GENERAL TERMS
Structure:
Program Inception:
Manager:
Management Fees:
Performance Fees:
Capacity:
Regulator:
Primebroker:
Investor Type:
Subscription:
Redemption:
Lock-up Period:
Hurdle Rate:
High Water Mark:
Minimum Investment:
Access Points:
Managed accounts and
FX Select Platform
September 2006
Swing Capital
2%
20%
Soft close target :500M
AMF (Canada)
UBS
Qualified Investor
Monthly
Daily
No
No
Yes
5M (notional)
Managed Accounts, Deutsche
FX Select or Alphametrix
FUND DESCRIPTION
Swing FX is a hybrid (systematic signals/qualitative overlay) contrarian product, monitoring short term trend exhaustion
swing points in a diversified array of currencies within a multi timeframe platform. Swing FX engages strictly in the speculative
trading of spot currencies. Swing's investment philosophy is directed towards achieving superior capital appreciation through
maximizing absolute and uncorrelated returns. This investment methodology does not rely on favorable conditions in any
markets and is achieved by employing a combination of technical signals and unique qualitative overlay translated
through a strict and discretionary risk management system.
| |
Annualized Return |
Annualized StDev |
Largest Drawdown |
Largest Drawdown Length |
Sharpe Ratio |
| SWING FX |
8.38% |
5.50% |
-6.83 |
3 |
1.52 |
| Bar CTA |
4.86% |
5.76% |
-5.65 |
6 |
0.84 |
| S&P 500 |
1.24% |
18.05% |
-52.56 |
16 |
0.07 |
| GSCI |
-4.30% |
26.67% |
-67.65 |
8 |
-0.16 |
| Year |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec |
YTD |
| 2012 |
-1.34% |
-2.09% |
1.07% |
1.99% |
|
-0.43% |
| 2011 |
0.90% |
1.16% |
0.30% |
-0.79% |
1.73% |
1.53% |
0.57% |
1.47% |
-1.00% |
1.64% |
-0.06% |
-0.26% |
7.38% |
| 2010 |
-0.63% |
2.11% |
-0.33% |
-0.30% |
-0.57% |
-0.80% |
1.33% |
-2.40% |
1.72% |
-0.50% |
2.77% |
0.50% |
2.79% |
| 2009 |
1.07% |
1.97% |
-0.97% |
0.46% |
-1.07% |
-0.71% |
0.92% |
0.38% |
-0.60% |
-0.94% |
-0.45% |
0.30% |
0.31% |
| 2008 |
2.06% |
0.71% |
1.75% |
1.20% |
3.81% |
2.07% |
2.64% |
3.20% |
2.03% |
1.60% |
2.03% |
1.79% |
27.89% |
| 2007 |
0.03% |
2.61% |
2.97% |
-2.21% |
-4.27% |
-0.48% |
1.90% |
2.72% |
2.33% |
1.75% |
3.07% |
1.85% |
12.65% |
| 2006 |
|
-0.39% |
1.80% |
0.45% |
-2.49% |
-0.68% |
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
10 BEST MONTHS SINCE INCEPTION
| |
Swing FX |
Newedge CTA Index |
S&P 500 |
| May-2008 |
3.81% |
1.93% |
1.06% |
| Aug-2008 |
3.20% |
1.22% |
-1.70% |
| Nov-2008 |
3.07% |
2.07% |
-7.49% |
| Mar-2007 |
2.97% |
-1.37% |
1.00% |
| Nov-2010 |
2.77% |
-2.81% |
-0.42% |
| Aug-2007 |
2.72% |
-3.49% |
1.29% |
| Jul-2008 |
2.64% |
-1.79% |
-2.19% |
| Feb-2007 |
2.61% |
-2.68% |
-1.33% |
| Sept-2007 |
2.33% |
3.83% |
3.58% |
| Feb-2010 |
2.11% |
0.24% |
2.89% |
10 WORST MONTHS SINCE INCEPTION
| |
Swing FX |
Newedge CTA Index |
S&P 500 |
| May-2007 |
-4.27% |
2.87% |
3.26% |
| Aug-2010 |
-2.40% |
3.49% |
-5.24% |
| Dec-2006 |
-2.49% |
2.62% |
1.26% |
| April-2007 |
-2.21% |
3.53% |
4.33% |
| Feb-2012 |
-2.09% |
0.14% |
4.09% |
| Jan-2012 |
-1.34% |
0.75% |
4.29% |
| May-2009 |
-1.07% |
1.00% |
6.00% |
| Sep-2011 |
-1.00% |
0.92% |
-7.03% |
| Mar-2009 |
-0.97% |
-3.30% |
1.02% |
| Oct-2009 |
-0.94% |
-1.00% |
-1.95% |
PERFORMANCE ANALYSIS
| SINCE INCEPTION |
|
| Largest Monthly Loss |
-4.27% |
| Largest Monthly Gain |
3.81% |
| Annualized Returns |
8.38% |
| Standard Deviation |
5.50% |
| Largest Drawdown |
-6.83% |
| Cumulative Returns |
58.89% |
| Sharpe |
1.52 |
| CORRELATION |
|
| S&P 500 |
-0.19 |
| Barclays CTA |
-0.14 |
HIGHLIGHTS
- Low to negative correlation to both
alternative and standard portfolios
- 100% transparent managed account set-up
- Very low margin to equity ratio
- 5 1/2 years of real track record
- Daily liquidity
SWING CAPITAL FX PROGRAMME
535 de la Commune Street West
Montréal (QC) H3C 5X5 CANADA
T: [514] 680-4762, F: [514] 543-3157
