T ULIP T REND F UND L TD. M AY 2004
P RESENTATION O VERVIEW • T RADING A DVISOR O VERVIEW – H ISTORY - P EOPLE • A PPROACH & S TRATEGY F UTURES S TRATEGIES – A PPROACH • F UND F ACTS • S UMMARY 2
T RANSTREND B.V. - O VERVIEW • B USINESS A CTIVITIES Exclusive focus on systemised non-traditional trading strategies across a large variety of global futures and forward markets, through a purely quantitative and technical approach, based on in-depth analysis of price behaviour. • P RODUCTS In contrast to many peers, Transtrend focuses exclusively on one program, called DTP - Diversified Trend Program which is offered in three currencies and two different risk profiles: Standard and Enhanced (=1.5x Standard). Transtrend has closed for new managed accounts in April 2003. • P EOPLE Total number of 23 employees: 9 Research (incl. 3 IT), 6 Trading, 3 Operations, 1 Legal/Compliance, 1 Administration/HR, 1 Investor Relations, 3 Management (1 included in Research) • A SSETS U NDER M ANAGEMENT As of March 1, Transtrend manages almost USD 2bn (1991m) in its DTP (Diversified Trend Program). 3
T RANSTREND B.V. - H ISTORY • F OUNDED 1987 Founded as research department of a large multi-national trading group with the sole objective of identifying and systematising trading strategies in combination with sophisticated risk control techniques. • S TART O F T RADING P ROGRAM 1991 After four years of extensive research and six months of real time testing, the trading program becomes operational on October 1, 1991 with an initial size of USD 15m. • M ANAGEMENT B UYOUT 1993 Management Buyout on October 1, 1993 • E NTRY O F R OBECO 2002 Robeco, the investment management company owned by Rabobank, takes over a minority interest of 49% from Transtrend management. 4
T RANSTREND B.V. - M ANAGEMENT • G ERARD V AN V LIET, M ANAGING D IRECTOR, 1948 Graduated with a Master degree in business economics from Erasmus University Rotterdam in 1972. He has worked for various firms in the cash commodity sector from 1973 to 1993 and been a council member of various international trade associations in Europe and the USA and a council member of AIMA. In 1982 he joined the Nidera Group, a globally operating multinational trading group, where he became CEO in 1987. After five years of general management at the group he decided to dedicate himself full-time to TRANSTREND as its CEO since January 1992. • H AROLD D E B OER, D IRECTOR O F R ESEARCH, 1966 Graduated with a Master degree in Applied Mathematics from Universiteit Twente in 1990. In December 1989 he worked with TRANSTREND on his thesis named "Co-integration in Commodity Futures Markets". In 1990 he joined TRANSTREND as a research analyst. In 1992 he became responsible for its R&D department, as of October 1997 with the title of Assistant Director and in August 1999 Director. • J OEP V AN D EN B ROEK, M ANAGING D IRECTOR, 1969 Graduated with a Master degree in business economics from Erasmus University Rotterdam in 1995. His thesis concerned index arbitrage on the Amsterdam Stock Index (AEX). In the same year he joined TRANSTREND as a trader. In 1997 he was appointed Assistant Director responsible for TRANSTREND's trading department. In January 1999, he became Managing Director and is responsible for a.o. marketing and client relations. 5
H EDGE F UND S TYLES T ACTICAL expected return T RADING L ONG/ S HORT directional outright E VENT positions/trading D RIVEN directional R ELATIVE strategies involving V ALUE actual/anticipated long/short positions occurrences of price anomalies particular events between related instruments expected risk 6
W HAT A RE F UTURES S TRATEGIES ? • F UTURES S TRATEGIES / M ANAGED F UTURES / C TA’S Managers pursuing directional trading strategies through a systematic or discretionary approach based on fundamentals or technicals such as: • Breakouts • Pattern Recognition • Trend-Following • Contra-Trend/Reversals • Volatility Breakouts • Statistical Probabilities • Spread Relationships • S YSTEMATIC F UTURES S TRATEGIES Fully automated trading systems that attempt to exploit particular characteristics of price behaviour based on quantitative and technical analysis of market prices, volume and open interest data as well as spreads and ratios in one or more time frames. Trading systems do not forecast markets or price levels but seek to participate in a systematic, pre-defined and dynamic way in the markets based on categorized price patterns and therefore benefit from price trends in futures markets. 7
W HAT M ARKETS A RE U SUALLY T RADED ? • C URRENCIES • I NTEREST R ATES Money market futures and government bond futures across the yield curve • E QUITY I NDICES • P RECIOUS M ETALS • E NERGY S ECTOR Crude Oil, Heating Oil, Natural Gas, Kerosene • T ANGIBLE C OMMODITIES Futures on commodities such as Beans (Soybeans, Soybean Meal, Soybean Oil), Grains (Corn, Oats, Wheat), Meats (Live Cattle, Lean Hogs, Feeder Cattle), Base Metals (Copper, Zinc, Aluminium, Nickel, Lead), Fibers (Cotton, Lumber), Softs (Coffee, Cocoa, Sugar, etc.) 8
P OSITIVE R ETURNS D URING E CONOMIC T URMOIL S TOCK M ARKET C RASH 1987 G ULF C RISIS 1990 120 130 110 120 100 110 90 100 80 90 70 80 60 70 07/87 08/87 09/87 10/87 11/87 12/87 06/90 07/90 08/90 09/90 10/90 G LOBAL C RISIS 1998 P OST TMT/I NTERNET B UBBLE 130 115 120 110 105 100 90 95 80 70 85 60 50 75 40 05/98 06/98 07/98 08/98 09/98 2/00 5/00 8/00 11/00 2/01 5/01 8/01 11/01 2/02 5/02 8/02 9
T RANSTREND B.V. – D IVERSIFIED T REND P ROGRAM • F ULLY S YSTEMATIC Fully systematic medium term trend-following, based on moving averages, breakouts and pattern recognition. Three different subsystems are applied over three different time frames. The average holding period of a position ranges from four to five weeks. All systems are un-biased and may enter long or short positions. • B ROAD P ORTFOLIO D IVERSIFICATION Program is highly diversified and trades more than 230 futures/forwards markets, including more than 50 combinations/spreads/ratios of markets. • D IVERSIFIED S ECTOR W EIGHTINGS 36% Foreign Exchange 22% Interest Rates and Bonds 17% Energy 12% Equity Indices 9% Agriculturals 4% Metals • S OPHISTICATED R ISK M ANAGEMENT Implementation of sophisticated risk management techniques, employing customized VAR methodology. Correlations of markets, correlation of subsystems and volatility represent key ingredients. Stops are adjusted based on price and volatility development. 10
T ULIP F ACTS • F UND S TRUCTURE Open-ended Cayman Islands Offshore Fund, structured as Limited Liability Company, subject to Cayman laws, registered with the Cayman Islands Monetary Authority (CIMA). • B USINESS P ARTNERS / O RGANISATION PricewaterhouseCoopers, Auditor Fimat International Banque SA, Clearing Broker Société Générale, Bank Swiss Financial Services, Administrator • S HARE C LASSES Minimum Initial Notice Frontload Class Currency Management Fee Liquidity Investment period Charge A EUR 1,000,000 0.75% p.a. Monthly 2 days N/A B EUR 50,000 2% p.a. Monthly 40 days 5% C USD 1,000,000 0.75% p.a. Monthly 2 days N/A D USD 50,000 2% p.a. Monthly 40 days 5% 11
W HY T RANSTREND ? W HY T ULIP ? • TT: Strong, experienced team with an excellent track record of over 10 years • TT: Research (not sales/marketing) driven company • TT: Focus on one core strategy • TULIP: Very attractive fee structure • TULIP: High degree of transparency • TULIP: Monthly liquidity with two days notice for institutions • TULIP: Cash efficient product due to attractive leverage employed 12
L EGAL D ISCLAIMER Products contained herein are not registered for public distribution and marketing in Switzerland with the Swiss Federal Banking Commission nor in any other jurisdiction or national authority. Neither are they registered under the Federal or State Securities Laws of the United States of America and may therefore not be offered, sold or delivered to US residents or US citizens. The information contained herein is not intended to and shall not in any way constitute an invitation to invest in any of our products. This document/presentation has been furnished to you upon your request and for information purposes only. It may not be reproduced or redistributed to any other person. Neither the information nor the opinion expressed herein constitutes an offer or solicitation to buy or sell any investments. Please treat this document with the utmost confidentiality as it is intended only for the personal and confidential use of the designated recipient(s). If you are not the intended recipient of this presentation you are hereby notified that any review, dissemination, distribution or copying of this presentation is strictly prohibited. Information contained herein has been obtained from sources believed to be reliable but Progressive Capital Partners Ltd does not guarantee its accuracy or completeness. Therefore, we do not represent that this information is complete or accurate and it should not be relied upon as such. All information is subject to change without notice. Any information herein is not intended for private retail customers and should not be passed to them. Baar, May 2004
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