Frequently Asked Questions
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Have you had any other trading programs during the past five years, under this name or others? What was the start date for each?
Beach Horizon is a new programme that has not traded under any other name.
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Are you always in the market, either long or short?
The system can go flat in individual markets but more often than not does have a position either long or short.
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What type of system do you use and to what extent? i.e. technical, fundamental, discretionary, trend-following, counter-trend, reaction or anticipatory, chart patterns, seasonal cycles, spreads, options, arbitrage and so forth?
Systematic trend-following.
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What is your estimate of the number of round-turn trades you make per year, per million dollars?
1600
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What is your percentage estimate of winning trades versus losing trades?
40% are winning verses 60% losing. The holding period for the winning trades is much longer than the losing However, due to the way the programme trades, it is difficult to know what constitutes an individual trade. Positions are gradually entered into and continuously adjusted. In addition, the system tends to have a position in most markets most of the time and is rarely flat. Due to these difficulties, any percentage values given for a trade are unlikely to be comparable with other strategies.
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What is the average length of winning trades versus losing trades?
Average holding period for all trades is 91 days, 156 for winning and 49 for losing trades.
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What is the average gain on winning trades versus the average loss on losing trades?
Average gain is 0.58% vs. average los of -0.17%.
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What is your Margin to Equity Ratio?
6-22% although on average it is 15%.
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Who designed the underlying trading systems you use?
Sanjeev Lakhanpal, Dr Paul Netherwood, Alan Goulding and David Beach.
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Are you subject to any licensing agreements?
No. Beach Horizon owns all rights to the trading systems it uses.
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How far back have you tested your systems?
The system has been back tested to 1950's although most research work focuses on 1990 onwards which is considered to be more representative since many of the markets in our portfolio did not exist before 1990.
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When did you last modify your system?
The model is under constant review and results of research projects are deployed after they have gone through our rigorous research process. Operational aspects of the system are enhanced regularly to improve operational efficiencies.
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How often do you evaluate and/or modify your system?
The performance of the model is evaluated on a daily basis to ensure consistency with expected results.
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Are there any limitations to your system?
The system does not perform well in sideways markets. However, since there are over 90 markets in the portfolio the impact of this is reduced.
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Does your system have a long or short bias?
No. The system can go equally long or short or flat.
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Do you inform clients of minor changes to your system, methodology or risk control?
We do not inform clients of minor changes such as the addition of new markets. We would inform clients of any material changes in methodology or risk control.
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Do you anticipate making any further changes to your system?
As above, research is ongoing. It is vital for a model to adapt to remain competitive. However, this must be balanced with avoiding short term curve fitting.
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What are your contingency plans in the case of illness or death of key personnel?
The system is fully automated and thus has a very low dependency on key staff. Every aspect of the system is fully documented to allow new members of staff to become quickly fluent in the operation of the system.
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What is your method of re-entry into a market if you are stopped out?
The system does not use stops. Signals take the system in and out of markets.
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What type of research do you do on an ongoing basis?
New systems and new methodologies and improvements to operational efficiency.
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What markets are your principal focus?
No one market or sector is focused on. The system trades as many markets and sectors as possible to be fully diversified.
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Do you intend to trade any cash, currency cross-rate or options markets?
The system trades cross rates and cash FX but not options.
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What type of options strategies do you use?
None.
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Do you trade foreign markets?
Yes. The system trades a global portfolio of futures, currency and metals markets.
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Do you trade spreads, either inter or intra-market?
No
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Do you trade different markets by the same rules?
The system has one set of rules which it uses for every market. However, slippage and liquiditity constraints are applied to the standard model to ensure difficult to trade markets can be traded effectively.
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What is your allocation to various market sectors?
The model has a proprietary methodology call Dynamic Balanced Weighting.
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How often do you change or review your asset allocation?
It is a core part of the model and thus will remain the same for the life of the model.
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Do you scale in or enter an entire position at once?
The system is continuous rather than binary and thus enters markets in a number of gradual steps rather than in one go.
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Do you scale out or exit all at once?
As above, the system exits a position gradually.
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What type of market does your system perform best and worst in?
The system has been designed to perform in a similar fashion in every market and is not optimised for any one market. At any point in time some markets will be performing better then others. However there is an equal chance that other markets will perform better in any other time frame.
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What are your risk management parameters?
The system targets a 15% average annual volatility.
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How do you manage volatility or changes in volatility?
The system continuously calculates market volatility and will make adjustments to the position to allow for changes in volatility.
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How do you manage drawdowns and subsequent recovery?
Drawdowns are not treated as a special case by the model. All markets and sectors are given an equal chance to perform in the future, giving the system the best chance of recovering from a drawdown.
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How do you manage dramatically winning or losing positions?
No special treatment is given to these types of markets. Our policy of non-intervention allows the system to make any adjustments necessary to conform to the model.
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What is the maximum capital you feel you can manage with your current system?
Our current research estimates that the programme will be limited to roughly $1bn. Liquidity and capacity in these markets however is increasing so these limits will be reviewed on an ongoing basis.
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What is your fee structure?
2% management fee
20% performance fee
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What separates you from everyone else?
Beach’s Horizon Program is grounded in the strengths of its four principals: David Beach, a tremendously successful discretionary trader and three quantitative trading experts from AHL. The combined efforts of these highly capable individuals is the Beach Horizon Program, a rapidly self-adjusting systematic trading model that provides significant exposure to physical commodities markets.
Other key strengths include the sophistication of the model, our trading and execution platform, our operational infrastructure and our research capabilities.