New Models

The new generation of models enables ECMan to add more return per unit of risk compared to previous strategies

  • ECMan will benefit from improved models and infrastructure developed with significant investment over the past years.

  • On the basis of the new generation of models, the re-launched company expects to return 15 - 20% of annualized to investors.

Return/Standard deviation comparison for the period 2007 - 2010:

 

New strategies add more return per unit of risk than previous strategies

In order to test the assumptions for our fundamentally based, quantitative modelling approach we have constructed a portfolio with only two EEX traded German futures as a basis. The table below shows the raw model results without any money management or risk and trade management. The addition of the trade and risk framework that ECMan has designed would increase the stability of returns and slightly improve the results, while at the same time limiting the maximum drawdown for the analyzed period to around 3.5% with a Sharpe ratio of over 1.5+.

Return Metrics for new models (raw model backtested results)

Total return from Jan 2007 – May 2012

322,81 %

Annualized return

24,15 %

Annualized standard deviation

16,09 %

% profitable months (edge)

64,62 %

Avg. gain in profitable months

2,83 %

Avg. loss in non-profitable months

- 0,96 %

Skewness returns

1,53

Kurtosis returns

2,82

Sharpe (2,21% risk free Euribor 1M)

1,43 %

   

 

Investment Fund Structure

In order not to suffer from declining returns to scale, the European Energy fund will need to softclose at around Eur 400 Mio. In order to increase the size of the funds under management the strategies utilized will be extended to any thermal driven traded energy market such as North America, Austrialia and South Korea. In addition to the well known Luxemburg (SICAV/SIF), for investments from Eur 125.000, most of our institutional clients prefer to use Managed Accounts.

 Requirement overview

 

Capital ceiling for the European strategy:

€ 500 Mio

Managed account minimum:

€ 10 Mio

Managed account maximum:

€ 80 Mio

Management fee:

2%

Incentive fee:

20%

High-water mark:

Yes

Hurdle rate:

Yes

Monthly drawdown

Yes