To leverage market volatility trading currency based strategies that generally have a low correlation to traditional financial market risk factors and can achieve growth in both rising and falling markets.

Model Portfolio         

Swing Strategy Portfolio 

Minimum Investment          

AUD 20,000

Investment Universe           

Foreign Exchange Contracts - Major Currencies USD, EUR, JPY GBP, CHF. Minor Currencies AUD, CAD, NZD and limited Exotic Currency Pairs. 

Contracts for Difference - Examples Index CFD’s, Precious Metals, Energy, Soft Commodities and Cryptocurrencies

Investment Objective          

Walker Capital aims to achieve a net return in excess of 20% per annum on invested capital using proprietary managed currency strategies designed to perform well through market volatility. There can be no assurances the MDA will achieve its investment objective.

Investment Strategy

The MDA Manager will use various tools to analyse the market, including but not limited to:

  • Short-term market flow;
  • Market momentum and general trend;
  • Technical analysis; and
  • Fundamental analysis of the economic outlook.

Entry signals are generated from technical analysis (chart patterns) and trade size is based on market volatility. The objective is to capture movements in the market trading specific currencies to target a managed range of volatility, using leverage. Stop losses will be placed on each trade as required.

The Swing Strategy is designed to generate consistent returns with lower volatility in the long term. Being an assertive strategy, the Swing Strategy holds a heavy weighting on currency and may underperform in some months.

There is no guarantee that every trade will be profitable and this strategy can include high volumes of trading, the commission and transaction costs associated with such trading may be high.

The strategy has exposure to currency and can profit from rising and falling markets.

Leverage       

1:100

Risk Management process  

Market positions are constantly monitored and manually adjusted, where necessary, to protect capital. We may adjust exposure levels, hedge, or exit positions.

The main ways we target risk are:

  • Constantly monitor market positions, making manual adjustment where necessary;
  • Target a managed range of volatility to prevent trading on certain strategies during periods that exceed model parameters;
  • Diversified trading systems;
  • Stop losses to manage downside risk; and
  • Quantitative system testing.

Trade Management 

Open positions are managed with limit orders to define an exit price or will be monitored to allow any potential trends to develop with no specific exit price identified.

Investor Suitability  

The Swing Strategy is designed for investors that are looking to invest medium term and see their returns build steadily.

The Swing Strategy is acceptable for assertive and aggressive investors, targeting income and higher returns underpinned by managed risk.

Non-limited recourse products and facilities        

This strategy invests in non-limited recourse products.

Investment or withdrawal conditions       

Nil

Definitions

Acronym Metric Definition Description
HWM High Water Mark A high water mark is the highest value that an investment fund or account has ever reached. A hurdle rate is the minimum amount of profit or returns an investment fund must earn before it can charge a Performance (Incentive) fee. This is a safety mechanism that incentivises the trader to grow the account Balance (and Equity) as they will only receive a Performance fee if they increase the watermark. This is independent to Management Fees.
ROR Rate of Return The formula for rate of return is:

[(Current price - Original price) / Original price] x 100
A rate of return is the gain or loss on an investment over a specified time period, expressed as a percentage of the investment’s cost. Gains on investments are defined as income received plus any capital gains realized on the sale of the investment.
CAGR Compounded Annual Growth Rate The formula for CAGR is:

CAGR = ( EV / BV)1 / n - 1

where;
EV = Investment's ending value
BV = Investment's beginning value
n = Number of periods (months, years, etc.)
The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.

How fast does the investment grow on an annual basis whilst taking into comparison compounding of returns. Sometimes also known as the "Compounded Annualized Rate of Return" (CARR).
MaxDD Maximum Drawdown MDD = (TV– PV) ÷ PV

where;
TV = Trough Value
PV = Peak Value
A maximum drawdown (MDD or MaxDD) is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown (MDD) is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as "Return over Maximum Drawdown" and the Calmar Ratio.
Balance Account Balance Account Balance is made up of the equity and the unrealised profit or loss in active position. The balance and equity of the investment account at the end of the trading interval and after compensation has been paid is 1,250 USD. The investor makes a request to withdraw 250 USD (20% of the equity), and accordingly each value falls by 20%. After the withdrawal, both the balance and the equity will be 1,000 USD.
Equity Account Equity Account Equity in trading refers to the true amount of money that one will be left with when all of the active positions are closed. The balance on an investment account is 1,000 USD at the beginning of the trading interval. However, by the end of the trading interval, the equity has fallen to 500 USD. When the account makes a loss, the investor pays no compensation to the manager. So, the equity plus the manager's compensation is 500 USD. The investor decides to withdraw 100 USD, or 20% of the equity on the investment account. After the withdrawal, the balance, equity and equity plus the manager's compensation are 20% lower and are equal to 800 USD, 400 USD and 400 USD accordingly.
Calmar (MAR) Ratio Calmar (MAR) Ratio Calmar Ratio = CAGR / MaxDD Developed by Terry W. Young in 1991, the Calmar ratio is short for California Managed Account Reports. The Calmar ratio is a comparison of the average annual compounded rate of return and the maximum drawdown risk of commodity trading advisors and hedge funds. The lower the Calmar ratio, the worse the investment performed on a risk-adjusted basis over the specified time period; the higher the Calmar ratio, the better it performed. Generally speaking, the time period used is three years, but this can be higher or lower based on the investment in question.
Sharpe Ratio Sharpe Ratio Sharpe Ratio = (Mean Portfolio Return − Risk-Free Rate)/Standard Deviation of Portfolio Return The Sharpe ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return, the performance associated with risk-taking activities can be isolated. One intuition of this calculation is that a portfolio engaging in “zero risk” investment, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.
Sortino Ratio Sortino Ratio The ratio S is calculated as;

S = (R-T)/DR,

where;
R is the asset or portfolio average realized return,
T is the target or required rate of return for the investment strategy under consideration (originally called the minimum acceptable return MAR),
DR is the target semi-deviation (the square root of target semi-variance), termed downside deviation.
The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. S is expressed in percentages and therefore allows for rankings in the same way as standard deviation.
PF Profit Factor PF = GP / GL

where;
GP = Gross Profits
GL = Gross Losses
This performance metric relates the amount of profit per unit of risk, with values greater than one indicating a profitable system.
Average Equity Average Equity Average of the starting and ending equity for the period. Equity Example: if the starting equity was 0 and the ending equity was $10,000 then the average equity would be $5,000.
MMFR Monthly Management Fee Rate Annual Rate / 12 Management Fee Rate Example: The user enters 2%, we would use the rate 2/12 = 0.16666....%
Management Fee Management Fee Average Equity * (Monthly Management Fee Rate / 100) Management Fee Example (using the above details): $5000 * 0.00166666 = $8.33
Adjusted Equity Adjusted Equity The actual equity in the account, adjusted for any net funding made by the client - as the MAM Master should not earn or lose fees based on the client's deposits and withdrawals, only trade PnL. Performance fee withdrawals are not taken in to account in this calculation, as the MAM Master's fees have reduced the equity for the client we don't add them back to the equity figure as the MAM Master needs to overcome the previous performance fees charged before charging new fees. Adjusted Equity Example: Client's starting adjusted equity is $10,000, actual ending equity is $20,000 and net deposits were $15,000 for the period. The adjusted equity at the end of the period would therefore be $20,000 - $10,000 - $15,000 = $5,000 which is the actual equity at the end, had the client not deposited more funds.
High Water Mark High Water Mark A historical record of the highest ending monthly equity, adjusted for client net funding. Performance fees can only be charged on any gain in Adjusted Equity over the High Water Mark. High Water Mark Example: If the Adjusted Equity 2 months ago is higher than the Adjusted Equity at any other time (including the current month), then that Adjusted Equity is the HWM.
Gain Over High Water Mark Gain Over High Water Mark The difference between the ending Adjusted Equity minus the High Water Mark. If the Adjusted Equity is higher than the existing High Water Mark, it will become the new High Water Mark and the MAM Master can charge any performance fees on the Gain Over High Water Mark. Gain Over High Water Mark Example: The existing HWM is $10,000, the ending adjusted equity for the period is $15,000. The new HWM becomes $15,000 and the performance fees can be charged on the difference ($15,000 - 10,000 = $5,000).
Performance Fee Rate Performance Fee Rate The percentage of Gain Over High Water Mark that the MAM Master is entitled to claim as a performance fee. Performance Fee Rate Example: 20% of gain over high water mark.
Performance Fee Performance Fee Gain Over High Water Mark * (Performance Fee Rate / 100) Performance Fee Example (using the above details):
$5,000 * (20 / 100) = $1,000
This Strategy is yet to be Audited.

Service Fees - Management Fee and Performance Fee is payable in arrears on the last business day of the month and will accrue daily between such dates based on the balance of the account at the end of the month. Transaction Fee - The Third Party Service Provider (Execution Broker) will charge you a transaction fee (ie. in the form of a spread margin) for the execution of trades (that is, for the purchase and disposal of financial products). The Third Party Service Provider will advise you what the transaction fee will be at the time of account opening and from time to time if any changes are made. 

Cumulative Net Return (%)

Monthly Net Returns (%)

Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
AROR
2018
0.97
0.97

AROR = Annualised Rate of Return.

The above Returns are Net of Management Fees, Performance Fees and Brokerage/Commission and have been derived from real trading data. Walker Capital have calculated the Management and Performance Fees from the trader’s live performance and subtracted these figures to produce the Net Returns. The above returns are based on actual trading data from real money accounts that trade the same strategies offered by Walker Capital under the Walker Capital Model Portfolios MDA Service. Trading results provided for the period prior to the inception of the Walker Capital Model Portfolio MDA Service are provided for information purposes only. Actual investment performance will differ based on the fees applicable, the actual investment date and third party service provider you hold your trading account with.                   These figures are yet to be Audited.

 

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