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
LIFTSLithe Index Futures Trend-following Strategy
analysis) and not on fundamental research and analysis
* See Appendix
Growth of Global Managed Futures Assets as of CYQ32008
Global Managed Futures Assets as of CYQ32008
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, 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.
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.
Clients are advised to read all risk disclosure documents carefully. Derivatives are inherently risky and there is potential risk of loss of capital.
The Global experience
* TILL DEC 27 2011
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 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.
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.
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.