Systeia Futures USD : Investment Program

Summary

-The team is based in Paris and is currently composed of more than 41 employees: fund managers, sales managers, risk managers, middle office and IT engineers. The two co-founders Jean-Louis Juchault and David Obert each have more than 10 years experience in alternative asset management and provide Systeia Capital Management with the benefit of one of the longest and most successful track records in Europe. Systeia Capital Management is owned by its founders, team (through stock options) and CAAM, historical sponsor of the company. The aim of the company is to offer to its qualified investors a broad range of alternative investment products managed in-house. As an alternative investment specialist Systeia Capital Management manages it funds internally and creates tailor-made products that find the right solutions to meet client needs (managed accounts, structured products, capital guaranteed, coupon distribution, leveraged products, performance swaps). Systeia Capital Management offers investment services to large institutional investors, corporations, banks and other professionals, on a long-term horizon (2-5 years). Innovative management enables maintaining investor liquidity and competitive performance while reducing beta and volatility. Systeia Capital Management has $1 Billion assets under management as of June 30th , 2006. Strategy Description: The program is based on trading models which aim at capturing trends in the financial markets around the globe. It trades on more than fifty of the most liquid listed futures contracts among Fixed Income, Equity Indices, Foreign Exchange and Commodities. The investment process is fully systematic and based on technical analysis. It assumes a general directionality of the markets on the long run, but it also reacts to the market behaviour on a shorter term. Besides the sector diversification, the model seeks trends on various time horizons ranging from short term to very long term. Our system also has the ability to use different trading modes including a contrarian approach, when market behaviour is appropriate. Front office money management is implemented through reactive stop-loss and profit taking generated by local accelerations. All trading strategies use trailing-stops that are automatically adjusted. Risk control is fully independent from fund managers and traders, the risk management team reports to the COO. Risk limits are determined by an historical VaR 1 day 99%. Stress scenarios are performed based on 6 historical scenarios inspired by the Basel Committee recommendations. Risk management procedures have been approved by the company's Board of Directors. They are also controlled on a regular basis by internal and external audit departments