London, November 2008 - Trend Following

[Pages:29]Private and Confidential

Equity markets opportunity in India

London, November 2008

Contact Email: anindya.mukherjee@rmcas.co.uk Phone: +44 (0) 7982 616 335

1

Private and Confidential

Risk Disclaimer

This document is published for private reference only and does not constitute or form part of any offer for sale or subscription for or solicitation of any offer to buy or subscribe for any securities nor shall it or any part of it form the basis of or be relied on in connection with any contract or commitment whatsoever. It may not be reproduced, redistributed or passed on to another person without written consent. By accepting receipt of this document, you agree to be bound by the limitations set out above. Past performance is not necessarily a guide to future performance, fluctuations in the value of securities in which the Lamron-RMCAS Model invests and together with changes in interest and exchange rates, mean that the value of the portfolio held by the Lamron-RMCAS Model may fall as well as rise and is not guaranteed, investors may not get back the full amount invested. Furthermore, investors must not rely solely on back tested performance figures to assess the validity and risk of the model. While all reasonable care has been taken in preparing this document to ensure that the information therein is accurate, no representation or warranty, express or implied, is made as to the fairness, accuracy, completeness or correctness of such information. It should not be regarded by recipients as a substitute for the exercise of their own judgement. No liability whatsoever is accepted for any loss howsoever arising from any use of this document or its contents or otherwise arising in connection herewith.

2

Private and Confidential

Contents

Executive Summary A. The LAMRON-RMCAS value proposition

A.1 What is our proposition A.2 Who are we A.3 What is our track record B. Lamron-RMCAS Equity Strategies

B.1 Divergence trading B.2 The LAMRON-RMCAS model B.3 How we construct and maintain our portfolio B.4 Backtesting results of the LAMRON-RMCAS model C. Next steps D. Appendix (monthly returns)

Page

4 5 6 8 10 15

16 19 22 24 25 27

This document was created for the exclusive use of our clients. It is not complete unless supported by the underlying detailed analyses and oral presentation. It must not be passed on to third parties except with the explicit prior consent of RMCAS Limited.

3

Private and Confidential

Executive summary

? We are offering institutions an opportunity to invest in the Indian equity markets through a systematic and robust trend following approach (the LAMRON-RMCAS model) that has proven ability to generate superior returns and protect capital in bull and bear markets

? We have demonstrated resilience in one of the most challenging environments in recent years (leading Indian equity benchmarks are down by about 50% since the beginning of 2008).

? Between Apr ? Sep 2008 our proprietary trading account performance (in India) was up 30.29% and our client managed account performance was up 52.65% (see slides 11-14 for details).

? Our results compared to key benchmarks: ? Live US trading (2004-2007) ? LAMRON-RMCAS model: cumulative returns during trading period 32.18%; alpha 0.06% ? S&P 500: cumulative returns during trading period 22.81% ? Live India trading (proprietary) trading (Apr 2006 ? Oct 2008): ? LAMRON-RMCAS model: cumulative returns during trading period 43.87%; alpha 1.55% ? CNX S&P 500: cumulative returns during trading period (25.67%) ? Live India trading (managed account) trading (Jan ? Oct 2008): ? LAMRON-RMCAS model: cumulative returns during trading period 42.32% ? CNX S&P 500: cumulative returns during trading period (58.44%)

? Key partners (Soumitra Sengupta and Anindya Roy-Mukherjee) have developed a proprietary trend following system with several years of backtesting, have traded live for four years and are now raising capital specifically for the Indian equity market . Soumitra has twenty years of prior experience in investment management, banking (Citibank, Standard Chartered Bank) and auditing in Europe and the Asia Pacific . Anindya has thirteen years of experience in strategy and management consulting (A.T. Kearney, Roland Berger) working for bluechip clients in the UK, Germany and India including private equity investors and corporates.

4

Private and Confidential

A. The LAMRON-RMCAS value proposition

5

Private and Confidential

What is our proposition...(1/2)?

? Our proposition is to offer investors a chance to invest in the Indian equity market using a back tested trend following system (referred to as the LAMRON-RMCAS model in this presentation) that has generated superior returns in live trading (slides 10-14) and back testing (slide 24)

? What are the benefits of the proposition? o Trend following system with attendant benefits o Careful risk management in terms of stop-losses and money management o Personal and customised account management o Opportunities for diversification into other equity markets (OECD and emerging markets)

? We can work through a client-managed broker account, where: o Client opens an account through a mutually acceptable broker in the UK who can issue P notes for trading Indian equities o LAMRON-RMCAS operates through a power of attorney to trade this account o LAMRON-RMCAS will setup a structure of transparent reporting through regular updates and meetings aligned with client requirements

6

Private and Confidential

What is our proposition...(2/2)?

? In spite of current market conditions, we believe that over the long term India continues to retain its potential as one of the fastest growing economies in the world

? In comparison to other funds / hedge funds (slide 13) we have demonstrated focus in capital preservation and even in a difficult year have managed (between Apr 08 ? Oct 08) a 30.29% growth in portfolio value against a -41.82% drop in the S&P CNX 500 ? see slides 11-13 for further detail.

? This, combined with our overall good performance in the US (annualised return of 9.8% against S&P 500s 7.1%) and our positive alpha generation for both markets (1.55% India and 0.06% US) over a period of four years confirms our ability to manage risk and deliver superior returns in up and down markets

7

Private and Confidential

Who are we...(1/2)?

? Lamron is an India based company that trades Indian equities (CNX S&P 500) and US (S&P 500) indices with proprietary and 3rd party capital (through a client managed account )

? Principal founding partner: Soumitra Sengupta

16 years of experience in banking, consulting and auditing. Soumitra has experience in risk management, product development and business planning and development. He has been an Investment Manager since 2004 and has been instrumental in developing various programme trading algorithms. He worked for and later became a director of Intrinsic Asset Management Limited from 2002 to early 2004. Prior to that he worked for Standard Chartered Bank from 1997 to 2001 and Citibank from 1994 to 1997 in product and risk management in Asia Pacific, Africa and Europe. In his last role at Standard Chartered from 2000 to 2001, he was responsible for developing the "next generation" corporate banking products for South Asia, Middle East and Africa. Before joining banking, Soumitra spent 5 years in auditing and consulting with KPMG from 1989 to 1992 and prior to that with Price Waterhouse from 1986 to 1989. Soumitra has a MBA from Syracuse University with specialisation in Finance and Management Information Systems (1994). He is also a Chartered Accountant. He was also the recipient of the National Talent Scholarship in 1981, a prestigious college scholarship awarded by the Government of India.

? Soumitra's primary role in this venture: ? Trading (all sectors), Backtesting and model development, Back-office supervision, Money management

8

 ................
................

In order to avoid copyright disputes, this page is only a partial summary.

Google Online Preview   Download