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Program Details

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Amaryllis Asset Management Ltd. 

Baryon Momentum Global Fund

Manager: Daniel Waldmeier

Address: 112 Bonadie Street, Kingstown, , Saint Vincent & the Grenadines

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Jan 1, 2010
AUM:$3,619,129
QEP:No
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$100,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:-11.06%116.63%
Annual ROR:-4.73%37.70%
YTD:0.00%7.90%
1 Year:0.00%15.09%
Alpha:-0.24
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:3.38%789.60%
Average Monthly Loss:-3.28%-3.41%
Winning Months:1316
Losing Months:1613
Current DD:20.716.97
Max DD:24.7817.03
Sharpe Ratio (RF 1%):-0.35
Annualized Std Dev:16.37

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodShort Term
---------------------------
Technical Analysis:50%
Trend Following:50%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20127.304.60-1.20-2.70-2.305.41
20111.021.42-1.231.77-6.50-2.50-1.90-13.10-1.6011.96-8.20-4.30-22.54
2010-2.660.442.54-0.970.12-1.29-1.630.095.843.70-0.383.128.92

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The Baryon Momentum Global Fund is a specialized, managed-futures fund. The investment goal is primarily to achieve positive returns and secondly to outperform the reference index (MSCI World Free). The fund invests in equity index futures and money market instruments. The fund's exposure is spread over the major liquid futures markets worldwide. Investment decisions are based on a proprietary trading system using evolutionary algorithms. The model combines various technical concepts and market data in order to
predict the behavior and development of global equity markets.
The economic system has grown incredibly complex experiencing fast movements while constantly changing. The stories, events and facts influencing the stock markets may be different each time but their tracks in stock price movements reveal rather common and often familiar patterns. However, technical analysis on stock price movements is done everywhere and can be processed easily by anybody helped by vast availability of market data and software tools. Building the trading systems for the Baryon Momentum Global
Fund we were looking for new ways to approach the processing and interpretation of technical market data in order to increase our value added. Based on the processes we observe in nature we have designed an environment of performance targets where we can combine historical market data with a number of algorithms and emulate an evolutionary process. The system builds complex structures of different trading algorithms in great numbers, taking an approach of checking quality of performance, selecting the best strategies and modifying them slightly in the next generation. Each of the current twelve trading systems used by the Baryon Momentum
Global Fund have now been created and will be further developed using this process.

Company Info

Amaryllis Asset Management Limited specializes in the management of alternative investment funds. Amaryllis' competitive edge lies in its active, innovative and proprietary trend-following systems to trade on equity indices and long/short equity strategies on the markets in the European region. Amaryllis Asset Management aims to provide superior investment performance for long-term oriented investors.

Manager Info

Daniel Waldmeier, a Swiss national, was born in 1969. He received degrees as a Federal Certified Financial Analyst and Asset Manager / certified EFFAS Financial Analyst in 1994. Since 1987 he has been engaged in international banking and wealth management. Daniel Waldmeier gained broad experience in portfolio management, financial analysis and the development of investment strategies and has undertaken special investment projects in New York and Nassau. In 1998 he became Head of Portfolio Management and a member of the management of Clariden Leu AG, an internationally acting Swiss private bank in Zurich. Since 2000, he has been a partner of Baryon AG in Zurich and has held the position of Chief Investment Officer, responsible for international portfolio management, option and financial future strategies, financial analysis and product development. Daniel Waldmeier invented and developed the mathematical model used by the Baryon Momentum Global Fund.