BTR Global Macro Fund
October 2008
Objective and Strategy
The objective of this fund is to achieve superior absolute returns in both rising and falling markets with little to no correlation to both traditional and alternative asset classes.
This type of strategy is commonly used by both institutional and private investors seeking valuable portfolio diversification without sacrificing liquidity.
The fund uses a highly disciplined, systematic trading approach to identify and capture price trends across a wide variety of global markets. The fund invests mainly in highly
liquid financial and commodity futures contracts in 7 differrent sectors including stock indices, bonds, metals, short-term interest rates, energy, currencies and agriculture.
Trading takes place around-the-clock and around-the-globe on over 25 different exchanges in over 60 different markets. The trading systems are extremely agile, able to
respond quickly to changes in price, volatility and sentiment data to take advantage of upward and downward price trends across a range of time frames. This disciplined
approach aims to quickly eliminate losing positions while allowing winning positions to dominate the portfolio.
Monthly Performance
Jan
11.76%
2.10%
8.46%
2008
2007
2006
2005
Feb
12.10%
-4.43%
0.27%
Mar
3.98%
-4.28%
7.04%
Statistics
Apr
-2.38%
4.21%
3.78%
May
-3.21%
1.33%
-5.78%
Jun
7.08%
2.50%
-4.32%
Jul
2.02%
-4.35%
-13.80%
2.39%
Aug
-1.81%
1.85%
-0.86%
4.17%
Peak
Apr-06
Jul-08
Sep-05
Mar-08
Valley
Aug-06
Sep-08
Oct-05
May-08
Sep
-11.64%
12.07%
2.94%
1.59%
Drawdown Analysis
Compound Return
12 Month Return
Avg Monthly Gain
Avg Monthly Loss
Annualized Std. Dev
Max Drawdown
Winning Months
Approx Roundturns
19.32%
30.44%
4.82%
-4.95%
20.13%
-22.96%
67.50%
2000
Depth
-22.96%
-13.24%
-7.02%
-5.51%
Length
4
2
1
2
Oct
5.22%e
1.44%
4.80%
-7.02%
Nov
Dec
6.73%
3.33%
6.98%
-0.44%
3.03%
7.09%
Year
22.75%e
18.97%
6.89%
15.42%
Fund Information
Recovery
15
0
2
1
Sector Performance
Strategy
Fund Assets
Minimum Investment
Fees
Manager
FCM/Prime Broker
Auditor
Administrator
Global Macro/Managed Futures
$19 million USD
$1,000,000 USD
2% & 20%
Jason Russell, CFA
Goldman Sachs
KPMG
HSBC
Fund Performance
2.50%
2150
2.00%
1950
1750
1.50%
NAV
% Profit/Loss
1550
1.00%
1350
0.50%
1150
LONG =
SHORT =
MIXED =
OUT =
-
950
Oct-08
Aug-08
Apr-08
Jun-08
Feb-08
Oct-07
Dec-07
Apr-07
Jun-07
Aug-07
Feb-07
Oct-06
Dec-06
Aug-06
Apr-06
Jun-06
Feb-06
Oct-05
Dec-05
Jun-05
750
Aug-05
Equities
Interest Rates
Currencies
Bonds
Crops
Livestock
Current Sector Exposure
Base Metals
Bonds
Crops
Currencies (USD)
Energies
Equities
Interest Rates
Livestock
Precious Metals
Base Metals
-1.00%
Prec. Metals
-0.50%
Energies
0.00%
Commentary
The Salida Global Macro Fund is up 22.75% year to date. The fund was up 5.22% in October. The compound rate of return since
inception is now 19.32%.
October 2008 will be a month for the history books as unprecedented volatility stormed through each and every asset class. In
response to the volatility, position sizes dropped dramatically to the point where they seemed insignificant. However, the daily
portfolio volatility still remained high.Thus, in mid month, we initiated a discretionary risk reduction. While the opportunities are
extreme in this environment, so is the risk. The repercussions of these moves and the consequences of the policy responses to
them will create plenty of opportunities for many years to come.
Gains across a broad spectrum of equity indices provided a large part of the returns this month. The price movements seen in
single days seemed larger than some previous years and certainly months. As mentioned above, position sizes were reduced
dramatically and then eliminated by mid month. Interest rates and bond positions also benefited from a flight to quality as money
sought safety. The position in Canadian Bankers Acceptances in particular was very successful.
-
The currency market volatility was breathtaking as the Japanese Yen and U.S. Dollar soared and many other currencies
plummeted. Our long positions in the Yen and U.S. Dollar as well as short positions in the Canadian Dollar, Euro and British
Pound all benefited nicely. However, once again we slashed positions aggressively to bring risk down.
Copper came into October priced at nearly $3. At the lows for October, the red metal was almost cut in half. Years of price gains
were erased in weeks. We entered the month with a very small short position on in Copper which obviously served us well.
This was truly an extraordinary month. Had we ignored our risk management rules, this would have been the largest positive
month in our history from both a real-time and a simulation standpoint. However, due to the volatility experienced globally,
ignoring our risk management rules could have also resulted in large losses for the portfolio. Overall we are more than pleased
with the gains that we have captured and we appreciate that the real opportunity lies ahead.
Contact Information:
Jason Russell, CFA
416-849-2596
jrussell@salidacapital.com
Courtenay Wolfe, CEO & President
416-849-2543
cwolfe@salidacapital.com
Susan Rumble, Client Services
416-849-2541
srumble@salidacapital.com
2 Bloor St. W, Suite 2700
Toronto, ON M4W 3E2
www.salidacapital.com
Be assured that the trading system used by the BTR Global Macro Fund will continually evolve which may result in higher or lower returns. The BTR Global Macro Fund is managed by Salida Trading
LP, an affiliate of Salida Capital Corp.
The above returns are net of management fees and performance fees but do not take into account other fees that may apply such as early redemption fees.
Although care is taken in arriving at estimates (e), estimates may vary substantially from the final number posted for a month/year - investors should not rely on estimates for investment decisions.
Please review the applicable offering memorandum for detailed descriptions of strategies, objectives and risk factors. The above is provided for informational purposes only and is qualified in its
entirety by the relevant offering memorandum, which is only available to qualified investors.
Pursuant to an exemption from the Commodity Futures Trading Commission in connection with pools whose participants are limited to qualified eligible persons, an offering memorandum for this pool
is not required to be, and has not been, filed with the Commission. The Commodity Futures Trading Commission does not pass upon the merits of participating in a pool or upon the adequacy or
accuracy of an offering memorandum. Consequently, the Commodity Futures Trading Commission has not reviewed or approved the offering of the Fund or any offering memorandum for this pool.
Past performance may not be indicative of future results and there is no assurance that any of the Fund’s investment objectives will be met.