TELIO PROGRAM OBJECTIVES
Our investment objective is to maximize risk adjusted returns for our clients and enhance portfolio diversification by minimizing correlation to other asset classes. In the CTA space the majority of portfolios are excessively weighted to trend followers we add value to existing portfolios by generating alpha while minimizing drawdowns.
Commodity Futures Accounts
Managed accounts provide clients with segregated assets and real time access to account information. This feature allows for reporting to customers’ risk management systems on both a daily or real time basis. We believe the account holder’s flexibility to verify and mark to market their commodity futures account while retaining the ability to terminate the relationship at any time is an enormous benefit in today’s volatile investment world.
TELIO SYSTEM TRADING STRATEGY
The System is designed to buy and sell futures contracts in the direction of the trend using a short-term statistical mean reversion strategy. The indicators that are employed by the system include trend, momentum, and standard deviation calculations on the daily price movements of future contracts.
There are additional proprietary statistical indicators and filters that were developed to qualify trades within the Telio System. The System generally enters and exits positions at market settlement times when there is generally increased liquidity. Positions are typically held for less than a week and Stop-loss orders are almost always used in an attempt to protect open positions.
BACK-TESTING and MAXIMUM DRAWDOWNS
Prior to being implemented under real market conditions the Telio System was back-tested using twenty years of commodity interest data. Within this back testing certain parameters were leveraged to target twenty percent annual returns while allowing for a ten percent average annual drawdown and a twenty percent maximum drawdown. In July 2007 Zoi Capital began live-trading the System. Several years later our first client accounts were added and we continued trading under an exemption from the CFTC allowing us to do so for less than 15 customer accounts. As of the current date system performance for both our proprietary and customer accounts has been within the expected range of the system.