Day Trading System (DTS)

Specifications

Strategy Description DTS is a quantitative intraday break out strategy. The strategy is fully systematic with an algorithm designed to profit from a short-term market inefficiency that has persisted across a wide range of equity indices for at least 15 years. It enters a trade during the main session on statistical evidence of a significant short-term price move. It exits using a dynamic volatility stop, or near the end of the trading day. DTS trades the most liquid US equity index futures. Historically the system has exhibited low to negative correlation to global stock markets, particularly when stock market volatility is high.
Benefits Positive statistical expectancy created from market volatility.
Investment Manager Mounts Bay Capital Pty Ltd
Structure Managed Account
Management Fees 1% management fee
Performance Fees 20% performance fee
Minimum Investment $250,000
Liquidity Daily
Expected Return 20%
Expected Volatility 15%
Correlation to MSCI World 0.25

Cumulative Monthly Returns

Risk & Return

Rolling Correlations (12 month)

Performance Notes:
The monthly performance indicates actual returns gross of fees. Performance is taken from the strategies core trading accounts.

FOR AUSTRALIAN WHOLESALE AND USA QEP INVESTORS ONLY.
This publication has been prepared on behalf of and issued by Non Correlated Capital Pty Ltd. This is not an offer to deal in any financial product. This information is general in nature and is presented without regard to any investor’s individual objectives, financial situation or needs. It is not specific advice for any particular investor. Before making any decision about the information provided, you must consider the appropriateness of the information in this document, having regard to your objectives, financial situation and needs and consult your adviser. The value of investments and any income generated may go down as well as up and is not guaranteed. Past performance is not necessarily a guide to future performance. Changes in rates of exchange may have an adverse effect on the value, price or income of investments. Investors should be aware of local laws governing investments and should read all the relevant documents. Please visit www.noncorrelatedcapital.com and fill out a contact form to gain further information.

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