Our Time-Varying Volatility Regimes (TVVR) investment platform is trading twice a day (in European time) so as to limit the adverse impact of major intraday market fluctuations while at the same time benefiting from positive market moves that easily span over an intraday time horizon. Although trading a very limited number of assets, it is well diversified as it covers the major asset markets: equity markets with the S&P500, foreign exchange markets with the EUR/USD, commodity markets with Brent oil and Copper, and fixed income markets with the German Government Bund.
For the whole of 2011, the TVVR investment platform recorded an unleveraged gain of 8.02% or 16.04% for a volatility comparable to the benchmark Dow Jones CSFB Managed Futures index which was down 3.70% in 2011 (the Barclay Trader Systematic index, another relevant benchmark, lost 3.45% in 2011). Overall, in the period since February 2005 (when it started trading in its current format) through December 2011, the TVVR investment platform achieved an information ratio of 2.13, compared with only 0.53 for the comparable Dow Jones CSFB Managed Futures index used as a benchmark (and 0.70 for the Barclay Trader Systematic index).
Over that period, the daily cumulative maximum drawdown of our investment platform (unleveraged), i.e. the maximum mark-to-market loss that could have been incurred on the portfolio, has only been 5.49%!
The attached file shows the TVVR investment platform's updated performance against the Dow Jones CSFB Managed Futures index and the Barclay Trader Systematic index. Do not hesitate to contact me should you wish to access the TVVR investment platform.