Contents · 7) Company Profile and Main Activity Investment Capital Advisors LLC is built by a...

Contents

General Information ............................................................................................. 1

Company Profile and Main Activity ........................................................................... 1

Key Personnel ....................................................................................................... 2

Investment Professionals in the firm; years of experience, and their duties ............ 2

Outsourced Professional Services .............................................................................. 2

Investment Program ............................................................................................. 4

Investment Managers, Addresses, and Regulators ................................................... 4

Investment Program .................................................................................................. 4

Account Opening Procedure ..................................................................................... 5

Trading Strategy ................................................................................................... 6

Description of the Investment Strategy .................................................................... 6

Trading System .......................................................................................................... 6

Strategy Strengths ..................................................................................................... 7

Strategy Weaknesses................................................................................................. 7

Risk and Trade Management ................................................................................. 8

Types of risks measured ............................................................................................ 8

Risk Management Applications ................................................................................. 9

Stress Testing ............................................................................................................. 9

Trading Parameters ................................................................................................. 10

Risk Management Model and Style ........................................................................ 10

Live Performance and Reporting .......................................................................... 11

Performance Recording ........................................................................................... 11

Performance Statistics (Return%, SD, Sharp Ratio, Leverage, DD) ......................... 12

MPT Statistics (Alfa, Beta, R2, Corr. SD, Volatility) .................................................. 12

Compounded performance curve against Benchmarks .......................................... 13

Leverage analysis / all trades .................................................................................. 15

Trade Distribution / Pairs ....................................................................................... 16

Profit/Loss % Distribution / pairs ............................................................................ 17

Performance during crisis ........................................................................................ 18

A $10,000 investment in February 2009 would have a value of $35,784 in December. 2009.

Investment Capital Advisors L.L.C. [email protected], www.icatrading.com

ICA Due Diligence Questionnaire

March 2016

http://www.icatrading.com/

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There is a significant risk involved in Foreign Exchange trading. The presented results are provided by ICA and therefore ICA is solely responsible for them. Past performance of a strategy is neither a guarantee nor indication of current or future positive results.

© Investment Capital Advisors L.L.C. All rights reserved

General Information

1) Company Name

Investment Capital Advisors LLC

2) Foundation Date

27/01/2009

3) Address

Lebanon Office:

George Al Kareh Bldg., Mar Mikhael Street Blvd.

Baabda, Lebanon.

P.O. BOX: 40-196 Baabda, Lebanon

Switzerland Office:

Schützengasse 4

8001 Zürich

4) Telephone, Fax, Email, Website, Skype

Tel. +961 3 163503 Tel: +41 43 497 35 50

[email protected] , W. www.icatrading.com , Skype: mzgharib

5) Number of employees

5 employees, in addition to a lawyer and an accountant

6) Emergency contact (name of person, mobile, skype, email)

Mohamad Gharib, T: +9613163503, E. [email protected]

7) Company Profile and Main Activity

Investment Capital Advisors LLC is built by a group of traders, financial analysts, and programmers. ICA is

registered at the “commercial register” in Baabda, under No.2015068, and at” Lebanese Republic Ministry of

Finance” under No.1905239.

ICA is presented in Switzerland by Bellevue Capital GmbH, Bellevue Capital is our Investment Manager

company which registered at the “commercial register“ in Zurich, under No. CHE-461.028.774.

Bellevue Capital GmbH is regulated by PolyReg which is under FINMA supervision.

Investment Capital Advisors LLC has three departments:

a. Economical Laboratory Department: is an experimental economical laboratory which aims to develop ideal

trading systems and risk management models; by conducting researches and experimental methodologies which

is concerned with the transfer of experimental results to the design of ideal Trading Strategy.

The Laboratory has developed Trading System, Market and Operational Risk Management Models, and Stress

Testing Model with their applications.

b. Trading Department: is a team of Traders, Analysts, Risk Managers, whose aim is to execute the ICA

Trading Strategy, the Trading Department works in conjunction with outsourced asset management companies,

who act as external chief investment officers.

c. Risk Management Department: We give the risk managers the authority to make decisions, full control of

trading operations, and a superior power over portfolio management than the traders and managers themselves.

Our risk managers have responsibility for identifying all risk aspects, ensuring that the required practices and

systems are in place to identify, monitor and manage risk.


mailto:[email protected]


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Key Personnel

8) Investment Professionals in the firm; years of experience, and their duties

Mohamad Gharib, CTO. As a Chief Trading Officer, Mohamad’s duties are to

execute the Trading Strategy; by making sure that the mechanical trading system

and the automated risk management models are executed properly. Mohamad is

also the head of the ICA Economical Laboratory, and the developer of the ICA

trading system, Market and Operational Risk Management Models, in addition to the

Stress Testing Methodology. Mohamad has 12 years of experience in trading and

portfolio management. Mohamad holds a Bachelor degree in Banking

and Finance along with accredited certifications and international designations.

Sebastian Seiler, MD. As a Mananging Director, Sebastian’s duties are to formulate

short and long term investment policies, and construct individually customized

portfolios based on client criteria: tolerance for risk, investment time horizon, target

rate of return, and liquidity. Sebastian holds a Master degree in Financial Planning

CFP (Certfified Financial Planner)

Naoya Kubota, MD. As a Mananging Director, Naoya’s duties are to develop and

maintain an effective marketing and public relations strategy to promote the products,

services and image of the company in the wider cummunicty, Naoya is also

representing the company in negotiations with customers and other key contacts to

secure the most effective contract terms for the company.

Abed El Aziz Wahidi, CMA. As a Chief Market Analyst, Abed’s duties are to study

the market charts identifying the existing of our tradable pattern. Abed is also

responsible for determining the trigger and price projection of each trade. Abed has 7

years of experience in trading and analysis. Abed holds a Bachelor degree in civil

engineering.

Hussein Al-Moussawi, CRO. As a Chief Risk Officer, Hussein’s duties are to identify, monitor, and measure the risk of the portfolio. Hussein is also responsible for executing the automated risk and trade management software which controls trades' risk and leverage; it also sets the optimal stop loss with the allowed leverage automatically. Hussein holds a Master Degree in computer sciences.

Hassan Daoud, IT. As an IT Hasan’s duties are to develop, enhance, modify and

maintain ICA applications as well as individual components in a heterogeneous

technology environment using knowledge of object-oriented programming and

programming languages. Hasan holds a TS degree in Management Information

System (MIS).

Mona Omeiry, CCO. As a Chief Compliance Officer, Mona’s duties are to oversee

and manage compliance issues; to ensure that the company is complying with

regulatory requirements as well as to ensure that the company’s internal policies and

procedures are being followed. Mona holds a law license, and is a member of bar

association

9) Auditor of the company

Delta Group is a Sworn Auditor at the Lebanese Juridical Courts, and a member

of the Lebanese Association of Certified Public Accountants. Delta Group acts

as an external auditor of Investment Capital Advisors LLC.

10) Outsourced Professional Services


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Investment Capital Advisors LLC has built strong relationships with Swiss Regulated Asset Managers who share

the responsibility on investment process with ICA.

Our Asset Managers Partners acts as an outsourced chief investment officers; their role includes:

a. Integrated Monitoring and Advising

Oversee and advise multidisciplinary and multifunctional team of professionals who are responsible on

designing, developing and managing investment strategy, to create superior investment return for clients.

b. Customized Portfolio Solution

Formulate short and long term investment policies, and construct individually customized portfolios based on

client criteria: tolerance for risk, investment time horizon, target rate of return, and liquidity.

c. Ongoing Relationship

Develop and maintain ongoing professional relationships between investors and money manager, this is

accomplished by staying in consistent contact with the investors and money managers, to make sure that

investors are never surprised by anything in their portfolios.

d. Money Manager Due Diligence

Due diligence is processed by conducting qualitative and quantitative analyses of money manager, which may

include: manager interviews, documentation reviews, evaluating the methodology, adherence to stated

methodology, past performance, performance among peers, and performance relative to assumed risk such as

the Sharpe ratio, Alpha, Beta, and Standard Deviation.

e. Performance Reporting and Analysis

Provide customized performance reports to our clients on a monthly basis, and measuring the performance on a

risk-adjusted basis along with the general theoretical underpinnings of Modern Portfolio Theory.


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Investment Program 11) Investment Managers, Addresses, and Regulators

ICA Trading Strategy is offered to Investors by the following regulated asset management companies:

Investment Manager Address Regulator

Bellevue Capital GmbH Schützengasse 4

8001 Zürich

Switzerland Tel. +41 43 497 35 50

PolyReg Allgemeiner Selbstregulierungs-

Verein, Florastrasse 44, CH - 8008 Zürich,

T +41-43-4885280, F +41-43-4998056,

[email protected], www.polyreg.ch

12) Banks / Prime Broker

Swiss Quote Bank SA (Switzerland, Dubai)

CFH (UK)

Aura FX (NZ)

13) Program Name, and Type

ICA Managed Account Program

14) AUM

12 Million US Dollar

15) Trading Markets

Investing 80% in FX Market, and 20% in Commodity Market (Oil, Gold)

16) Account Ownership

Investors own the accounts, and the accounts are opened under their names with bank or broker.

The investment manager has only a limited power of attorney on investors' accounts.

17) Trading Transparency

Investors have 24 hours, seven days a week direct access to their accounts.

18) Liquidity

Investors can withdraw their amounts instantly, without the need to give any notice to the investment manager.

19) Fees

0.16% Monthly Management Fee (2% Annual), and 25% Monthly Performance Fee.

No Subscription or Redemption fee

20) Hurdle rate / High Watermark

High Watermark

21) Minimum amount to invest

$100,000

Investors are required to put only 50% of their Investment amount into the Margin Account.

22) Leverage set by bank/broker on the client account

We ask the bank/broker to set up the clients' accounts at maximum 1:5, 1:10 Leverage Maximum.


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23) Lock-up period

None

24) Capacity to manage, why?

We are trading in FX market, the biggest liquid market in the world, so our capacity is virtually unlimited

25) Account Opening Procedure

In order to invest in our Trading Strategy you have to go through the following 3 steps:

Step one: Disclosure Documents, Risk Assessment & Suitability -Request a copy of the disclosure documents; Read them carefully before you invest. -Fill out the prospective Investor Questionnaire; it would help us to identify your goals, and to evaluate your risk tolerance level. Step Two: Bank or Brokerage Account Opening At this step you would be asked to open an account under your name with one of our recommended banks and brokerage firms; where all cash and open positions are held. In order to open this margin account, you would need to: -Complete the bank application forms. Contact us for more information.

-Provide the bank a copy of your passport or ID, and a proof of residence.

Once the bank approves your application, you can fund your own account with the bank. Step Three: Limited Power of Attorney & Management Agreement -Fill out client profile application, and provide us with a copy of your Passport or ID.

-Sign the Limited Power of Attorney (LPOA) which the bank will receive a copy of it.

-Sign the Management Agreement.


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Trading Strategy 26) Description of the Investment Strategy

ICA strategy is a combination of sophisticated Automated Risk Management Model (represent 50% of the

strategy), Automated Trade Management Model (represent 25% of the strategy), and High Probability

Mechanical Trading System (represent 25% of the strategy).

Aside to our automated market risk Management we manage operational risk with our "two-boss" matrix

management organization structure which represents a solution for team-based discipline trading.

Our strategy is characterized by High Sharp Ratio 1.69, Alpha 6.5% with High Reward/Risk 3. The Trading

system is a combination of 2 simple patterns drawn on the daily chart. We play swings targeting 80 - 400 pips

each. Scaling out when market goes against us and pyramiding when market goes in our favour.

27) Systematic / Discretionary strategy

The Strategy is:

75% systematic (automated risk and trade management)

25% discretionary (Mechanical Trading System with the same pattern setup executed repeatedly)

28) Trading System

Our Trading System represents 25% of our Trading Strategy.

The system is Mechanical with the same pattern setup executed repeatedly; it has 2 components:

a.Technical Pattern

We trade only one simple pattern, this pattern has been developed by our Team, and been traded since 2006.

It is a combination of 2 classical patterns; Micro pattern inside a Macro pattern.

This pattern is drawn on Daily and 4 hours charts

b. Behavior Pattern

Shake Out, and Proactive; these are the 2 behavior patterns which we have developed, and they serve as a

trigger, for our Technical pattern

29) Trading Style (Scalping, Day, Swing, Position or Long Term Trading)

Swing, each swing may take between 2 hours till 14 days, targeting between 80 pips to 400 pips at each trade.

Scaling Out when market goes against us, and pyramiding when it goes in our favor.


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30) Number of Trades

Our Trading system provides us between 8 to 16 tradable signals in a month (96 to 192 signals per year); each

signal may produce up to 5 partial trades due scaling out and averaging up the open positions.

Our records show that we have performed on average: 73 trades per month, and 877 trades per year.

31) Trading Volume

Our trading system has leveraged the deposits on average 300 Times monthly

A $100,000 deposit would produce on average $30 million monthly volumes.

32) Focus versus Diversification

We only trade one Strategy within one Trading System. We are concentrated on one thing at a time.

We focus on getting the maximum benefit of one Trading System rather than divide our efforts over several

systems.

But we diversify within the same Trading System, by trading the system in different currency pairs, and markets.

33) Strategy Strengths

1-We target between 80 to 400 pips per trade, which minimize the effect of the broker cost (spread or

commission)

2-We target minimum 1:3 Risk/Reward asymmetry, that if we lost 2 trades and won one, we are still at profit.

3-We don't count on Market Timing, or Market prediction, where our trading system only represents 25% of the

whole trading Strategy; whereas Risk and Trade management represents the other 75%.

Making from our strategy valid all the time

4-Our Strategy works in both Trending and Range Bound Markets.

5-Our institutional management with our Operational Risk Management Model which is based on " two-boss"

matrix management organization structure represents a solution for team-based discipline trading.

6-Strong Risk Management, with our two levels of risk controlling, represented by our Chief Risk Officer, and our

own developed ICA Automated Risk Management System.

34) Strategy Weaknesses

1-The strategy wouldn't perform well in illiquid markets.

2-The strategy can only be executed with brokers with MT4 platform. As our Automated Risk and Trade

Management currently only support MT4.


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Risk and Trade Management

35) Types of risks measured

We manage two types of risk: Market and Operational Risk.

a. Market Risk Management Model: Our Market Risk Management Model adopts a Down-Top approach. Risk Management components: Downside Limit, Reward/Risk, Sensitivity Analysis, Scenario Analysis, Correlation Analysis, Monitoring Positions, Leverage Risk, Volatility Risk, Event Risk, Peak to Trough Draw Down Analysis, Stress Testing, and contingency plans. Our Risk Management Model adopts an anti-martingale approach, in managing the pre-trade and intra-trade risk. It is scaling out in the falling markets and averaging up in the rising market. We compound the profit by implementing a developed formula representing a combination between “Compound and Flat ratio”; serving in optimizing the profit and minimizing the risk.

b. Operational Risk Management Model: Our Operational Risk Management Model adopts a Top-Down approach. Risk Management components: Data management, Execution error, employee errors, system error, process tracking, behavior monitoring, performance monitoring, unauthorized activities, business interruption, Key man, Rogue Trader, Infrastructure risk, stress testing, contingency plans. We believe that the operational risk can match or even exceed the market risk.


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36) Risk Management Applications

We have built two platforms with sophisticated tools providing real-time risk identifying, assessing, mitigating,

controlling, monitoring, and reporting.

a. Market Risk Management: ICA has developed an Automated Market Risk Management Platform, which contains sophisticated tools and calculators serve in determining the optimal risk allocation per trade, optimal leverage, optimal scale out or average up formula, serving in optimizing the Reward/Risk asymmetry. The platform controls automatically the following:

1- risk 2- leverage 3- profit 4- scaling out losing positions 5- averaging up profitable positions 6- rebuilding and recovering losing positions 7- Trailing stoploss 8- Margin

b. Operational Risk Management: ICA has developed an Online Trading Room, which is a functionally centralized web-based platform, helps in improving the operational efficiency. The platform represents an application for our "two-boss" matrix management organization structure. It represents a solution for team-based discipline trading. This centralized platform provides the team members with accesses to our sub platforms for processing and tracking matrix information and methodologies at any time, from any location.

37) Stress Testing

We stress testing our strategy in order to identify worse peak-to-trough drawdown scenario, and to evaluate the

probability its happening. In addition to avoid curve-fitting analysis.

Stress testing our strategy helps us also to determine the proper risk parameters for our strategy.

ICA has developed its own Monte Carlo Simulator software which can be used for analyzing the performance

that a trading system or a model is capable of producing, by incorporating trading data in a sequence of Pseudo-

random by using acceptance-rejection method based on probability distribution function; Than to calculate the

result to produce a trading scenario or simulation, this stochastic simulation is repeated over and over, each time

using a different set of pseudo-random values, producing thousands of potential scenarios; to account for the

uncertainty and performance variation that is always present in trading in the financial markets.


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38) Trading Parameters

Conservative Strategy

Risk per trade: 0.5%

Max risk on all open positions: 1%

Max negative month should not exceed: -5%

Max Peak to Trough Draw Down: 9%

Leverage per trade: X1 – X2

Leverage on all open positions: X3 – X6

Expected monthly net return: +3.3%, Annual target net profit: +50%

Aggressive Strategy

Risk per trade: 1%

Max risk on all open positions: 2.7%

Max negative month should not exceed: -10%

Max Peak to Trough Draw Down: 17%

Leverage per trade: X2 - X4

Leverage on all open positions: X6 - X12

Expected monthly net return: +6.6%, Annual target net profit: +100%

39) Rules implied to beware reaching maximum drawdown

Risk is monitored and controlled by our Chief Risk Officers, with the help of our Automated Risk Management

software, which is set up on an independent VPS server on the managed accounts.

Our Chief Risk Officers will access to the clients' accounts, and practice real-time exposure monitoring on all the

portfolio accounts with different brokers; maintaining an ongoing 24/7 live monitoring and assessment of each

client portfolio with multiple limit tracking.

40) Stoploss placement

The stoploss is calculated and placed automatically based on the weighted average of all the open positions of

the same trade type; therefore all open positions with the same trade type would have the same stoploss, and

the weighted loss would be at -1.4% at the stoploss price.

41) Trailing Stoploss

We don't trail stoploss, but our system adjust stoploss automatically once we average up in the profitable

markets to keep the risk limit at -1.4%

42) Trading based on Equity/Balance

Leverage calculation is based on Equity.

Risk percentages calculations are based on Balance.

43) Martingale / Anti martingale

Our Risk Management Model adopts an anti-martingale approach

44) Average Down / Average up

We don't average down or adding positions to the losing positions. Our Automated Risk Manager would close any added lot when positions are at losses. On the other hand, we Scale Out and close part of the open positions, when market start going against us.

45) Hedging

We don't hedge or offest risk using Derivatives and Options.

We don't even buy and sell the same instrument at the same time " offset positions".

46) Has the managed account discontinued or new applications suspended since the start of this fund?

To protect the equity against adverse market conditions the manager took the action to close trading twice since

2010. From July-2008 till Jan-2009, and From Mar-2010 till Oct-2010.

The first was due a DrawDown in June-2008 and the second was in part due to the purchase of the broker the

accounts were owned by another broker.


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Live Performance and Reporting

47) Responsibility of performance reporting and analysis

Our outsourced chief investment officers CIO are responsible on providing customized performance reports to

our clients on a monthly basis, and measuring the performance on a risk-adjusted basis along with the general

theoretical underpinnings of Modern Portfolio Theory.

We have been given certificates and confirmation letters regarding our trading performance from the following

brokers or asset management companies:

Capital Market Services LLC, Seneca Invest AG, ACT Currency Partners AG, Cornhill Capital ltd, Ashalon

Capital LLC, and Fienex Group, Falcon Investment Management Ltd.

48) Audited Performance

Our performance has been audited in March 2016, by Delta Group for Accounting and Auditing

49) Performance Recording

November 2007 – January 2010 Capital Market Services (USA) LLC

November 2010 – October 2011 Interactive Brokers (U.K.) LLC

November 2011 – July 2012 Saxo Bank (SCHWEIZ) AG

July 2012 – April 2013 CitiFX Pro (Citibank, UK)

May 2013 – June 2014 Fienex Group (FXCBS, UAE) Ltd.

July 2014 – March 2016 Aura FX (NZD) Ltd.

50) Gross Performance (before deducting performance and management fee)

51) Net Performance after deducting performance fee (25%) and management fee (2%)

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD %

2007 26.92 7.75 36.75%

2008 35.05 10.26 2.73 -2.99 32.01 -20.76 -0.16 -0.16 -0.16 -0.16 -0.16 -0.16 53.74%

2009 -0.16 29.55 14.02 1.59 11.27 -1.19 4.08 7.54 9.11 36.53 18.44 0.26 226.11%

2010 -12.56 -0.16 -0.16 -0.16 -0.16 -0.16 -0.16 -0.16 -0.16 -0.16 -0.48 18.07 1.28%

2011 2.51 -3.08 9.52 -5.15 18.07 -5.20 7.78 -5.53 2.34 8.90 -0.16 7.49 40.68%

2012 12.56 -4.57 -12.83 6.35 23.99 2.07 -18.80 1.61 5.70 -19.33 23.26 14.08 24.68%

2013 6.73 -6.81 33.51 -9.48 0.57 11.16 3.95 4.22 -8.40 11.50 19.43 15.31 104.74%

2014 -20.35 1.49 31.62 -2.63 -0.04 6.75 -1.96 2.93 -5.24 14.24 27.19 -17.96 26.02%

2015 214.58 -12.34 32.83 8.52 0.22 -19.57 -1.35 -0.16 -0.16 1.05 6.75 7.76 266.22%

2016 27.13 9.03 7.56 49.08%

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD %

2007 36.05 10.49 50.32%

2008 46.90 13.83 3.80 -2.83 41.43 -20.60 0.00 0.00 0.00 0.00 0.00 0.00 89.40%

2009 0.00 30.18 18.85 2.28 15.19 -1.03 5.18 10.21 12.31 48.86 24.74 0.50 338.32%

2010 -12.40 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 -0.32 18.64 3.60%

2011 3.51 -2.92 11.71 -4.99 22.15 -5.04 8.65 -5.37 2.50 10.80 0.00 10.09 59.04%

2012 16.91 -4.41 -12.67 6.51 27.27 2.92 -18.64 1.77 5.86 -19.17 23.42 14.24 36.01%

2013 8.74 -6.65 41.63 -9.32 0.73 11.70 5.42 5.78 -8.24 12.36 26.06 20.57 156.33%

2014 -20.19 1.65 33.79 -2.47 0.12 8.20 -1.80 3.39 -5.08 17.10 36.41 -17.80 45.12%

2015 264.46 -12.18 38.25 11.52 0.45 -19.41 -1.19 0.00 0.00 1.21 6.91 7.92 360.91%

2016 32.76 12.20 10.24 64.21%


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52) Monthly VaR at 95% Confidence Level (Historical)

-18.76%, which means that there is only a 5% chance that the portfolio will drop more than -18.76% over any

given month.

53) Frequently VaR limit hit, and Recovery Time

We hit this limit (-16.71%) 3 times:

Period Loss% Recovery Time

Jun-2008 -20.76 1 month

Jul-2012 -18.8 6 months

Oct-2012 -19.33 2 months

Jan-2014 -20.35 2 months

We have minimized our strategy risk profile, since April 2014.

54) Performance Statistics (Return%, SD, Sharp Ratio, Leverage, DD)

Average Annual Return: +82.93%

Annual Volatility (σ): 92.77%

Average Monthly Return: +8.52%

Monthly Standard Deviation: 26.78% Compounded Return: +17056.01%

Sharp Ratio: 1.09 Total Executed Trades: 11,066 Average Leverage per trade: 1.53 Worst Peak-to-Valley Drawdown: -29.65% Positive Months Percentage: 69.51%

55) MPT Statistics (Alfa, Beta, R2, Corr. SD, Volatility)

Benchmark Index Alfa (α) Beta (β) R-SQUARED (R2) Correlation

S&P500 6.31% -0.1% 0.1% -3.18%

BARCLAYHEDGE'S BTOP FX 6.16% -0.31 0.09% -2.92%

MSCI EUROPE FX HEDGE -USD 6.03% -0.21 0.11% -3.34%


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56) Monthly performance / Average Leverage

57) Compounded performance curve against Benchmarks

Monthly %

Leverage

26.92 7.75

6.8 7.6

35.05 10.26 2.73 -2.99 32.01 -20.76 -0.16 -0.16 -0.16 -0.16 -0.16 -0.16

2.5 5.4 7.7 24.8 12.4 15.0

-0.16 29.55 14.02 1.59 11.27 -1.19 4.08 7.54 9.11 36.53 18.44 0.26

3.8 2.3 1.4 1.6 3.1 2.5 3.1 5.0 3.9 5.1 3.5

-12.56 -0.16 -0.16 -0.16 -0.16 -0.16 -0.16 -0.16 -0.16 -0.16 -0.48 18.07

3.0 5.1 3.1

2.51 -3.08 9.52 -5.15 18.07 -5.20 7.78 -5.53 2.34 8.90 -0.16 7.49

2.4 2.9 3.7 2.6 2.6 2.1 3.7 4.2 9.3 3.7 3.7

12.56 -4.57 -12.83 6.35 23.99 2.07 -18.80 1.61 5.70 -19.33 23.26 14.08

6.8 9.1 6.0 8.2 3.7 10.9 58.5 5.0 3.9 2.8 15.8 3.0

6.73 -6.81 33.51

2.0 4.1 2.9

2007

2008

2010

2009

2013

2011

2012

32.79%

24.68%

40.68%

1.28%

226.11%

53.74%

36.75%

YTD %DecNovOctSepAugJulJunMayAprMarFebJan

167.90%

109.91%

583.85%

488.08%

999.59%

814.70%

1131.18%

766.16%

1363.97% 1523.97%

2393.53%

1886.02%

2656.61

-500.00

0.00

500.00

1000.00

1500.00

2000.00

2500.00

3000.00

No

v-0

7

Feb

-08

May

-08

Au

g-0

8

No

v-0

8

Feb

-09

May

-09

Au

g-0

9

No

v-0

9

Feb

-10

May

-10

Au

g-1

0

No

v-1

0

Feb

-11

May

-11

Au

g-1

1

No

v-1

1

Feb

-12

May

-12

Au

g-1

2

No

v-1

2

Feb

-13

May

-13

Au

g-1

3

No

v-1

3

Feb

-14

May

-14

ICA Monthly Return%

ICA Compounded Return%

MSCI EUROPE FX HEDGE -USD- INDEX

S&P 500 INDEX

BARCLAYHEDGE'S BTOP FX INDEX


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58) Pips analysis / all trades

0.00

-600.00

-400.00

-200.00

0.00

200.00

400.00

600.00

800.00

1000.001

96

19

12

86

38

14

76

57

16

66

76

18

56

95

11

04

61

14

11

23

61

33

11

42

61

52

11

61

61

71

11

80

61

90

11

99

62

09

12

18

62

28

12

37

62

47

12

56

62

66

12

75

62

85

12

94

63

04

13

13

63

23

13

32

63

42

1

PIPS

PIPS


15


March 2016




59) Leverage analysis / all trades

60) Profit/Loss % / All Trades

0.0000

2.0000

4.0000

6.0000

8.0000

10.0000

12.0000

14.0000

16.0000

18.00001

96

19

12

86

38

14

76

57

16

66

76

18

56

95

11

04

61

14

11

23

61

33

11

42

61

52

11

61

61

71

11

80

61

90

11

99

62

09

12

18

62

28

12

37

62

47

12

56

62

66

12

75

62

85

12

94

63

04

13

13

63

23

13

32

63

42

1

Leverage

Leverage

-15.00000

-10.00000

-5.00000

0.00000

5.00000

10.00000

15.00000

1

10

2

20

3

30

4

40

5

50

6

60

7

70

8

80

9

91

0

10

11

11

12

12

13

13

14

14

15

15

16

16

17

17

18

18

19

19

20

20

21

21

22

22

23

23

24

24

25

25

26

26

27

27

28

28

29

29

30

30

31

31

32

32

33

33

34

34

35

P/L %

P/L %


16


March 2016




61) Cumulative Profit/Loss %

62) Trade Distribution / Pairs

Instrument %

XAGJPY 0.06%

EURNZD 0.09%

AUDCHF 0.09%

NZDCAD 0.09%

EURCHF 0.12%

NZDCHF 0.12%

GBPAUD 0.15%

AUDCAD 0.27%

US Crude Oil 0.41%

CHFJPY 0.44%

EURAUD 0.80%

EURCAD 0.86%

GBPCAD 1.01%

Cash FX Translation 1.24%

AUDNZD 1.27%

CADCHF 2.25%

NZDJPY 2.37%

GBPCHF 2.46%

AUDJPY 3.05%

USDCHF 3.20%

GOLD 4.47%

GBPJPY 4.59%

EURGBP 4.74%

AUDUSD 5.54%

EURUSD 5.66%

EURJPY 6.10%

NZDUSD 7.40%

CADJPY 8.11%

USDCAD 8.53%

USDJPY 10.25%

GBPUSD 14.27%

-50.0000

0.0000

50.0000

100.0000

150.0000

200.0000

250.0000

300.0000

350.0000

400.0000

450.00001

99

19

72

95

39

34

91

58

96

87

78

58

83

98

11

07

91

17

71

27

51

37

31

47

11

56

91

66

71

76

51

86

31

96

12

05

92

15

72

25

52

35

32

45

12

54

92

64

72

74

52

84

32

94

13

03

93

13

73

23

53

33

33

43

1

Cumulative

Cumulative

CADCHF 2%

NZDJPY 2% GBPCHF

2% AUDJPY

3% USDCHF 3%

GOLD 4% GBPJPY

5% EURGBP

5% AUDUSD

6%

EURUSD 6%

EURJPY 6%

NZDUSD 7%

CADJPY 8%

USDCAD 9%

USDJPY 10%

GBPUSD 14%


17


March 2016




63) Profit/Loss % Distribution / pairs

Instrument Loss% Distribution

EURUSD -31.84%

AUDUSD -29.98%

NZDJPY -11.70%

GBPCHF -8.76%

AUDCAD -4.33%

CADCHF -3.42%

AUDCHF -3.31%

EURGBP -2.52%

EURNZD -2.16%

NZDCHF -1.09%

XAGJPY -0.64%

NZDCAD -0.23%

Instrument Profit% Distribution

EURCAD 0.16%

GBPAUD 0.41%

USDCAD 0.53%

EURAUD 0.96%

CHFJPY 1.38%

AUDNZD 1.41%

GBPJPY 1.52%

NZDUSD 1.63%

US Crude Oil 1.64%

GBPCAD 2.40%

AUDJPY 2.68%

EURCHF 4.59%

GOLD 4.94%

CADJPY 6.50%

USDJPY 6.66%

Cash FX Translation 8.33%

USDCHF 12.43%

EURJPY 13.47%

GBPUSD 28.36%

EURUSD -32%

AUDUSD -30%

NZDJPY -12%

GBPCHF -9%

AUDCAD -4%

CADCHF -3%

AUDCHF -3%

EURGBP -3% EURNZD

-2%

NZDCHF -1%

XAGJPY -1%

EURAUD 1%

CHFJPY 1%

AUDNZD 1%

GBPJPY 2%

NZDUSD 2%

US Crude

Oil 2%

GBPCAD 2%

AUDJPY 3%

EURCHF 5%

GOLD 5%

CADJPY 7%

USDJPY 7%

Cash FX Translation

8%

USDCHF 12%

EURJPY 13%

GBPUSD 28%


18


March 2016




64) Performance during crisis

Period Performance Event

Jan-2008 +35.1% Global stock markets, including London's FTSE 100 index, suffer

their biggest falls since 11 September 2001.

Apr-2008 -3% International Monetary Fund (IMF) warns possible losses which

equate to $1 trillion due to the credit crunch.

May-2008 +32% UBS AG Swiss bank announces plans to cut 5500 jobs by the

middle of 2009

Sep-Oct 2008 N/A

Lehman Brothers file for Chapter 11 bankruptcy protection. Merrill

Lynch also gets taken over by the Bank of America.

Worst week for the stock market in 75 years.

Feb-2009 +29.5% Job losses to reach 7.2 million in Asia

Mar-2009 +14%

UK government debt hit £750bn in 2008

US budget deficit will reach $1.8 trillion

Norway government pension fund lost $92bn

Apr-2009 +1.6%

Swine Flu declared public health emergency

WTO predicts global trade to fall 9%

The US economy lost 539,000 jobs in April

May-2009 +11.3% HSBC seeks $18 billion in capital and cuts 6,100 jobs

Madoff admits $50bn fraud scheme.

Jun-2009 -1.2% Global oil consumption shrinks for the first time since 1993, the

largest drop for 27 years.

Nov-2009 +18.4% Dubai World seeks debt standstill

Jan-2010 -2.6% PIGS (Portugal, Italy, Greece & Spain) debt crisis

Apr-May-Jun

2010 N/A

European sovereign debt crisis, Standard &

Poor's downgrades Greece's sovereign credit rating to junk four

days after the activation of a €45-billion EU–IMF bailout.

The U.S. DJIA had its worst May performance since 1940.

PIGS debt crisis

Mar-2011 +9.5% Powerful earthquake and tsunami devastate Northern Japan.

Sep-2011 +2.3% Dow Jones industrials sees biggest two-day decline since December

2008.

Nov-2011 N/A

Six Central Banks take joint action to enhance global liquidity.

Italy has been forced to pay record interest rates in a 10bn euro

($13bn; £9bn) auction of treasury bills.

Oct-2012 -19.3% Super storm Sandy slams the Northeast and Mid-Atlantic States.

Mar-2013 +33.5% Cyprus bailout

-30.00%

-20.00%

-10.00%

0.00%

10.00%

20.00%

30.00%

40.00%Performance During Crisis


http://en.wikipedia.org/wiki/Economy_of_Italy

http://en.wikipedia.org/wiki/Economy_of_Greece

http://en.wikipedia.org/wiki/Economy_of_Spain

19


March 2016





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