|High risk – Seeks higher yields than a risk-free yield and accepts losses and higher P/L volatility in order to achieve higher profit. The strategy aims risk diversification and follows strict stop loss rules to avoid unreasonable losses on individual elements of the portfolio, but there is significant chance for an annual loss.|
|Long/short. Position leverage above actual Net Asset Value is not allowed.|
|The annual (calendar year from 31/Dec prev. year to 31/Dec. actual year) performance of the $ES (E-mini SP500 Index) futures continuous contract.|
|Open FX position risk is allowed, but only in case of holding or hedging non-USD denominated assets.|
|Maximum portfolio exposure:|
|Leverage not allowed – Total market value of all assets held by the Trust cannot exceed 100 % of the Net Asset Value.|
|Maximum risk (stop loss value) on one single position:|
|Direct individual position stop loss is used, the maximum sizes of individual positions and the stop loss level is set at entry date by taking ATR (SMA 14) volatility measure into account. The stop loss level and position sizes are continuously monitored and maintained.|
|Maximum position limit:|
|None of the trust’s instruments market value may exceed:|
– 60% of the Net Asset Value in case of Index Futures and aggregate ETFs
– 25% of the Net Asset Value in case of on single SPDR Sector ETFs
– 25% of the Net Asset Value in case of Gold futures ETFs
– 20% of the Net Asset Value in case of one individual share
|Applicable investment instruments:|
|– Gold, in forms of: XAUUSD spot, $GC (Gold futures contracts), $GLD ETF (SPDR Gold Shares investment fund), ISIN: US78463V1070 units or any derivatives of these instruments.|
– Equity indexes: in forms of: futures contracts derivatives of liquid stock exchange indexes of investment grade countries, or any derivatives of these instruments (e.g., CDFs, Warrants, Certificates), and cash ETFs with same exposure as of the underlying stock exchange indexes.
– Individual stocks: which has liquid quotation on major US Stock markets (NYSE, Nasdaq, etc.) or European stock markets.
– USA Government bonds: T-Bills and T-Notes with maximum 10-year maturity, or any alternative cash ETFs and derivatives of these instruments.
– Specified ETFs:
SPDR Select Sector ETFs
$MJ (ETFMG Alternative Harvest Fund, ISIN: US26924G5080)
$DBC (Power Shares DB Commodity Index Tracking Fund, ISIN: US73935S1050)
$DBA (Power Shares DB Agriculture Fund, ISIN: US73936B4086)
Any other blended ETFs with no leverage not specified here may be applicable too upon request of the Trustee’s Investment Desk, after written approval of the Board of the Trustee.
|FX open positions:|
|Cash or derivative FY positions.|
Rebalancing of assets held by the trust and individual traders are executed upon the signals given by the Trustee’s own investment model.