• Manager: Integrated Managed Futures Corp
    Program: IMFC Global Investment Program


    Principal(s): David Mather
    Strategy: Systematic Diversified Trend
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    Investment Restrictions: 4.7 Exempt - Qualified Eligible Persons Only++
Recent Statistics
  • Apr Return: -0.83%
  • YTD Return: -7.21%
  • Annual CROR:1 5.68 %
  • Worst DD:2 -29.48%
  • Losing Streak:3 -29.48 %
  • Sharpe Ratio:4 0.36
  • Min Investment: $2,000,000
  • AUM:5 $30,215,794
  • Calmar Ratio:6 0.04
The IMFC Global Investment Program holds as its central investment tenet the belief that markets exhibit serial correlation or price trends and other persistent anomalies that cannot be explained by random behavior or the assumption of fully informed and rational market participants. Price trends, or serial correlation in market prices, may be the result of many factors including deeply rooted supply and demand trends for physical commodities, equity risk premiums, persistent interest rate differentials between currencies, the basis embedded in the term structure of futures prices and the crowd behavior of market participants.


The IMFC Global Investment Program utilizes proprietary systematic trading strategies to invest in long-term price trends in over 60 industrial, agricultural and financial futures markets. The average duration of profitable trades is approximately one year, though they often last anywhere from two to five years with losses cut quickly when they occur. Risk management, which accounts for two thirds of trading activity, operates at much higher frequencies of as little as two days. IMFC's trading is based on an analysis of market statistics that is firmly rooted in both probability theory and post-modern portfolio theory.

IMFC's program is based on a risk budgeting strategy for allocating capital to markets and signal generators. IMFC utilizes a fixed risk budget that targets long-term average annualized downside deviation of less than 13%. This risk budget is then equally allocated across over 60 markets, adjusted by their volatilities and correlations. The degree to which a market's allocated risk budget is utilized is then determined by the net trading position of 576 distinct signal generators per market. Although trend-based, these signal generators are not trend-following in the traditional sense and make significant use of both smoothing algorithms and sampling techniques to separate serial correlation in market data from higher frequency noise. Unutilized risk budgets that result from conflicting underlying signals are not re-allocated to other markets but go to cash. This risk budgeting strategy results in a 99% 1-month Portfolio Value-at-Risk ( VaR ) using Extreme Value Theory ( EVT ) of 10%.

In addition, the program incorporates two risk budget overlays that can reduce or eliminate the initial risk budget allocated to a market. One overlay is reactionary and based on identifying high percentile degradation in current market trends while the other is anticipatory and takes profits based on high percentile rankings of actual versus expected profitability in a given market. Lastly, IMFC has developed two additional strategies that are, respectively, specific to short-term interest rate futures and equity indices. These strategies act as both diversifying and macro-hedging strategies to the core trend-based program in that they are generally uncorrelated to trend-based strategies but also tend to be negatively correlated when trend-based strategies underperform.

As markets continue to evolve over time and as IMFC is continuously engaged in market research, a core feature of the IMFC Global Investment Program is that it may also, in the future, incorporate additional trading and risk-management strategies and / or modify or eliminate all or some of the current trading strategies already in use.

Integrated Managed Futures Corp. (IMFC) of Toronto, Ontario, Canada, is the managed futures division of Integrated Asset Management Corp. (IAM). IAM is a publicly-traded company, majority owned by management. IAM is a manager of alternative assets, with over $ 2.1 billion in assets under management in private equity, private debt, real estate, hedge funds and managed futures.

IMFC's investment management team comprises 4 professionals: Roland Austrup, President & CEO; Robert Koloshuk, Director of Trading and Senior Strategist; Adam Kolkiewicz, Quantitative Research Associate and James Rider, Portfolio Manager. This team has, individually, significant prior trading and investment management experience with major Canadian investment firms including ScotiaMcLeod, BMO Nesbitt Burns and CIBC World Markets in addition to strong academic credentials.

IMFC is unique in two respects. First, as part of IAM, IMFC enjoys all of the benefits of the infrastructure and operational support of a large investment management organization, as well as the transparency, compliance and oversight associated with a public company. This affords the investment management team the opportunity to focus on research and trading, while the parent company manages all operational aspects of the business such as fund structure and administration, compliance, marketing and business development and all other general and administrative functions of the business.

Second, IMFC is a research driven firm and has built an exceptional research platform. IMFC has exclusive research agreements with both faculty members and the Centre for Advanced Studies in Finance (CASF) in the Faculty of Mathematics (the world's first and largest faculty of mathematics) at the University of Waterloo, in Waterloo, Ontario. In addition to his role at IMFC, Dr. Adam Kolkiewicz is an Assistant Professor of Statistics and Actuarial Sciences at Waterloo and a co-founder and Director of CASF. Roland Austrup is also a Director of CASF.

IMFC's programs are under continuous improvement, taking full advantage of this research capability. All research ideas originate from the investment management team of IMFC and are then analyzed at the University for statistical validity before being subjected to exhaustive real-time simulation and testing.


  • Trading Methodology
    100% Systematic
  • Style Sub-Categories
    Trend Following
  • Trading Style
    100% Trend Following
  • Market Allocation
    Diversified
  • Holding Period
    100% Long Term
  • Sector
    Global
    Contracts
    Futures
    Options

Performance Since February 2007

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2017 -1.52% -1.83% -3.22% -0.83%   -7.21% -7.21%
2016 3.60% 1.72% -3.60% -3.23% -4.77% 5.18% -0.31% -5.82% -3.13% -4.96% -5.68% -0.23% -19.91% -24%
2015 13.11% -1.18% 0.76% -4.70% 0.85% -2.37% 5.30% 1.06% 0.34% -3.97% 3.23% -1.46% 10.23% -6.57%
2014 -2.85% 1.26% -3.61% 0.13% 0.18% 0.34% 5.19% 3.37% 2.77% -0.31% 8.50% 3.82% 19.76% -5.18%
2013 3.16% -0.52% 0.69% 4.04% -0.08% 0.35% -2.87% -3.76% 1.06% 2.16% 3.36% 2.33% 10.03% -6.52%
2012 -2.74% -2.75% -1.51% 3.16% 6.99% -6.02% 1.21% -1.45% -4.51% -4.78% -1.50% 0.63% -13.14% -16.05%

Years200720082009201020112012
ROR17.69%47.47%-2.14%12.94%-2.10%-13.14%
Max DD-10.47%-10.13%-9.43%-7.76%-9.44%-16.05%

Years20132014201520162017 YTD
ROR10.03%19.76%10.23%-19.91%-7.21%
Max DD-6.52%-5.18%-6.57%-24.00%-7.21%


PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

Program Information
  • Start Date: Feb-2007
  • New Money: Yes
  • Min Investment: $2,000,000
  • Fund Minimum: $1,000
  • Notional Funds: Yes
  • NFA Member: Yes
  • NFA Number: 0330993
  • Currency: US Dollar
  • AUM:5 $30,215,794
  • Annual CROR:1 : 5.68%
  • Worst Drawdown:2 -29.48 %
  • Losing Streak:3 -29.48 %
  • Sharpe Ratio:4 0.36
  • Calmar Ratio:6 0.04
  • Margin:7: 0.15
  • Mgt Fee: 2.00%
  • Incentive Fee: 20.00%
  • Other Fees: None
  • Avg Comm:8
  • Max Comm:9:
  • Round Turns:10 1,900
Additional Information
  • Other Memberships: MFA,NFA
  • Correlations: AG CTA Index: 0.734 | AG Systematic CTA Index: 0.790 |
  • Track Record Prepared By: Compliance Supervisors

  • Chart
    Chart
  • * By selecting to be contacted by a Representatives Autumn Gold may refer you to a third party broker or directly to the Manager.

    (P) - Proprietary Trading Results (C) - Client Trading Results

    1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity.

         The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

         Annual Rate of Return ("Annual ROR") is calculated adding each month's return.

    2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

    3. The Current Losing Streak ("Losing Streak") represents the extent of the Adviso'rs current drawdown.

    4. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

    5. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.

    6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

    7. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.

    8. The Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

    9. Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

    10. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.

  • ++Qualified Eligible Investors Only. A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

    Exemptions: PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT 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 TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

    RISK DISCLOSURE

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

    THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

    PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

    THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

    PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

    AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.