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CTA Profile
Dolmen Securities - Global Opportunities Program
Principal(s): David Tease, Ciaran Mulhall & Lyn Brosnan
Trading System: Discretionary / Global Macro

Request Disclosure Document * Request Statistical Report
Trading Description
With an absolute return objective of 7% to 10% per annum the Program offers diversification to investors by providing access to an asset class that is non-correlated to traditional investment portfolios. An actively managed investment trading a discretionary global macro strategy using global financial futures and options markets across all G20 economies. The net return of 7% - 10% is based on a fully funded account. If an investor wishes to increase the volatility and return from their investment the account may be leveraged - the minimum trading level of US$1million may be funded with as little as $100,000. Capital preservation is fundamental to the investment process, and our proprietary risk management policy seeks to ensure that the downside is strictly limited to 2% monthly and 5% quarterly.

The Investment Process Step

1: Determine Trading Themes Review Key Global Trends, Fundamental Research and Market Analysis Analyse major data releases, main corporate events, fiscal & government policy, central bank moves and economic research Trading Themes Identified and Monthly Report Generated

Step 2: Identify Trade Opportunities Manager screens the market to determine the most appropriate market and instrument to articulate and optimise the trading theme Global Screening: Across G20 economies Global Market Sector Screening: Currency, Equity Index, Bond and Interest Rate futures

Step 3: Trade Initiation Based on analysis of risk to reward for the trade – what is priced into the market and what is not. Position size: based on amount to be risked per trade and strength of conviction Price execution: as the desired entry level has been selected it may be triggered by further supportive data releases, policy moves or by a favourable technical set-up Profit objective: a target is set based on manager experience and once reached a decision is made to either continue to run the position or to close it out. If it is decided to maintain the trade a stop profit order is put in the market to ensure profit already made is preserved.

The Dolmen Global Opportunities Program, launched in May 2009, has been designed to provide the opportunity for market returns that are non-correlated to the traditional stock/bond portfolio with the addition of transparency, daily valuations and daily liquidity. The Program is a discretionary, global macro product - it does not rely on trading systems or “black boxes” to drive investment decisions and aims to identify and exploit mispricing in global financial markets. The Program trades financial futures and options contracts in equities, bonds and currencies across the G20 economies.

Risk Strategy
A proprietary risk management policy ensures that losses in the Program are kept to a minimum. Tier One Active Trade Management Position sizes are set based on portfolio volatility targets, market correlations and strength of conviction Once a trade is put on each position has an individual stop-loss level Risk in each position is kept to a percentage of total equity and the risk for the sum of all positions is set at a specific percentage of total equity On-going assessment of each trade with real-time position valuation and risk management Tier Two Overall Portfolio Stop Loss Policy On a very worst case basis we would not lose more than 2% monthly while if an intra month loss went over 1% the Program would be significantly deleveraged for the remainder of the month On a very worst case basis we should not lose more than 5% quarterly. In the very unlikely event of this limit being approached the managers would review trading and contact clients. All instruments traded are highly liquid resulting in minimal slippage upon execution of a stop loss.

Although there is a discretionary approach to trading there is an almost systematic approach to risk. Position sizes are dynamically set based on portfolio volatility targets, market correlations and market volatilities and each position has an individual stop-loss level. Risk in each position is kept to a small percentage of total equity and the risk for the sum of all positions is set at a specific percentage of total equity. Overall portfolio risk management rules include monthly and quarterly risk limits. These limits dictate that all positions will be liquidated and trading will cease for the remainder of the month or quarter should the limit set for that period be exceeded. This will be set in motion once the Program incurs a trading loss of 2% in a month or 5% in a quarter. The limits discussed above are calculated on trading returns before calculation of fees. While stop losses are in place these may be breached and result in losses greater than the limits set out above. This could lead to margin calls or additional funding required by clients.
Trading Approach
0.00% Systematic
100.00% Discretionary

Trading Methodology
 Medium Term
Short Term
Fundamental
Discretionary

 Markets Traded
 Non Diversified
Currencies
Financials
Stock Indicies

Sector
Global Markets

Contracts Traded
Futures
Options
Recent Performance
Currency Denomination - US Dollars
2010 Monthly Return YTD Return Assets Under Mgt
08/31/10 1.07% -0.93% 26,000,000
07/31/10 -0.98% -1.98% 26,000,000
06/30/10 -0.97% -1.01% 26,000,000
05/31/10 0.75% -0.04% 26,000,000
04/30/10 -0.59% -0.78% 26,000,000
03/31/10 0.63% -0.19% 26,000,000
02/28/10 -0.13% -0.82% 26,000,000
01/31/10 -0.69% -0.69% 22,000,000
2009 Monthly Return YTD Return Assets Under Mgt
12/31/09 0.29% -0.88% 21,000,000
11/30/09 -0.69% -1.16% 21,000,000
10/31/09 -0.19% -0.48% 21,000,000
09/30/09 0.30% -0.29% 19,000,000
Annual Performance for Last 5 Years
Currency Denomination - US Dollars
Year
Annualized Compounded ROR
2009
-0.88%
2008
0.00%
2007
0.00%
2006
0.00%
2005
0.00%
2004
0.00%
2003
0.00%



 
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
Monthly Percentage Returns Chart
VAMI Chart - (Based on a $1,000 Initial Value)
Investment Details
Disclosure Document Date
06/30/10
Starting Date of Program
05/15/09
Accepting New Money?
Yes
Average Annual Rate of Return
-1.36 %
Peak to Valley Drawdown
-3.60 %
Average Margin as % of Equity
3.00%
Round Turns per Million
350
Minimum Sized Account
100,000
Currency Denomination
US Dollars
Management Fee
1.00%
Incentive Fee
20.00%
Notional Funding?
Yes
Member of NFA
Yes
Other Memberships
None

 

Risk Disclosure
THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND 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 CAREFULLY CONSIDER WHETHER COMMODITY FUTURES, OPTIONS AND FOREX IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. 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.

THE ABOVE PERFORMANCE NUMBERS HAVE BEEN SUPPLIED BY THE CTAS. MANAGED CAPITAL ADVISORY GROUP IN NOW WAY GUARANTEES THE ACCURACY OF THESE NUMBERS AND HAS SUPPLIED THEM TO YOU FOR INFORMATIONAL PURPOSES ONLY. THIS DOES NOT CONSTITUTE A SOLICITATION TO BUY OR AN OFFER TO SELL. NO INVESTMENT SHOULD BE MADE WITHOUT FULLY REVIEWING THE ASSOCIATED RISK FACTORS, FEES AND CONFLICTS OF INTEREST AS OUTLINED IN EACH CTA'S RISK DISCLOSURE DOCUMENT. THERE MAY BE CTAS WHO HAVE CHOSEN NOT TO PARTICIPATE THAT MAY HAVE BETTER OR WORSE PERFORMANCE THAN THOSE CTAS IN OUR DATABASE.

PLEASE NOTE THAT THERE IS AN INHERENT RISK OF LOSS ASSOCIATED WITH TRADING FUTURES AND OPTIONS CONTRACTS. PLEASE CAREFULLY CONSIDER YOUR FINANCIAL CONDITION BEFORE INVESTING IN FUTURES AND OPTIONS CONTRACTS. FUTURES TRADING IS NOT SUITABLE FOR ALL INVESTORS

Monthly Return Calculations: As of 4/1/2004, CTAs are required to calculate monthly returns according to NFA RULE 2-34 which states (1) Member CTAs must calculate rate of return according to CFTC Regulation 4.35(a)(6) using nominal account size as the denominator. (2) Drawdown information reported under CFTC Regulation 4.35(a)(1)(v) and (vi) must be based on rate of return figures using nominal account size as the denominator. (3) In calculating net performance, Member CTAs may include interest earned on actual funds but may not impute interest on other funds.

Data Supplied by Autumngold.com

 

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