lambay capital august 2008 lambay capital is authorised by the irish financial regulator under the...
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Lambay CapitalAugust 2008
Lambay Capital is authorised by the Irish Financial Regulator under the Investment Intermediaries Act 1995.
Registered as an authorised Commodity Trading Advisor with the CFTC and a member of NFA ID No 0359548
Company Information
• Specialist Foreign Exchange Trading Manager
• Established by it’s 3 Principals in 2005
• Based in the Irish Financial Services Centre in Dublin, Ireland
• “to provide Clients with a Risk Managed, Regulated and Systematic Approach to the trading of FX”
Regulation
• Authorised by IFSRA, the Irish Financial Regulator in 2005
• Currently supervised under EU wide MiFID, transposed into Irish Legislation on 31 January 2007
• Registered as an Authorized Commodity TradingAdvisor with the CFTC and a member of the NFA, ID No 0359548
Principals
Keith Hazley - Managing Director & Chief Investment Officer.25 years experience in the FX and Futures Markets. Previously worked with Midland Bank, London and Gaiacorp, Ireland. Director of the Hedge Funds of IKOS, Estlander & Ronnlund & Mulvaney Capital.Registered as a Principal with the NFA.
Paul Garrigan - Director of Marketing and Compliance. 35 years experience in the FX Market.Previously worked with AIB Bank and Ulster Bank in Dublin and NatWest, New York.Registered as a Principal with the NFA.
John Wallace - Director of Trade Execution and Client Relations. 20 years experience in the FX and Futures Market.Member of NYBOT, now ICE Futures US since 1994.Previously worked with ED&F Man, Fimat and Toyo Trust in London Registered as a Principal with the NFA.
Trading Methodology
• Short Term Systematic MomentumThe strategy looks to profit from short term trend changes in liquid currency pairs using an expected trade path analysis. It looks to de-leverage position size when unexpected trade patterns emerge.
• Risk Control ParametersThe strategy utilises a fixed amount of risk each month based on current levels of volatility in its instruments. It applies a “Solver Algorithm” to calculate position size and initial risk per trade.
• Trade Medium.Transactions are executed directly in the OTC Spot FX Market. The manager then uses either Cash or Exchange For Physical’s on FX Futures listed on regulated futures exchanges as its trading medium.
• Java based R&D PlatformThe strategy has been robustly tested using a proprietary R&D platform and Spot FX data obtained from multiple sources. The current model has been trading live since Q4 2006.
Performance Statistics
• Return since inception 13.3%• Annualised Return 2.56%• Annualised Volatility 5.31%• Annualised Sharp 0.48• Round turns of $100K per $1m Account per annum 1,200• Margin to Notional Equity Requirement 10% • Margin to Notional Equity Average 4%• Average holding period 4 Days• Assets under Management $24m• Winning Months 25• Losing Months 24• Average Monthly Gain 1.4%• Average Monthly Loss -0.93%
Currency Pairs
Canadian
New Zealand Dollar
South African Rand
Yen
Sterling Against
AustralianSterlingYen
Euro
US Dollar Against
STFX V’s BTOP FX Index
DAILY INDEX
950
1000
1050
1100
1150
Jan-05 Jul-05 Jan-06 Jul-06 Jan-07 Jul-07 Jan-08 Jul-08
Lambay STFX Index Barclays BTOP FX Index
Model V’s Currency Index
MODEL COMPARISON
900
1,000
1,100
1,200
1,300
1,400
Nov-00 May-02 Nov-03 May-05 Nov-06 May-08
Barclay Currency Index Lambay MODEL Index
Trading Cycle
• Technical Entry Signal generated• Position Size and Fixed Initial Risk Calculation• Initial Stop placed• Dynamic Stop adjustment• De Leverage Calculation• Rules Based Exit • Technical Re-Entry Signal
Trading Example
Investment Structures
Managed Accounts• Minimum size $1,000,000 notional• Required minimum cash $100,000• 1% management, 20% incentive
Bahamian Multi Class Fund• Separate class and trading entity• Minimum investment €25,000• 2% management, 20% incentive• Share equalization
Portfolio Risk
Daily % Risk To Stop
0%
1%
2%
J ul-07 J ul-07 J ul-07 Aug-07 Aug-07 Sep-07 Sep-07
Market Exposure
USD$ Exposure Per $1m Account
0.00% 5.00% 10.00% 15.00% 20.00% 25.00% 30.00%
$0
$400,000
$800,000
$1,200,000
$1,600,000
$2,000,000
$2,400,000
$2,800,000
$3,310,000
$3,560,000
Po
sit
ion
Siz
e
% of days
Why Invest with Lambay?
• Performance Attributes• Principals Experience• Scaleable Potential• Short Term Strategy• Liquidity • Multi Regulated Entity
Lambay Capital LtdDublin Exchange FacilityIFSCDublin 1
Lambay Capital is authorised by the Irish Financial Regulator under MiFiD.
Registered as an authorised Commodity Trading Advisor with the CFTC and a member of NFA ID No 03599548
t: 353 1 607 4071 f: 353 1 670 1849