Lifts lithe index futures trend following strategy
This presentation is the property of its rightful owner.
Sponsored Links
1 / 15

LIFTS Lithe Index Futures Trend-following Strategy PowerPoint PPT Presentation


  • 61 Views
  • Uploaded on
  • Presentation posted in: General

LIFTS Lithe Index Futures Trend-following Strategy. Are you grappling with the following issues?. Levels to enter / re-enter the market What to buy Equity markets plagued by corporate governance issues

Download Presentation

LIFTS Lithe Index Futures Trend-following Strategy

An Image/Link below is provided (as is) to download presentation

Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author.While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server.


- - - - - - - - - - - - - - - - - - - - - - - - - - E N D - - - - - - - - - - - - - - - - - - - - - - - - - -

Presentation Transcript


Lifts lithe index futures trend following strategy

LIFTSLithe Index Futures Trend-following Strategy


Are you grappling with the following issues

Are you grappling with the following issues?

  • Levels to enter / re-enter the market

  • What to buy

    • Equity markets plagued by corporate governance issues

    • Significant value destruction in many sectors eg. Real estate, infrastructure, capital goods

  • Time to oversee your portfolio actively

  • No plan if trade goes wrong / adhering to a plan

  • Erratic portfolio performance particularly since Jan. 2008


The lifts strategy intends to

The LIFTS strategy intends to…

  • Provide absolute, real returns annually

    • The strategy relies on price behaviour (trend following ; a subset of technical

      analysis) and not on fundamental research and analysis

    • The strategy does not attempt to predict the market

  • Diversify your existing equity/debt portfolio

    • The returns from this strategy are totally un-correlated to the market/underlying

    • It diversifies your asset base from being “long only” as LIFTS is a long/short

      strategy

  • Provide protection to your overall portfolio in periods of stress


Managed futures

Managed Futures

  • Managed Futures are a rapidly growing, globally recognized alternative investment class.

  • These programs are typically based on mechanical sets of entry and exit rules for trading any number of asset classes eg. equities/ commodities etc.The extent of risk and exposure per trade is controlled through “position sizing”. The client trades in their own brokerage account based on the advisors’ strategy.

  • Managed Futures asset allocation/diversification is now recommended as an integral part of any diversified, global portfolio. Typically, 10% - 20% allocation to this asset class is recommended as per best global practices.*

* See Appendix

Growth of Global Managed Futures Assets as of CYQ32008

Global Managed Futures Assets as of CYQ32008


Lifts lithe index futures trend following strategy

The number of winning trades versus the number of losing trades. Contrary to common perception, a large number of successful global traders average only around 45-60% winning trades. The LIFTS strategy has been averaging around 52%

The average amount gained per winning trade vs given back per losing trade. A successful strategy must generate a significantly larger average gain per winning trade than the amount given back on a losing trade. Typically, this ratio is considered good above 1.5-2X. The LIFTS strategy has been averaging around 3.X

Risk management techniques such as position sizing are explained in the Appendix

Tenets of successful trading systems


Lifts

LIFTS

LIFTS, our proprietary strategy, is a non-discretionary trading system which aims to generate absolute returns regardless of the market direction

The LIFTS strategy generates trades based on strict trend following rules.

The LIFTS strategy has been traded with capital since Oct 2011 and the strategy trades the Nifty and Bank Nifty futures on the NSE.

The LIFTS strategy recommends deploying every unit of capital in the ratio of 50:50 in Nifty futures (NF) and Bank Nifty futures (BNF) respectively.

The strategy generates both long and short trades and capital is invested at all times. The strategy generates on average 25 to 40 trades a month.


Lifts strategy features

LIFTS –Strategy Features

Clients trade in their own NSE brokerage accounts.

Clients are free to stop/ exit the strategy at their own discretion

All gains accrue in clients own brokerage account

Live strategy performance is auto-updated at www.rohiniglobal.com.

Advisor fees based solely on performance; payable quarterly

Strategy advised by investment professionals with more than 30 years of combined market and trading experience.


Lifts risks

LIFTS - Risks

  • Risk is integral to trading in futures markets. There is always the risk of loss of capital. Superior returns are a function of this risk.

  • Risk however, is controllable and manageable in most situations. For instance, the maximum intra-quarterdraw down on capital experienced from any profit point in our strategy till date is about 40%.

  • Positional risk in systematic trading is much lower than in conventional, directional trading due to position sizing.

  • Overnight Global event risk is the most significant risk to this strategy in line with any other positional strategy.

  • Risk of leverage. This is controlled to a large extent by using conservative leveraging of approximately 2X of the capital.

  • Risk of the “unknown”.

Clients are advised to read all risk disclosure documents carefully. Derivatives are inherently risky and there is potential risk of loss of capital.


Lifts lithe index futures trend following strategy

The Global experience


Lifts lithe index futures trend following strategy

* TILL DEC 27 2011


Advisory fee schedule

Advisory Fee Schedule

Performance based advisory fee at 30% of all gains, billed monthly. Service Taxes are as applicable.

A “high watermark” as per international practices is used. (In negative return months, no fees will be billed. Fees will only be charged once all previous losses have been recovered).

Sample Fee Chart (advisory fee paid quarterly)


Rohiniglobal

RohiniGlobal

RohiniGlobal group of companies was founded in 1996. The group is committed to creating a program based, mechanical trading platform with the ultimate objective of providing diversification across major global markets and asset classes.

Professional advisory services are rendered by Rohini Online Services LLP, New Delhi, India.

Mr. Alok Jain is the founder of RohiniGlobal group of companiesHe has diverse trading experience in the Indian and the US equity markets with a majority of his research focused on technical system development and mechanical system modeling. He graduated from IIT Delhi (1991) and obtained the degrees of Master of Finance and an M.B.A. from the University of Maryland(1995). His successful trading career spans well over 15 years.


Lifts lithe index futures trend following strategy

APPENDIX


Leverage and position sizing

Leverage and position sizing

The National Stock Exchange determines the minimum margin permissible for each leveraged position/product. Under normal circumstances, the leverage permitted by the exchange, on an index futures product such as the Nifty is 6-9 times.

High leverage can be advantageous or extremely risky. A move in price of 15% against your position with 6 times leverage would wipe out your entire capital. To manage risk appropriately, we recommend using approximately 2 times leverage in the LIFTS strategy.

Position Sizing is a money management technique used to determine what size of position to take basis your absolute investment, as also the risk to be assumed per trade. We recommend that on capital of INR 25 lacs, a position size of INR 50 lacs should not be exceeded. It is our endeavor to never generate more than a 3% loss of capital on a single trade.

Money Management ensures that even after a string of losses, you have enough capital available to build back your investment with.


Portfolio diversification global context

Portfolio diversification – global context

The Chicago Board of Trade's booklet, Managed Futures, Portfolio Diversification Opportunities, shows a portfolio with the greatest risk and least returns comprised of 50% stocks, 50% bonds, and 0% managed futures while a portfolio exhibiting the greatest returns and least risk, comprised 37.5% stocks, 37.5% bonds, and 25% managed futures.

*Results obtained by adding managed futures component at an incremental rate of 1% while simultaneously reducing the stock and bond portions by 1% each. Based on monthly data from 1980-2004 on an annualized basis.

1 Stocks: S&P 500 Index (dividends reinvested)2 Bonds: ML Domestic Master Bond index (over 1 year with coupons reinvested)3 Managed Futures : MAR CTA Index

** Past performance is not necessarily indicative of future results.


  • Login