Lafayette Trading, LLC : Eur/Asia Equity Index Program

Summary

Lafayette Trading, LLC ("Lafayette") employs a short-term, systematic model to generate trade signals on equity index future contracts. The technology has been employed on U.S. markets since Nov-01 and beginning in Sep-09 the technology was applied to a basket of European and Asian equity indices. The technology is comprised of nine different alpha generating algorithms. The algorithms work in tandem to generate the trade direction and risk allocation.Results Sep 2009 – present is the net performance (2/20) for proprietary accounts managed by Lafayette Trading, LLC.

Investment Strategy

The technology currently trades the DJ Euro Stoxx, DAX, Hang Seng, and Nikkei 225 (SIMEX) index equity futures contracts for accounts greater than $1MM. For accounts between $500K and $1MM the DAX contract is removed from the portfolio. All trades are short-term, with new trade signals generated on a daily basis. Historically, the technology is in cash approximately 50% of the time and the maximum leverage employed on any single position is 2:1. Historically, for those times when a signal is generated to take market risk, approximately 65% of the positions are long and 35% are short.

Risk Management

Based on new market data every trade is evaluated on a daily basis and therefore has a time-stop of approximately 24 hours. In addition, the algorithms work in tandem so that the size of the position is dictated by several factors: the number of algorithms that are triggered, which algorithms trigger, and the market environment in which the algorithms are triggering.