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Capital Trading Group
CTA Profile - Edge Investment Mgt Ltd
Program - Global Diversified Program (Proprietary)
Principal(s): Jacky Wong Closed to New Investors
Trading Strategy: Day Trading (Systematic) / Diversified

Investment Restrictions: Closed to New Investors
Trading Description:
OBJECTIVE: The objective of EIM Global Diversified Program is to seek high absolute returns with low volatility and low correlation to the traditional equity and fixed income investments. There can be no assurance that EIM and its client accounts will achieve this objective, or that the client accounts will not incur losses. Moreover, there can be no assurance that EIM’s trading will yield the same results as it has in the past.

INVESTMENT PHILOSOPHY: The development of our trading models is based on the finding that the price movement of financial and commodity markets is not totally random. It follows somewhat of regular patterns. This is because the price movement reflects the human nature and emotions of investors, which results in similar reactions under similar market conditions across various markets. By using a systematic and discipline approach to follow through such regular patterns and invest in a well-diversified portfolio, the performance is usually more consistent than using a discretionary approach.

INVESTMENT PROCESS:
  • Quantitative Strategies - We have taken a scientific and quantitative approach to conduct a comprehensive research and analysis of various futures markets across massive data sets. And we have identified numerous regular patterns, which repeat so frequently in these markets. However, only those are logical, statistically significant and profitable across various markets, and have been proven to be the most robust are used to formulate strategies in actual trading.
  • Non-Correlated - Each strategy is by designed to deal with a specific pattern or market condition, and which is independent and non-correlated to the others. These strategies can be categorized as but not limit to Intra-day Trend Following (which is different from the traditional Long Term Trend Following), Counter Trend, Volatility Expansion/Contraction, and Price Pattern Recognition. They are non-parametric and adaptive to different market volatility conditions. It is possible that one strategy may signal a long position while another strategy signals a short position in the same market. EIM intends to offset those signals to reduce unnecessary trading, but if the signals are not simultaneous, both trades will be taken and, since it is unlikely that both positions would prove profitable, in retrospect one or both trades will appear to have been unnecessary. EIM follows trade signals of each strategy independently of the others.
  • Proprietary - By combining and employing a set of non-correlated strategies (some are mutual exclusive while some are complementary to each other) in a single market, we have developed our robust proprietary trading models which are able to capture as many trading opportunities as possible while reduce the risk exposures.
  • Diversified - The Program invests only in the markets with high liquidity, which including but not limit to stock indices futures in US markets (E-mini S&P 500, E-mini Nasdaq 100, E-mini Russell 2000, E-mini S&P Mid-cap 400), European markets (DAX, CAC40, FTSE 100, DJ Euro Stoxx 50), Asian markets (Nikkei 225, KOSPI, MSCI Taiwan, HSI, HSCEI); currencies futures (EUR, GBP); energies futures (Crude Oil, Natural Gas); metals futures (Gold, Silver). Markets in the same time zone tend to be more correlated to each other. Thus, the portfolio under management is not only diversified by strategies, markets and asset classes, but also by time zones, which may reduce the risk exposure to certain contingency events (e.g. system failure, internet connection problem, political incidents) as well.
  • Day Trade - Being a day-trade program, all positions are exited before the end of day to eliminate any overnight risk. This is an edge that allows the Program to manage the portfolio more aggressively with a higher margin/equity ratio. Besides, as the Asian markets are closed during the European and US sessions, all Asian contracts positions are exited as well. The margin allocated for trading Asian markets will then allocated for trading European and US markets. In other words, it can use the same capital to invest in more markets and so as to capture more opportunities and more profit while reducing the risk exposure. With such arrangement, the average monthly return has been increased while the portfolio maximum drawdown has been reduced in our rigorous back tests and actual trading. However, there can be no assurance that such arrangement would not increase the risk exposure in the future, especially when the historically non-correlated strategies and/or markets may at times exhibit a high degree of correlation. As it may occur, a client’s account can experience a dramatic drawdown in its equity.
  • Automated Execution - The Program is a systematic and mechanical trading model. The execution of the trading strategies, trade allocation and risk management are fully automated by the system with the cutting-edge technologies. The system will be overridden only in certain extraordinary circumstances that rarely happen. However, discretion plays a role in the evolution of the trading system over time as the Advisor seeks improvements to the trading strategy.

Risk Strategy:
 RISK MANAGEMENT: The risk management of the Program is monitored and controlled by our proprietary model in certain levels: individual strategy, individual market, and the whole portfolio. Each open position is protected by a stop order that is automated generated by the system shortly after the entry order has been triggered. During a significant drawdown in equity, the system may scale-down the position size to reduce the risk exposure.

CONTINUITY OF DEVELOPMENT: Our trading strategies and models may be revised from time to time as a result of ongoing research and development that seeks to devise new strategies and models as well as to improve current models. The strategies and systems we will use in the future may differ from those currently used, due to the changes resulting from this development. Moreover, the Advisor may also decide to add or remove one or more futures interests eligible for trading for a program or model at its sole discretion. Clients will generally not be informed of these changes as they may occur.
Trading Approach
Systematic - 100.00%
 Discretionary - 0.00%
Trading Methodology
Trend Following:
Short Term
Non Trend Following:
Momentum
Counter-Trend Following
Pattern Recognition
Markets Traded

Diversified
Sector
Global Markets
Contracts Traded
Futures

Annual Performance Since 2003
2003
0.00%
2004
0.00%
2005
8.69%
2006
171.63%
2007
253.67%
2008
118.61%
2009
7.27%
Recent Performance
Currency Denomination - US Dollars 
2010 Monthly Return YTD Return Assets Under Mgt
08/31/10 -0.85% 9.12% 3,541,115
07/31/10 4.54% 10.05% 3,514,595
06/30/10 0.97% 5.28% 3,345,680
05/31/10 0.66% 4.26% 3,300,810
04/30/10 3.33% 3.58% 3,265,599
03/31/10 1.36% 0.24% 3,162,544
02/28/10 -1.80% -1.10% 3,114,937
01/31/10 0.71% 0.71% 3,166,881
2009 Monthly Return YTD Return Assets Under Mgt
12/31/09 -2.50% 7.27% 3,139,402
11/30/09 3.34% 10.02% 3,180,210
10/31/09 1.35% 6.47% 3,058,778
09/30/09 2.37% 5.05% 3,005,910



VAMI Chart (Based on a $1,000 Initial Value)
 Monthly Percentage Returns Chart

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Investment Details
 Disclosure Document Date
06/27/08  
 Starting Date of Program
07/31/05 
 Accepting New Money?
No  
 Average  Annual Rate of Return
113.80% 
 Peak to Valley Drawdown
-15.38 % 
Average  Margin as % of Equity
15.00% 
 Round Turns per Million
24,000 
 Minimum Sized Account
500,000 
 Currency Denomination
US Dollars 
 Management Fee
2.00% 
 Incentive Fee
20.00% 
 Notional Funding?
Yes  
 Member of NFA
Yes  
 Other Memberships
 


Statistical Definitions
(1) From January 1990 or Starting Date of Program - The Annual Average Rate of Return represents the compounded rate of return for 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. This includes all monthly data from the inception of the program or from January 1990, whichever is less.
(2) From January 1990 or Starting Date of Program - The Worst Peak-to-Valley 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. "Monthly" indicates that the Worst-Peak-to-Valley Drawdown" is based on monthly Data.

 

Fee Range: 2%


 

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. CAPTIAL TRADING GROUP LP NO 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