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Performance data for the period from January 2012 until September 2022 reflect the simulated performance net of fees, transaction costs, and stamp tax payments of a virtual Model portfolio invested according to the buy/sell signals of predefined trend-following/momentum rules and various filters that were applied and remained unaltered for the entire simulation period without exception.

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Future actual performance of the AMC-DynaHedge following the exact same strategy may not reflect or reproduce past performance patterns of the simulated Model Portfolio.

 

However, the pro forma track record of the AMC-DynaHedge, spanning more than a decade, successfully navigated different types of up and down-market conditions, under various volatility and cross-asset correlation regimes including during several periods of (severe) market stress in 2008, 2018, 2020 and 2022.

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Key Risks of  AMC-DynaHedge?

 

• While DynaHedge successfully navigated periods of market stress, outperforming key equity indices and standard 60/40 portfolios, most of the time and with lower volatility, the risk exists that the future behavior of DynaHedge may not reflect past patterns of performance if markets start to function in a sudden disorderly manner (market crash).

• However, the portfolio is managed by a human being cognizant of overall market conditions. In certain extreme market conditions, the DynaHedge AMC may become unplugged from the signals of its algorithmic rules but only for protection-seeking purposes, implying that in certain extreme market circumstances, the portfolio may temporarily be brought back to cash or US T-bills or run with significantly smaller market exposure to limit risks to investors’ capital.

• Such unplugging did not occur at any time during the entire simulation period when rules and filters were left running every day without interruption.

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How Are Friction costs Accounted For?

 

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• Stamp taxes levied on the portfolio's daily equity turnover were accounted for and deducted from the pro forma performance.

• Management fees (1.2% per annum) were deducted from performance "pro rata temporis" during the entire simulation period.

• Transaction costs estimated at  0.6% per annum of the Portfolio’s NAV (expected planned arrangement with the prime broker) were deducted from performance on a pro-rata basis.

• Positive and negative deposit or borrowing rate was applied to the portfolio's cash balances throughout the entire simulation period, using the applicable US LIBOR (or equivalent) interest rate.

• For the currency overlay, positive or negative interest rates were applied to the different cash balances, using the prevailing market interest rates so as to properly reflect in the simulation the expected positive or negative carry of every FX position.

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