Summary
Managed Futures Program
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Profit from upward and downward long-term
price movements in assets
Systematic and automated
Low trading frequency
130 futures contracts monitored across 25
global exchanges
Low correlation to traditional investments
Liquid investment in exchange traded futures
contracts
Quarterly entry and exit; no lock-up
5-Year+ investment horizon
Exposure to all major asset classes
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Currencies
Energy
Equity Indices
Grains
Interest Rates
Meats
Metals
Soft Commodities
Volatility
Investment Philosophy
Axiom: “... a premise or starting point of reasoning. As classically conceived, an axiom is a premise so evident as to be accepted as true
without controversy.” *
Axiomatic regularities emerge when
an asset is traded in a marketplace
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Shorter term patterns
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Tend to be axiomatic regularities – emerge from
the interplay of fundamental drivers and crowd
behaviour
Are well known market phenomena – the source
of profits are less susceptible to degradation,
competition and market frictions
* http://en.wikipedia.org/wiki/Axiom
It is self-evident that
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Tend to be transient
Are easily arbitraged away
Are fragile to the need for continued evolution,
improvement in speed and execution
Longer term patterns
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Long-term price trends are axiomatic of all asset
markets
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Asset price movements are distributed nonnormally; and
at times tend to persist in one direction or
another
These regularities are reliable sources of
trading edge; however
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One must face a long-term investment horizon
One must face long periods of under-performance
punctuated by short periods of high profitability
One must be comfortable utilising crude heuristics
that are not fragile to changing market regimes
Methodology
The Global Positioning System (GPS)
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A long-term trend following system
Algorithmically simple – aims to mitigate fragility
to changing market regimes via simple heuristics
consistently applied to all markets
Applied to a basket of 130 futures markets
across all major asset classes
Automated order entry, execution, portfolio
monitoring and risk management
The Trading Process
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GPS continues to monitor and manage the trade
so long as the price trend continues in the same
direction
Conducted on an individual trade basis
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Allocated capital is in part determined by recent
volatility and liquidity conditions
A covering stoploss order is activated, monitored
and adjusted throughout the life of the trade
If the potential trend emerges
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Risk Management
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Employs a variety of order types
A risk controlled long (short) position is taken
when GPS signals the potential for an upward
(downward) price trend
Each position is small enough to mitigate the risk
of volatile inter-market correlations
Automated and algorithmically defined
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If the trend fails to materialise
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The position is exited with a small loss when the
predefined stoploss is executed
Performance
CHARTS
CUMULATIVE PERFORMANCE
ASSETS UNDER MANAGEMENT
$1,500,000
140%
120%
$1,000,000
100%
$500,000
80%
$0
Jun 2011
60%
40%
30%
Jun 2012
Jun 2013
Jun 2014
MONTHLY AVERAGE MARGIN-TO-EQUITY
25%
20%
20%
0%
Jun 2011
15%
Jun 2012
Jun 2013
-20%
Jun 2014
10%
5%
0%
Jun 2011
-40%
Jun 2012
Jun 2013
Jun 2014
PERIOD RETURNS ^
Global Positioning System (GPS)
Feb
3mth
YTD FYTD*
1yr
3yr
-1.08% 44.23% 36.47% 88.27% 150.59% 115.77%
5yr
-
10yr
-
Total
111.44%
Performance
MONTHLY PERFORMANCE ^
Year
2015
2014
2013
2012
2011
Jan
37.96
0.58
2.63
-3.16
Feb
-1.08
2.79
-2.04
-2.12
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
2.50
3.34
-0.76
8.41
1.51
0.62
8.98
0.62
-3.05
9.91
-3.23
-9.01
3.79
-4.18
1.73
3.77
6.14
-1.19
-5.14
-3.80
6.53
-2.52
-3.01
0.83
-6.43
2.49
-0.52
-3.08
18.87
1.29
2.64
4.01
5.68
-1.40
1.99
1.90
YTD
36.47
89.85
-3.00
-18.62
3.39
FYTD*
88.27
30.00
0.08
-13.68
DD
-1.08
-6.43
-10.69
-22.26
-6.00
STATISTICS
Mgmt Fee
Performance Fee
High Water Mark
2%
20%
Yes
Annual Vol
Sharpe (1%)
Annual Return
25.6%
0.88
22.66%
Assets
Worst DD
Min Investment
$1,325,380
-23.17%
$50,000
Avg Margin to Equity
16.10%
Trading Frequency**
1251
CONTRACT UNIVERSE
Currency
23%
Energy
6%
Equity Index
18%
Interest Rate
20%
Meat
2%
Metal
4%
Soft Commodity
21%
Volatility
4%
Glo bal Capital A llo catio n Fund is o nly available to eligible investo rs who qualify as
"who lesale investo rs" under sectio n 761G o f the Co rpo ratio ns A ct. Glo bal Capital
A llo catio n Fund is managed by Ho bereau Investments P ty Ltd (A FS Licence No 244539) please co ntact M ax M erven (max@ho bereau.co m.au; max@gcaf.co m.au) to check if yo u
qualify. This statement is intended to pro vide general backgro und info rmatio n o nly and is
no t a "pro duct disclo sure statement" as defind in P art 7.9 o f the A ct and may no t co ntain
info rmatio n that may be expected to be fo und in either a regulated pro duct disclo sure
statement, o r any o ther regulated disclo sure do cument. P ast perfo rmance is no t
necessarily indicative o f futures results. The risk o f lo ss in trading futures is substantial.
While all reaso nable care has been taken to ensure that this do cument is co mplete and
co rrect, Ho bereau Investments P ty Ltd accepts no liability fo r any erro rs o r o missio ns in
this do cument.
^ Net o f fees
* Calendar year (YTD) figures are pro vided fo r co mparative purpo ses; GCA F o perates o n a
July-June financial year (FYTD)
** A verage Ro und Turns P er Year P er $ millio n
Comparison
Managed Futures Funds *
Altis Partners
Beach Horizon
Campbell & Company
Chesapeake Capital
Drury Capital
Dunn Capital
Eckhardt Trading
EMC Capital
Hawksbill Capital
Hymen Beck and Co
Mark J Walsh & Co
Rabar Market Research
Tactical Invest Mngmnt
Transtrend
Winton
2011^
-7.67
1.87
1.35
-5.83
-6.05
25.02
-13.43
-0.86
-11.95
0.74
2.62
-7.06
-12.46
-3.43
6.57
2012
-10.04
-19.51
1.39
-15.81
-4.64
-18.63
3.83
6.19
-13.66
-19.60
-4.96
-6.74
1.03
0.73
-3.24
2013
-3.79
-8.37
10.44
25.38
9.58
34.16
0.76
-7.42
-19.68
7.51
-10.68
-0.79
-14.56
-0.61
7.98
2014
12.20
41.32
19.67
13.79
20.76
35.67
16.09
24.90
22.11
15.48
33.63
19.82
50.07
17.48
14.60
2015
5.07
5.42
4.98
3.03
-0.83
4.37
4.24
1.75
8.29
6.99
3.32
3.03
9.53
3.05
2.81
Total
-5.78
11.92
42.57
16.54
17.58
93.23
9.60
23.85
-19.25
7.59
20.28
6.16
24.20
17.05
31.18
Annual
-1.61
3.12
10.16
4.26
4.51
19.68
2.53
6.01
-5.67
2.01
5.16
1.64
6.23
4.39
7.68
Average
-2.04
-6.91
1.99
23.84
4.34
19.78
4.67
15.13
0.32
Global Capital Allocation Fund
3.39
-18.62
-3.00
89.85
36.47
111.44
22.66
25.60
0.88
3
13
10
1
1
1
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16
2
Ranking
Std Dev Sharpe 1% Correl Assets ($m)
15.01
-0.10
0.60
$311
12.70
0.23
0.48
$104
12.76
0.75
0.42
$3,819
12.92
0.31
0.31
$255
15.55
0.30
0.37
$231
23.99
0.83
0.41
$447
13.27
0.18
0.27
$336
16.78
0.37
0.31
$90
21.33
-0.22
0.38
$55
15.50
0.14
0.46
$181
16.36
0.33
0.47
$89
11.47
0.11
0.31
$133
22.08
0.33
0.45
$66
9.61
0.39
0.53
$4,930
7.58
0.88
0.43
$26,800
0.41
$2,523
$1.33
* All comparison data is publically available information sourced primarily from www.managedfutures.com and www.iasg.com; and in some cases, individual fund websites. Each fund in
the list is chosen based on its publically acknowledged strategy to profit from (at least in part) long-term price trends. The purposes of this comparison is to illustrate that the financial
returns extracted by GCAF via the Global Positioning System have characteristics that would be reasonable to expect by targeting profits from long-term price trends.
^ From 1 July 2011.
The Managers
Adam Tomas
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Tomas Technology Pty Ltd
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Bachelor of Commerce – First Class Honours in
Finance
Master of Computing (on hiatus)
Hobereau Investments Pty Ltd
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Responsible Officer / Business Manager
Australian Financial Services Licence – 244539
Custodial Services
30 years investing and managing risk in
financial markets
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Intra-day to multi-year position taking
Bonds, equities, commodities, futures, options,
physical electricity and gas
Specialise in computational approaches to trading
Education
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Portfolio Manager
Trading software and algorithm development
Management of GPS and IT infrastructure
12 years trading financial and
commodities markets
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Max Merven
Director Risk Management Macquarie Bank
Principal trader and investment manager of
Hobereau since 2000
Specialising in equities, options and futures
Education
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Bachelor of Commerce – Accounting and Finance
Institute of Chartered Accountants in Australia