BTR Global Macro Fund
April 2006
Objective and Strategy
The Fund’s objective is to achieve exceptional absolute returns with low correlation to traditional and alternative asset classes. Suitable investors have a long-term horizon
and a willingness to accept short-term volatility.
Our systematic global macro strategy is designed to realize gains from price trends in global markets including currency, energy, agricultural, interest rate, metal and equity
markets. The Fund systematically responds to market prices, volatility, portfolio risk and select external data by entering, exiting and re-sizing positions within its
universe of markets.
Monthly Performance
Jan
8.46%
2006
2005
Feb
0.27%
Mar
7.04%
Statistics
Apr
3.73%e
May
Jun
Jul
Aug
2.39%
4.17%
Peak
Sep-05
Valley
Oct-05
Sep
1.59%
Drawdown Analysis
Avg Annual Return
12 Month Return
Avg Monthly Gain
Avg Monthly Loss
Annualized Std. Dev
Max Drawdown
Winning Months
Approx Roundturns
43.41%
39.37%
4.64%
-7.02%
15.86%
-7.02%
90.00%
2000
Depth
-7.02%
4.03
-7.02%
Nov
6.98%
Dec
7.09%
Year
20.75%
15.42%
Fund Information
Length Recovery
1
2
Strategy
Firm Assets
Fund Assets
Minimum Investment
Fees
Manager
FCM/Prime Broker
Auditor
Administrator
Correlation Analysis
S&P Managed Futures Index
S&P Hedge Fund Index
S&P 500 Price Index
0.35
0.58
0.55
Sector Performance
-0.13822
Oct
Global Macro/Managed Futures
$550,000,000 USD
$10,012,000 USD
$100,000 USD
2% & 20%
Jason Russell, CFA
Goldman Sachs
KPMG
HSBC
Fund Performance
-0.557028152
-0.56%
3.00%
1450
2.50%
-1.50%
NAV
1.00%
Prec. Metals
2.00%
Energies
Interest
Rates
1050
3.00%
950
850
Current Sector Exposure
Base Metals
Bonds
Crops
Currencies (USD)
Energies
Equities
Interest Rates
Livestock
Precious Metals
LONG =
Ï
SHORT =
Ð
MIXED =
Î
Ï
Ð
Î
Î
Ï
Ï
Ð
Ð
Ï
-
k
t
750
Jun-05
Jul-05
Aug-05 Sep-05 Oct-05 Nov-05 Dec-05 Jan-06 Feb-06 Mar-06 Apr-06
i
c. M etals
Equities
st Rates
-1.00%
Bonds
0.00%
-2.00%
OUT =
Currencies
Equities
Crops
-1.00%
1150
4.00%
0.00%
-0.50%
1250
5.00%
Base Metals
0.50%
6.00%
Bonds
1.00%
1350
7.00%
% Profit/Loss
% Profit/Loss
1.50%
-1.08%
-0.73%
-0.70%
-0.56%
-0.18%
0.14%
0.14%
1.29%
5.72%
Livestock
Bonds
Inte re st Rate s
Equities
Pre c. Me tals
Live stock
Base Me tals
Curre ncie s
Crops
Ene rgie s
2.00%
Commentary
The BTR Global Macro Fund earned 3.73% for the month of April. This compares to 6.36% for the S&P
Managed Futures Index. Since inception, the fund has earned 39.37% vs 12.30% for the index.
Precious and base metals had an extremely strong month in April. While we maintained an exposure, our systems
reduced the size of our positons several times throughout the month for risk management purposes. These are
decisions that are hard to make in the short term when markets are running away. However, our experience and
research have shown that at this stage of the market, risk management and discipline is critical.
The energy markets surged strongly in April and the fund quickly reacted early in the month to capture large gains in
the sector. Meanwhile, bond yields continue to rise and our short positions in global bond markets benefited nicely.
Some long standing and very profitable short positions in some grain markets turned last month. We had already
reduced positions before this month and continue to do so as the turnaround progresses. While on the topic of
turnarounds, the US dollar seems to be losing long term strength. While many are predicting a very weak dollar, our
models are reserving judgement until there is real follow through after the recent decline in the dollar.
Contact Information:
Jason Russell, CFA
416-849-2569
jrussell@salidacapital.com
www.salidacapital.com
Salida Capital
2 Bloor St. W, Suite 2700
Toronto, ON M4W 3E2
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 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.