Integrated Managed Futures Corp. integrated.altavra.com

:: Core Methodology

The Integrated Managed Futures Corp. Global Investment Program evolved out of the Integrated Managed Futures Corp. Diversified Program, a niche program that focused on a universe of 26 physical commodity and currency futures markets, 3 long-term interest rate futures markets, and that utilized an aggressive variable risk budget. The IMFC Global Investment Program utilizes the same underlying strategies as the IMFC Diversified Program but applies them to a universe of over 60 global financial and physical futures markets that includes equity indices and short-term interest rate futures. A second set of strategies was also introduced that are specific to short-term interest rate futures. And lastly, the risk budget was overhauled to reflect a change from an aggressive variable risk budget to a far more conservative fixed risk budget. This change was predicated on increased noise and inter-market correlations, and the resultant emergence of left tails in managed futures industry performance data.

As a result of these changes, the IMFC Global Investment Program is materially different from the old IMFC Diversified Program. Consequently, in February 2007 Integrated Managed Futures Corp. re-branded the IMFC Diversified Program as the IMFC Global Investment Program. From February 2007 to August 2007 Integrated Managed Futures Corp. continued to publish a continuous track record with the highlight and disclosure that there was a material program change and re-branding. However, due to feedback from the marketplace and the significant differences between the old IMFC Diversified Program and the current IMFC Global Investment Program, Integrated Managed Futures Corp. has made the decision to end-date the track record of the Diversified Program which is no longer offered and to break out the Global Investment Program as a new program.

The central investment tenet of the IMFC Global Investment Program is that markets exhibit serial correlation or price trends and other persistent anomalies that cannot be explained by random behavior or the assumption of fully informed and rational market participants. Price trends, or serial correlation in market prices, may be the result of many factors including deeply rooted supply and demand trends for physical commodities, equity risk premiums, persistent interest rate differentials between currencies, the basis embedded in the term structure of futures prices and the crowd behavior of market participants...

Through the IMFC Global Investment Program Integrated Managed Futures Corp. utilizes proprietary systematic trading strategies to invest in long-term price trends in over 60 industrial, agricultural and financial futures markets. The average duration of profitable trades is approximately one year, though they often last anywhere from two to five years with losses cut quickly when they occur. Integrated Managed Futures Corp.’s trading is based on an analysis of market statistics that is firmly rooted in both probability theory and post-modern portfolio theory.

Integrated Managed Futures Corp.’s strategies utilize multiple non-correlated signal generators applied across several long-term timeframes of market data. The effect of this diversification is a reduction of position sizes in markets at equilibrium often to the point of having no exposure to those  markets, and increased position sizes in markets that are exhibiting extreme price swings. Proprietary smoothing techniques are also used to separate underlying trend-persistence from random market noise, resulting in continuous exposure to long-term market trends of one year or longer. In addition, Integrated Managed Futures Corp.’s strategies incorporate portfolio management algorithms that adjust individual, sector and overall market exposure based on observed and simulated patterns of market returns.

Integrated Managed Futures Corp. generally invests 50% of its portfolio in globally-traded industrial and agricultural commodity futures markets, and 50% in global currency, treasury debt and equity index futures markets. These targets can be changed from time to time depending on market conditions;

Integrated Managed Futures Corp. transacts on highly liquid exchanges globally that may include, but are not limited to, all futures exchanges in the United States and Canada, the London Metals Exchange (LME), Euronext-LIFFE, the Eurex Deutschland (EUREX), The International Petroleum Exchange of London Limited (IPE, the Singapore International Monetary Exchange (SIMEX), the Sydney Futures Exchange Ltd. and The Tokyo Commodities Exchange (TCE).

Integrated Managed Futures Corp. believes that the success of a trading program is primarily contingent upon the implementation of a robust and well defined risk management model. Integrated Managed Futures Corp. utilizes a multifaceted risk management program based on low levels of risk exposure and broad diversification that includes, but is not limited to, the following measures:

:: Margin-to-Equity Targets

In an attempt to minimize exposure to the risk of adverse price movements, Integrated Managed Futures Corp. targets a level of trading activity that results in initial margin requirements that are generally between 12% and 17%. However, depending on market volatility and liquidity, these margin-to-equity ranges can be higher or lower;

:: Risk Exposure Limits

Integrated Managed Futures Corp. utilizes a fixed risk budget that targets long-term average annualized portfolio volatility of less than 17% and long-term average downside deviation of less than 14%. This risk budget is equally allocated across over 60 markets and 576 distinct signal generators per market, resulting in a targeted risk budget per market and signal generator respectively, as measured by long-term average annualized volatility, of less than 50 basis points and 0.001%. This risk budget results in a 99% 1-month Portfolio Value-at-Risk (VaR) using Extreme Value Theory (EVT) of between 10-12%. Short-term volatility can however deviate substantially from targeted long-term average volatility. Furthermore, there may be circumstances where it is impossible to limit risk as described above. Such a circumstance may be a market that is locked limit up or down, or the occurrence of severe slippage on order execution due to extreme market volatility;

:: Diversification

Diversification is applied to minimize the overall portfolio risk from any given market or trading model. Integrated Managed Futures Corp. uses multiple non-correlated signal generators and trades a diversified portfolio of futures contracts that involves most major commodity groups (i.e., agriculture, currencies, energy, interest rates, equities, livestock, metals and soft commodities). The selection process seeks to avoid undue concentration in any particular futures group and to achieve a balance across several groups. However, on occasion there may be a heavier concentration of a given commodity or commodity group, or no weighting of a given commodity or commodity group, which could result in a greater return or risk to the account;

:: Risk Balancing

Risk balancing involves trading a number of contracts such that the expected dollar risk for trading any particular commodity is roughly the same as that of other commodities in the portfolio. Integrated Managed Futures Corp. utilizes a multi-faceted look-back array of past market volatilities in order to quantify a one week forecast of the maximum expected dollar risk for trading each particular commodity. These forecasts are then used in conjunction with allowable risk budgets in order to calibrate position size for each market; and,

:: Position Management

Integrated Managed Futures Corp. utilizes proprietary quantitative algorithms to identify potential periods of underperformance in any particular commodity for Integrated Managed Futures Corp. strategies. In these situations, position sizes may be systematically reduced or eliminated until the same algorithms portend an end to the potential period of underperformance.

:: Program Notes

Clients are cautioned that since Integrated Managed Futures Corp.’s trading and risk-management strategies are proprietary, it is not possible to determine whether Integrated Managed Futures Corp. is following these strategies or not. And there can be no assurance that the strategies currently being used will produce results similar to those produced in the past.

Integrated Managed Futures Corp. may also, in the future, develop additional trading and risk-management strategies and modify the current trading strategies already in use. A core feature of the IMFC Global Investment Program is a commitment to ongoing quantitative research and the implementation of that research into an ever-evolving program. The cumulative impact of implementing successful research over time, whether in small steps or in blocks, is that a program can evolve to the point where it may be substantially different at a given moment than at a previous point further back in time. In all likelihood, the evolving strategies will be employed for all accounts under Integrated Managed Futures Corp.’s management. Integrated Managed Futures Corp. is under no obligation to notify its clients of immaterial modifications made to its current strategies or portfolio structures, nor is it under any obligation to notify clients of the addition of new strategies or additional markets to other client accounts, unless specifically requested to do so in writing by the client.

:: General Description

The IMFC Global Concentrated Program is a derivative of the IMFC Global Investment Program in that it selects trades from the IMFC Global Investment Program utilizing an additional algorithm that measures the confidence of trading signals and risk budgets generated by the IMFC Global Investment Program. The IMFC Global Concentrated Program only initiates positions in a market if the underlying trading signals and risk budgets meet certain threshold levels of confidence or strength. Position sizes are then calibrated based on the volatilities and correlations of markets offering current positions and a long term average portfolio downside deviation target of less than 13%.

As a result of the additional “confidence” algorithm, some of the key differences between the IMFC Global Investment Program and the IMFC Global Concentrated Program include, but are not limited to the following:

:: Lower Exposure

The IMFC Global Concentrated Program is expected to have lower overall market exposure than the IMFC Global Investment Program, as measured by both number of contracts held in an account and by margin-to-equity ratios. The advisor believes that this lower level of market exposure will be particularly evident during periods of underperformance for the IMFC Global Investment Program and managed futures in general, resulting in fewer left tail events or larger than statistically normal drawdown's;

:: Portfolio Concentration

The IMFC Global Concentrated Program is expected to have a greater concentration of positions and, therefore, less diversification than the IMFC Global  Investment Program. As a result, the Advisor expects that the IMFC Global Concentrated Program will likely experience slightly lower Sortino and Omega ratios than the IMFC Global Investment Program over the long term.

:: Lower Minimum Account Size

The IMFC Global Concentrated Program can be traded with a trading level of $500,000 versus a $2 million minimum for the IMFC Global Investment Program. Integrated Managed Futures Corp. believes that the success of a trading program is primarily contingent upon the implementation of a robust and well defined risk management model. Integrated Managed Futures Corp. utilizes a multifaceted risk management program based on low levels of risk exposure and broad diversification that includes, but is not limited to, the following measures:

:: Margin-to-Equity Targets

In an attempt to minimize exposure to the risk of adverse price movements, Integrated Managed Futures Corp. targets a level of trading activity that results in initial margin requirements that are generally between 8% and 12%. However, depending on market volatility and liquidity, these margin-to-equity ranges can be higher or lower.

:: Risk Exposure Limits

Integrated Managed Futures Corp. utilizes a fixed risk budget that targets long-term average annualized portfolio volatility of less than 17% and long-term average downside deviation of less than 13%. This risk budget results in a 99% 1-month Portfolio Value-at-Risk (VaR) using Extreme Value Theory (EVT) of between 10-12%. Short-term volatility can however deviate substantially from targeted long-term average volatility. Furthermore, there may be circumstances where it is impossible to limit risk as described above. Such a circumstance may be a market that is locked limit up or down, or the occurrence of severe slippage on order execution due to extreme market volatility.

:: Diversification

Diversification is applied to minimize the overall portfolio risk from any given market or trading model. Integrated Managed Futures Corp. uses multiple non-correlated signal generators and trades a diversified portfolio of futures contracts that involves most major commodity groups (i.e., agriculture, currencies, energy, interest rates, equities, livestock, metals and soft commodities). The selection process seeks to avoid undue concentration in any particular futures group and to achieve a balance across several groups. However, on occasion there may be a heavier concentration of a given commodity or commodity group, or no weighting of a given commodity or commodity group, which could result in a greater return or risk to the account.

:: Risk Balancing

Risk balancing involves trading a number of contracts such that the expected dollar risk for trading any particular commodity is roughly the same as that of other commodities in the portfolio. Integrated Managed Futures Corp. utilizes a multi-faceted look-back array of past market volatilities in order to quantify a one week forecast of the maximum expected dollar risk for trading each particular commodity. These forecasts are then used in conjunction with allowable risk budgets in order to calibrate position size for each market.

:: Position Management

Integrated Managed Futures Corp. utilizes proprietary quantitative algorithms to identify potential periods of underperformance in any particular commodity for Integrated Managed Futures Corp. strategies. In these situations, position sizes may be systematically reduced or eliminated until the same algorithms portend an end to the potential period of underperformance.

:: Program Notes

Clients are cautioned that since Integrated Managed Futures Corp.’s trading and risk-management strategies are proprietary, it is not possible to determine whether Integrated Managed Futures Corp. is following these strategies or not, and there can be no assurance that the strategies currently being used will produce results similar to those produced in the past.

Integrated Managed Futures Corp. may also, in the future, develop additional trading and risk-management strategies and modify the current trading strategies already in use. A core feature of the IMFC Global Concentrated Program is a commitment to ongoing quantitative research and the  implementation of that research into an ever-evolving program. The cumulative impact of implementing successful research over time, whether in small steps or in blocks, is that a program can evolve to the point where it may be substantially different at a given moment than at a previous point further back in time. In all likelihood, the evolving strategies will be employed for all accounts under Integrated Managed Futures Corp.’s management. Integrated Managed Futures Corp. is under no obligation to notify its clients of immaterial modifications made to its current strategies or portfolio structures, nor is it under any obligation to notify clients of the addition of new strategies or additional markets to other client accounts, unless specifically requested to do so in writing by the client.

:: Roland P. Austrup

Roland P. Austrup, has been the President, Chief Executive Officer and a Director of Integrated Managed Futures Corp. since June 9, 2003. Mr. Austrup is responsible for general management, strategic planning and development and enhancement of the trading programs. Mr. Austrup has been registered with the Commodity Futures Trading Commission (CFTC) in the United States as an Associated Person and Principal of the Advisor since June 2003 and with the Ontario Securities Commission (OSC) as an Advisor since February 1999. Mr. Austrup is an associate member of the National Futures Association and a member of the Managed Funds Association. From June 1, 2008, Mr. Austrup is also a member of the advisory board of the Centre for Advanced Studies in Finance (CASF) at the University of Waterloo. CASF provides the focus for research and education in the finance discipline at the University, co-ordinates and supports the Collaborative Master's Program in Finance, and stimulates and promotes research in finance.

:: Robert Koloshuk

Robert Koloshuk has been a Senior Strategist and Director of Trading of Integrated Managed Futures Corp. since June 9, 2003. He assists with research and is responsible for trading. Mr. Koloshuk has been registered with the CFTC as an associated person since June 2004, and is an associate member of the National Futures Association. Mr. Koloshuk graduated with a B.A.H. (Philosophy) from the University of Guelph in May 2002.

:: David G. Mather

David G. Mather has been Vice-President, Director and a listed principal of Integrated Managed Futures Corp. since June 2003. He is responsible for the development of marketing programs and material. Mr. Mather is also Executive Vice President of Integrated Asset Management since August 2001 and a Director since March 2004. Mr. Mather holds a B.A (Honours.) from the University of Waterloo and an M.A. from the University of Waterloo.

:: Stephen C. Johnson

Stephen C. Johnson, C.A. (Scotland), C.A., C.B.V., is Chairman, Director, and listed principal of Integrated Managed Futures Corp. since June 2003. He is a Director of Integrated Managed Futures Corp. and also provides financial oversight and advice. Mr. Johnson is also CFO and Director of both Integrated Asset Management Corp. and BluMont Capital Inc., Senior Vice-President, Integrated Partners, Vice-President, Koloshuk Farrugia and CFO and a Director of Independent Equity Research Corp. since the same time. Mr. Johnson has a B.Sc. Hons. (Econ) from Southampton University, and is both a Chartered Accountant and Chartered Business Valuator.

:: Victor Koloshuk

Victor Koloshuk, B.Sc., M.B.A., CFA, is a listed principal of Integrated Managed Futures Corp. since June 2003. He provides strategic direction to IMFC. Mr. Koloshuk is also Chairman, President, Chief Executive Officer, founder and a Director of Integrated Asset Management Corp.(IAM) since  March 1998, co-founder and Chairman of Integrated Partners, and co-founder, Chairman, President, Chief Executive Officer and a Director of Koloshuk Farrugia Corp. since June 1988. Mr. Koloshuk holds a B.Sc. and M.B.A. from McGill University and is a Chartered Financial Analyst (CFA).

:: Veronika Hirsch

Veronika Hirsch, B.Comm., FLMI, is a listed principal of Integrated Managed Futures Corp. since June 2003. Since June 1998, Ms. Hirsch has also been Chief Investment Officer and a Director of Blumont Capital Corporation, a subsidiary and principal of Integrated Asset Management Corp. Ms. Hirsch is also a Director of Integrated Asset Management Corp. since June 1998. Ms. Hirsch holds a B. Comm. From McGill University and FLMI.

:: Integrated Asset Management Corp.

Integrated Asset Management Corp., is a listed principal of Integrated Managed Futures Corp. since May 2003. Integrated Asset Management Corp. is a Toronto-based, publicly traded (TSX:IAM), manager of alternative assets with approximately $ 2.1 billion in assets and committed capital under management in private equity, private corporate debt, real estate, managed futures and hedge funds.

In addition to the principals listed above, Integrated Managed Futures Corp. has exclusively retained Adam Kolkeiwicz, Ph.D. as a quantitative research analyst. Dr. Kolkeiwicz is an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo where he teaches courses in probability theory, statistics and finance. Dr. Kolkeiwicz received his Masters degree in Mathematics from the Technical University of Wroclaw, Poland and Ph.D. in Statistics from the University of Waterloo. Adam has in-depth knowledge in statistical, probabilistic and financial modeling. His current research interests include developing methods to statistically analyze stochastic processes in both discrete and continuous time, pricing exotic options, and risk management.

The descriptions above are from the manager’s disclosure document.

THE RISK OF LOSS IN TRADING FUTURES, OPTIONS AND OFF-EXCHANGE FOREX CAN BE SUBSTANTIAL.  PAST RESULTS ARE NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.  PLEASE READ THE CTA'S RISK DISCLOSURE DOCUMENT CAREFULLY BEFORE INVESTING MONEY.