Mon, 25/04/2005 - 07:11
London-based Amplitude Capital LLP has been granted FSA approval with effect from 15th April 2005.
Amplitude's Stanley Marchon said: "The day was made even more memorable as it coincided with our most profitable day yet, with a +1.30% actual return from live trading of our proprietary account. Live daily net returns have been in the narrow range of +1.3% to -0.8% since we started trading in November 2004."
Marchon says highlights of the Amplitude Dynamic Trading Program include:
• Simulated and paper trading results have produced distributions between +2.0% and -1.6%.
• Daily standard deviation in live trading of +0.39%. Daily standard deviation of paper trading of 0.41% (annualised = 6.96%)
• Daily average performance range expected to be between +0.07% and 0.08% implying a 3-year performance range of c. 18% to 25%.
• Low correlation to peer group as well as the hedge fund industry.
• No reliance on large trends or directional moves as the fund zooms in on the smaller directional moves. Performance characteristics are not dependant on outlying trades or individual instruments.
• Holding period of 1 to 1.5 days with strong reliance on intra-day trading.
• Trade reconciliation with counter-parties every 15 minutes.
• Daily independent NAV estimates produced by the administrator
• The completion of a two month research effort that has yielded a robust money management overlay aimed at reducing downside deviation.
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