W HAT A RE F UTURES S TRATEGIES ? F UTURES S TRATEGIES / M ANAGED F - - PowerPoint PPT Presentation

TULIP TREND FUND LTD. MAY 2004

PRESENTATION OVERVIEW

• TRADING ADVISOR

OVERVIEW – HISTORY - PEOPLE

• APPROACH & STRATEGY

FUTURES STRATEGIES –APPROACH

• FUND FACTS
• SUMMARY

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TRANSTREND B.V. - OVERVIEW

• BUSINESS ACTIVITIES

Exclusive focus on systemised non-traditional trading strategies across a large variety

• f global futures and forward markets, through a purely quantitative and technical

approach, based on in-depth analysis of price behaviour.

• PRODUCTS

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.

• PEOPLE

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)

• ASSETS UNDER MANAGEMENT

As of March 1, Transtrend manages almost USD 2bn (1991m) in its DTP (Diversified Trend Program). 3

TRANSTREND B.V. - HISTORY

• FOUNDED 1987

Founded as research department of a large multi-national trading group with the sole

• bjective of identifying and systematising trading strategies in combination with

sophisticated risk control techniques.

• START OF TRADING PROGRAM 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.

• MANAGEMENT BUYOUT 1993

Management Buyout on October 1, 1993

• ENTRY OF ROBECO 2002

Robeco, the investment management company owned by Rabobank, takes over a minority interest of 49% from Transtrend management. 4

TRANSTREND B.V. - MANAGEMENT

• GERARD VAN VLIET, MANAGING DIRECTOR, 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.

• HAROLD DE BOER, DIRECTOR OF RESEARCH, 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.

• JOEP VAN DEN BROEK, MANAGING DIRECTOR, 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

HEDGE FUND STYLES

RELATIVE VALUE

price anomalies between related instruments

EVENT DRIVEN

actual/anticipated

• ccurrences of

particular events

LONG/ SHORT

directional strategies involving long/short positions

TACTICAL TRADING

directional outright positions/trading

expected return expected risk

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WHAT ARE FUTURES STRATEGIES ?

• FUTURES STRATEGIES / MANAGED FUTURES / CTA’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
• SYSTEMATIC FUTURES STRATEGIES

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

WHAT MARKETS ARE USUALLY TRADED ?

• CURRENCIES
• INTEREST RATES

Money market futures and government bond futures across the yield curve

• EQUITY INDICES
• PRECIOUS METALS
• ENERGY SECTOR

Crude Oil, Heating Oil, Natural Gas, Kerosene

• TANGIBLE COMMODITIES

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

POSITIVE RETURNS DURING ECONOMIC TURMOIL

STOCK MARKET CRASH 1987

60 70 80 90 100 110 120 07/87 08/87 09/87 10/87 11/87 12/87

GULF CRISIS 1990

70 80 90 100 110 120 130 06/90 07/90 08/90 09/90 10/90

GLOBAL CRISIS 1998

75 85 95 105 115 05/98 06/98 07/98 08/98 09/98

POST TMT/INTERNET BUBBLE

40 50 60 70 80 90 100 110 120 130 2/00 5/00 8/00 11/00 2/01 5/01 8/01 11/01 2/02 5/02 8/02

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TRANSTREND B.V. – DIVERSIFIED TREND PROGRAM

• FULLY SYSTEMATIC

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.

• BROAD PORTFOLIO DIVERSIFICATION

Program is highly diversified and trades more than 230 futures/forwards markets, including more than 50 combinations/spreads/ratios of markets.

• DIVERSIFIED SECTOR WEIGHTINGS

36% Foreign Exchange 22% Interest Rates and Bonds 17% Energy 12% Equity Indices 9% Agriculturals 4% Metals

• SOPHISTICATED RISK MANAGEMENT

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.

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TULIP FACTS

• FUND STRUCTURE

Open-ended Cayman Islands Offshore Fund, structured as Limited Liability Company, subject to Cayman laws, registered with the Cayman Islands Monetary Authority (CIMA).

• BUSINESS PARTNERS / ORGANISATION

PricewaterhouseCoopers, Auditor Fimat International Banque SA, Clearing Broker Société Générale, Bank Swiss Financial Services, Administrator

• SHARE CLASSES

Class Currency Minimum Initial Investment Management Fee Liquidity Notice period Frontload 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% Monthly Monthly C USD 1,000,000 0.75% p.a. 2 days N/A D USD 50,000 2% p.a. 40 days 5% 11

WHY TRANSTREND ? WHY TULIP ?

• 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

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LEGAL DISCLAIMER

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

• r 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

• r 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