TrendMax : TrendMax Global Opportunities

Summary

The Global Trend Program uses a 100% proprietary mechanical trading system to identify trends in over 50 world commodity futures markets. Through extensive testing, we have arrived at a model and portfolio set that we feel effectively balances the risks and rewards of futures trading. The model is a long-term trend following model and as such, will tend to capture price movement trends after solid establishment. All market entry and exit signals are generated by the trading system based on analysis of daily data. The Global Trend trading model is driven by the influences of "crowd psychology", or the "herd instinct" that we find present in large-scale market movements. The model has built in money management parameters to determine initial trade entry, profit protection, continual position protection using market stop orders and position sizing in the event of a larger than standard draw down.

Investment Strategy

Trend Following

Risk Management

IPS – Initial Position Sizing: One of Global Trend’s key risk management techniques is initial position sizing (IPS). Initial position sizing is a function of both past and current volatility in the market to be traded. As current volatility increases position size decreases and vice versa. Initial position sizing is also a function of current account equity. As the profits accumulate over time position sizes will gradually increase to maintain the relative risk and return profile. During periods of draw downs, position sizes are gradually reduced to prevent becoming over leveraged. Global Market Diversification: By broadly diversifying across a wide array of over 40 markets, the trading system diminishes the importance of any one position in the portfolio reducing risk even further. Testing has shown that these parameters effectively reduce initial trade risk, as well as, portfolio risk on a continuing basis. We also constantly seek to improve the system’s performance through exhaustive research and testing on both the systematic front as well as the markets traded in the Program. As new commodity markets develop and become liquid, we will seek to exploit profit opportunities in these markets as well. Fat Tail Risk: One of the core focuses of the Program is the reduction of initial start trade draw down and the limiting of “fat tail” risk. Fat Tails are loosely defined as the “black swan” events that tend to de-rail otherwise successful programs. By using standard risk measures such as VAR, we believe that many managers expose their clients to fat tails, as evidenced by the performance of seemingly steady and secure managers in the October to December period of 2008. We believe that these type of event driven risks (fat tails) are due to be more prevalent in the markets and we have specifically designed the Global Trend risk model to allow is to fairly value our open market risk.