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Ebisu Diversified Futures System

  • CTA Name : Ebisu Portfolio Management Ltd.
  • Program Name : Ebisu Diversified Futures System
  • Start Date : 2000-06-28
  • Trading Strategy
  • Systematic : 100%
  • Discretionary : 0%
  • Fundamental : -
  • Technical : Yes
  • Diversified Market Strategy : Yes
  • Sector Specific Strategy : -
  • Trade Duration
  • Long-Term : -
  • Mid-Term : Yes
  • Short-Term : Yes
  • Multi-Term : Yes
  • Markets Traded
  • Stock Index : -
  • Interest Rates : Yes
  • Currencies : Yes
  • Metals : Yes
  • Energy : Yes
  • Grains : Yes
  • Meats : -
  • Softs : Yes

Ebisu Portfolio Management Ltd.

Ebisu Diversified Futures System


The Advisor offers one trading program, the Ebisu Diversified Futures System. The minimum account size for the Advisorís Program is US$1M. However the Advisor may accept smaller amounts. The Advisorís trading methods are proprietary and confidential. The following description is general by necessity and is not intended to be exhaustive. The Advisor utilises a sophisticated computer programme to devise a futures trading model that can be traded over a variety of markets. The methodologies of the trading system uses techniques designed to generate profits from trending markets. The Ebisu Diversified System is purely mechanical in nature and generates buy and sell signals from pre-determined settings written into a computer model. The Advisor employs technical, systems-based trading strategies to make 100% of its trading decisions. Technical analysis is based on the theory that a study of relative change in historic market price (rather than fundamental economic factors like supply and demand) will provide a means of anticipating futures prices. Technical analysis of the markets involves the study of the actual daily, weekly and monthly price change and may use charts and/or computer programs to analyze such data. The Advisor selected the Ebisu Diversified System from many developed and tested on the basis of itís superior risk, performance, and robustness attributes. The Advisor applies a simple portfolio approach to individual market selection that evolved from these tests to determine the number of contracts traded on each market for each account. Markets are traded on a flat allocation basis. Diversification of markets traded is sought on a sector basis. The Ebisu Diversified System, when run across all markets with one parameter setting, achieves a composite profitability in multiple time settings. The Ebisu Diversified System adheres to the Advisorís overall strategic philosophy of buying strength and selling weakness. The system is not based on curve fitting. When developing the Ebisu Diversified System money management approach the aim was to keep the average stop loss as close as possible to 1.0% of the total equity. All stops are calculated by utilizing a modified standard deviation of the recent range. The Advisor reserves the right to modify the trading system and to add or delete trading systems used to trade customer accounts at any time and from time to time. However, any modifications, additions or deletions will reflect the Advisorís overall philosophy that the systems should remain simple, robust and easily understandable. There are no limitations on the Advisorís trading programs. However, account equity and speculative position limits may constrain the extent to which an account may participate in the Advisor's Programs. The trading will be operated from a designated office at residential premises in Sydney, Australia. Price data on world futures markets will be accessed via the latest software provided with full operator support services from Commodity Systems, Inc. Florida, USA. All data received is end of day and stored and backed up via CD Rom for future analysis. The Advisor trades markets on the Chicago Board of Trade (CBT), Chicago Mercantile Exchange (CME/IMM), London International Financial Futures Exchange (LIFFE), Eurex Derivatives Exchange (Eurex), New York Mercantile Exchange (NYMEX), COMEX, (a division of NYMEX), International Petroleum Exchange (IPE), Kansas City Board of Trade (KCBT) and the New York Board of Trade (NTBoT). The Advisor primarily will trade grains, softs, metals, energies, currencies and financials. However, the Advisor may trade in any type of commodity interest that is now, or may hereafter be, offered for trading in any U.S. or international exchanges or markets (whether regulated or over-thecounter). The Advisor, in its sole discretion at any time and from time to time, will add or delete a contract or market based on, among other factors, changes in performance, volatility, liquidity, or margin requirements of that contract or market. The size of positions held in different commodities will vary depending on account size. The money management strategy uses mathematical formulae combined with the use of leverage to determine the number of contracts to be traded for individual accounts in commodities. Stop loss orders are placed whenever an order is instigated via the trading system. It should be noted that the allocation of risk to individual client accounts is judged in relation to the size and nature of each account. Accordingly the return may vary between accounts.

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