European Commodity Strategies

Absolute Return Models

The new generation of models enables ECS to add more return per unit of risk compared to previous strategies Text Box: ØThe re-launched ECMan will benefit from the utilization of the improved models and infrastructure developed with significant investment over the past years. ØOn the basis of the new generation of models, the re-launched company expects to return 15 – 20% annuallized to investors

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Text Box: ØPrompt and medium-term contracts exhibit lower correlation than long-term contracts.

Text Box: ØPower has strong trend moves compared to most capital market instruments.

Text Box: ØTime spent in trend mode compares favorably with many other capital market instruments.

About ECS

Strategy returns

Past returns ECMan

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European Energy Markets

Return Metrics for European Energy Commodities Absolute Return Strategies 

Total return from Mar 2007 – Jul 2010                        118,41 %

Annualized return                                                            25,69 %

Annualized standard deviation                                      14,08 %

% profitable months                                                        70,73 %

Avg. gain in profitable months                                         3,42 %

Avg. loss in non-profitable months                                - 1,86 %

Sharpe (2,75% risk free Euribor 1M)                             1,629

Performance graph for the Fundamental Trend Model (SRMC)

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Capital Ceiling for the  strategy        € 250,000,000 / $ 325,000,000

Managed Account Minimum:           € 10,000,000 / $13,000,000

Managed Account Maximum:          € 80,000,000 / $110,000,000

Investment Fund Structure (SICAV/SICAF) for smaller investors up to the combined maximum of € 250,000,000 /  $ 325,000,000 investment ceiling for this strategy

Management Fee:                         2%

Incentive Fee:                              20%

High-Water Mark:                        Yes

Hurdle Rate:                                Yes

Monthly drawdown                      Yes