18, rue du March P.O. Box 3161 CH-1211 Geneva 3 Switzerland 1
A modern approach to investing.
Transparency Flexibility Adaptive Systematic
Tlphone : +41 22 317 10 20 www.delman.ch Facsimile : +41 22 317 10 31 18, rue du March P.O. Box 3161 CH-1211 Geneva 3 Switzerland 2 TEAM MESSAGE
Since the dawn of time, humans have been seeking to improve their condition: this is human nature. Over the past few decades, computer sciences have changed our way of living, working and solving problems. Simulation and artificial processing have been applied to all fields of science and quite often have superseded human brain in problem solving.
The complexity of financial modeling and the design of investment strategies embody numerous challenges, which requires innovative ideas and concepts to be understood and solved.
Delman is a financial partner that seeks talents with innovative ideas and concepts in computational intelligence applied to the specificity of market investing to design and implement sustainable and performing trading solutions.
Our team is fully committed to this vision and constantly seeks to demonstrate that understanding of the past will give us insightful clues about the present.
We hope that you will appreciate the rigorousness of our approach as well as our past, present and future results.
The Delman team.
Tlphone : +41 22 317 10 20 www.delman.ch Facsimile : +41 22 317 10 31 18, rue du March P.O. Box 3161 CH-1211 Geneva 3 Switzerland 3 FOREWORD
Delmans AlphaSystematic FX managed account mid-to-high frequency foreign exchange investment programme trades a diversified portfolio of foreign exchange instruments and trading systems applied to multiple timeframes.
Our Research and Development Team was formed with the aim of pooling knowledge and technical expertise from the fields of computational intelligence, data mining, statistical science, technical analysis, signal processing, image processing, data processing and finance with a sole purpose: develop a totally new approach to market investing.
Several years were necessary to develop our trading engine and finalize the investment solutions proposed by Delman SA.
This document details our investment objective, methodology and the financial opportunities that we propose.
If we had to summarize our actions into a few words we would say our objective is to provide sustainable returns while managing the associated risk.
So, without any further ado, let's look into the method.
Tlphone : +41 22 317 10 20 www.delman.ch Facsimile : +41 22 317 10 31 18, rue du March P.O. Box 3161 CH-1211 Geneva 3 Switzerland 4 TERMS SHEET
Strategy : Forex, Short Term, Fully Systematic Objective : 10-30% per year Leverage : 1 to 4 Liquidity : Daily Management fee : 2% Incentive fee : 20% High Water Mark Trading fee : None Manager : Delman SA Geneva, Switzerland AlphaSystematic FX Multi-Strategies Bank Custodian : Liquid Markets
This document does not constitute an offer to sell or a solicitation of an offer to subscribe to the AlphaSystematic FX programme, which can only be made by signing a management contract with Delman SA and only in compliance with and subject to limitations imposed by applicable laws and regulations applying to the ability to offer these securities to prospective investors in their relevant jurisdictions. The information and opinions contained in this document are for background purposes only and do not purport to be full or complete. Past performance is not necessarily a guide to future performance.
Tlphone : +41 22 317 10 20 www.delman.ch Facsimile : +41 22 317 10 31 18, rue du March P.O. Box 3161 CH-1211 Geneva 3 Switzerland 5 INVESTMENT OBJECTIVE AND STRATEGY
Investment Objectives
The investment objective of the AlphaSystematic FX programme is to seek stable capital gain by trading a diversified portfolio of foreign exchange instruments. The investment strategy is designed to provide returns superior to those achieved by assets such as shares, cash, fixed interest and property, while reducing the overall risk of your total portfolio. Moreover, this is to be achieved with no correlation to either stock indexes or any other benchmark. The trading strategies are mid-to-high frequency, fully systematic, trade 24 hours, and are based on advanced computational intelligence algorithms resulting from 10 years of active research and development.
Investment Strategy
There are numerous foreign exchange markets around the world. Those markets are large, liquid and well diversified, allowing our automated trading robots to seek and identify short and medium term opportunities to make profits while minimizing risk. These profit opportunities are available in falling as well as in rising markets.
Tlphone : +41 22 317 10 20 www.delman.ch Facsimile : +41 22 317 10 31 18, rue du March P.O. Box 3161 CH-1211 Geneva 3 Switzerland 6 TRADING & RESEARCH METHODOLOGY
Delman SA is organized with a Research and Development Team formed with the aim of pooling knowledge and technical expertise from the fields of computational intelligence, data mining, statistical science, technical analysis, signal processing, image processing, data processing and finance with a sole purpose: develop a totally new approach to market investing.
To elaborate on the AlphaSystematic FX programme, Delmans investment managers and partners have developed a sophisticated modeling and trading framework over the last ten years. This framework allows comprehensive simulation and real trading implementation of the portfolio strategy.
The trading strategies used are technical in nature and ignores news, weather, politics and other fundamental factors except as they are reflected in the markets. The trading methodology is dynamic, auto-adaptive to varying market conditions and fully mechanical.
The multi-portfolio strategies of the AlphaSystematic FX programme use a combination of markets/systems which varies according to market conditions such as volatility, price stability and fractal/scaling characteristics. The quantitative measures of the diverse market characteristics are estimated using proprietary methods and algorithms. The global strategy is based on pools of systems and covers a wide diversified set of trading logic, have different philosophies and are complementary. The trading systems are applied to a diversified portfolio of foreign exchange pairs.
By allowing a dynamic selection of markets/systems combinations adapting to varying market conditions the AlphaSystematic FX programme is designed to work under trending and/or trading range market conditions. To reduce the risk of investing, several levels of diversification have been applied to the overall design:
Per market Per geographic zones Per time horizons Per types of trading systems (set of rules used to enter and exit the markets) Per analytical methods (set of algorithms used to create the trading systems)
Our experience with some very successful trading systems has led us to believe that our novel decision paradigm based on the most recent artificial intelligence techniques defines a new approach to market investing with new expectations in term of profitability and risk control.
Tlphone : +41 22 317 10 20 www.delman.ch Facsimile : +41 22 317 10 31 18, rue du March P.O. Box 3161 CH-1211 Geneva 3 Switzerland 7 SUMMARY
Fully automated modeling process using advanced computational intelligence algorithms
Fully automated decision and trading process: no discretionary trading
Adaptive to changing market conditions, trade 24 hours except on weekends
Possibilities to adjust your own risk return profile by adjusting your own leverage on the capital you choose to invest
Possibilities to stop trading in a few minutes when requested: daily liquidity
Investment objectives:
Seek stable capital gains by trading a diversified portfolio of forex pairs trading multiple strategies on multiple timeframes. The strategy is a mixed of mid and high frequency trading systems. Low correlation with traditional markets, stock indexes and classical benchmarks. Higher returns over long term period and attractive risk return ratio. Positive returns in declining or rising markets. Alternative investment accessible to individuals.
Risk control:
Diversified Portfolio: Market diversifications: o Major forex pairs Diversified Approach: Multi systems: o A pool of several uncorrelated trading systems is traded for each forex pair (about 10 trading systems per pair). Trading style, a mixed approach: o Advanced non-linear market modeling determining short-term market direction (from 15 to 60 trades per day). o Highly non linear trading agents grouped into trading decision pools. Multiple time-frames: o Each trading system trades its own timeframe and adapts its trading speed to underlying market dynamic. System filters: o Historical risk profile o Underlying market dynamic o Risk constraints Adapt to changing market conditions: o Dynamic timeframe construction adapting to current market volatility o Dynamic allocation using trading systems consensus
Tlphone : +41 22 317 10 20 www.delman.ch Facsimile : +41 22 317 10 31 18, rue du March P.O. Box 3161 CH-1211 Geneva 3 Switzerland 8 SUMMARY
Transparency:
Monthly reports sent to clients. Daily and weekly estimated returns available on request.
Research methodology:
Robust systematic modeling process: same research methodology applied to all markets traded. Automated non linear market modeling using advanced proprietary computational intelligence tools. Automated trading strategies generation procedures using innovative machine learning algorithms (10 years of research and development). Robust trading systems based on multiple trading agents aggregation and voting procedures. Extensive back testing. Non fitted parameters. Each market has its own pool of trading systems matching its particular dynamic. Stable automated allocation process using trading systems consensus. All trading systems are adaptive to changing market conditions. Own proprietary modeling platform. Own proprietary trading platform interfacing with the industry standard trading framework.