WORLD MONETARY & AGRICULTURE “WMA” PROGRAM
WMA INSTITUTIONAL “WMAI” PROGRAM
- Medium to long-term, trend following system.
- Quantitative, statistical and 100% systematic. No discretionary override of computer-generated signals.
- Extracts profits from up & down trends, with no long or short bias.
- Designed to capture major trends & scale risk exposure to current market conditions.
Portfolio is comprised of equity, fixed income, currency, energy, metal, agricultural and volatility futures markets (55 total).
Positions taken in regulated, exchange-traded, high-volume markets.
Aussie 3 Year
Aussie 10 Year
U.S. 2 Year
U.S. 5 Year
U.S. 10 Year
ASX SPI 200
S&P 500 (Hedge)
S&P 500 Options
- The strategy utilizes a dynamic risk management methodology referred to as the Adaptive Risk Profile (“ARP”) gears the portfolio’s exposure to current market conditions.
- ARP serves to establish the size of the strategy’s portfolio positions based on a proprietary metric that incorporates trend confidence, volatility and inter-market correlations.
- The strategy’s risk target varies daily and is high only when a preponderance of signals are in agreement and the correlation matrix of the portfolio’s positions is favorable.
Monthly VaR at the 99% confidence level is expected to be in the range of 22% to 8%, with an average monthly VaR of 15%. This translates into an annualized volatility of ~23% over time.
Monthly VaR at the 99% confidence level is expected to be in the range of 11% to 4%, with an average monthly VaR of 7.5%. This translates into an annualized volatility of ~11.5% over time.
- Pooled Fund – $100k minimum
- Offshore Fund (Bermuda) – $100k minimum
- Separately Managed Account – $10M minimum
- Mutual Fund – Arrow Funds