O/N trades are allowed, but not frequent. Trades max duration is one (1) week. The Fund aim to produce profits on monthly basis (max on bimonthly basis when an open trades is still open and eventually in Drawdown at end of the month). A in house Risk Management platform is used for this strategy, sourced by a in house trading tecniques, looking for counter-trend profits. Var5 Fund Strategy is not fully automated but is full sourced by strictly observed Trading Systems indications. The Fund Strategy represent an investment diversification itself, as showed low correlation to any investment sector index (included CTA). The 75% of the trades are short while 25% are Long. As a counter-trend strategy, Var5 Fund Strategy produce higher number of trades through short positions trades, but anyway, due to the higher volatility recognized in downtrends, profitability of long trades is highly efficient; this peculiarity allows to preserve Var5 Fund uncorrelation and profitability, even during deep downtrends.

Risk Management

Var5 Fund was created primarly for Risk Control. The term VaR (Value at Risk) underline that the key factor of this fund is a Max Drawdown of 5% and an expected yield of 25%. Margin to Equity is within the range 10% to 15% while the Max Margin to Equity is 35% with a peak to 50%. The Fund put itself as a high level risk management environment and a risk control solution to provide superior returns with a low portfolio volatility. The risk management is ensured also by control of max margin to equity and drawdown levels, reaching the maximum allowed margin to equity level, a cross control with the actual drawdown help in size re-balance and a partial or total open positions closure is activated. A maximum of traded contracts is set up, with a very maximum number of futures lots of 25 is reachable for 250K invested. This is a limit number of open positions that anyway have to comply with the above mentioned margin to equity policy of the Fund. The average of open contracts traded by Var5 Fund Strategy usually is widely lower than 10 lots for each 250K. Closing all the open positions and Stop trading if 5% Drawdown should be reached