Mansfield Capital PowerPoint
presentation showing aggregate performance since 2003 with low-volatility program also shown separately. Note: due my institutional client going out of business last year, and for personal reasons, I took a year off off from trading even though I had top rated performance on risk-adjusted basis. Call or write for details. MansfieldCapital@Gmail.com, or 305-915-3307
2. GDFX-MultiStrat Investment 2003-2008 Overview
Cash foreign exchange (FX/FOREX) across 20-40+ liquid global currencies
Manage Account in Client's name, or Fund structure at major brokerage firms
Universe Unique Multi-strategy adaptive models with linear and non-linear forecast overlay
Expected acceptable volatility range : 3-15% (low volatility)
Actual max drawdown since 2006 enhancement: 3.22% (2003-2006=14%)
Low Vol Returns Maximum drawdown cutoff : 20%, If this occurs, trading stops on market close
with all positions closed at the market price. Clients may continue at their option.
Targeted returns range: 12%-25%
2% Management Fee; 20% Profit Incentive fee, payable monthly
Fees
with High Watermark so that Incentive fees are only earned on new net profits
Maximum Leverage Ratio 10:1 (allowed but rare), Average Leverage < 3:1
Maximum Leverage Per Position 1:1, Typical Leverage 0.3:1 to 0.5:1
Leverage/Gearing Net Margin Exposure limit ≤ [20]% of Fund or Account NAV
Unique trade setups and price targets combine to allow stops to be moved to
break-even very quickly compared to most peers.
EDGE: Signals & Risk
Maximum stop loss risk per trade = 2%, Typical risk per trade 0.3% to 1%
Control The annualized volatility cannot exceed [20]% for a [60] day rolling window. If it
does, the [60] day average Leverage Ratio will be reduced by 20% or more, and set
as the maximum Leverage Ratio for the next [30] days.
Account Liquidity
2 End of month, within [3] day’s notice . Exceptions for emergencies.
3. Aggregate Results All MCM GDFX Programs
Since Inception, July 2003 thru 2008, a 5.2 record.
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4. Aggregate Results All FX Programs
Since Inception, July 2003 thru 2008, a 5.2/yr record.
Fund = All MCM accounts or funds, BM 1: GP S&P 500 BM2: HFRX Equity Hedge Index
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5. Low Volatility GDFX Program
Inception August 2006 - 2008
Aug 06 thru Sept 08
Average Monthly Return 1.03%
Maximum Drawdown 3.22%
Monthly Standard Deviation 1.99%
Sharpe Ratio 1.75
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6. Mansfield Capital Performance
Monthly Performance History Since Inception 2003
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2009 0.00% 0.00% 0.00% 0.00%
2008 1.79% 1.99% -1.65% 2.53% 1.34% 1.24% -0.80% -0.20% -0.35% 0.00% 0.00% 0.00% 5.96%
2007 0.85% 3.91% 3.85% -0.25% -2.63% 0.35% 2.37% 0.16% -1.32% 1.32% 4.56% 4.09% 18.35%
2006 -1.18% 0.12% -3.85% 0.99% -2.98% -3.20% 4.94% -0.90% -2.32% 2.30% 2.75% 0.79% -2.90%
2005 5.37% 1.51% 3.83% 1.79% 2.12% -2.96% 2.01% 3.43% 0.43% -2.19% -0.52% 4.26% 20.42%
2004 4.09% -0.04% 10.12% 7.98% -5.36% -4.31% 0.63% -4.13% 1.60% -1.63% -1.63% 14.44% 21.62%
2003 11.65% 5.52% -3.10% 2.11% 3.19% -4.08% 15.38%
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Performance 08/06 - 09/08, a notionally funded managed account from a fund, traded at PFG as a $5 million nominal account. Additional $25million
acct added 06-2008. Allocator’s hedge fund lost global credit lines on 09/26/08 and had to close their US accounts. Account Login available for
verification.
Performance from 7/04 - 07/06 is for the Spectrum Galaxy MV Global Currency Fund (managed for Magnum Funds, Audited by BDO MANN
JUDD)
Performance prior to 6/04 is for managed accounts with the same strategy.
Registration due diligence: Manager NFA registered (1981-2001) no complaints; NFA #20054, www.NFA.futures.org.
Audits, prior and current account and fund logins available for your immediate due diligence.
Gap in performance from October 2008 to September 2009 was result of institutional allocator losing credit lines and closing allocations to US traders
on September 26, 2008, which, was supposed to be only temporary. They eventually went out of business. Mansfield chose to take a sabbatical with
special training at the University of Miami by famous attorney & mediator Melvin Rubin of Mediation Services Inc, to be a Florida Supreme Court
Certified Mediator.
PAST PERFORMANCE IS NOT A GUA RANTEE OF FUTURE RESULTS. FOREX TRADING CAN BE RISKY AND IS THEREFORE NOT
APPROPRIATE FOR ALL INVESTORS. DATA REFLECTS VARIOUS FEE STRUCTURES & CLEARING COSTS SINCE INCEPTION.
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7. What is our Edge?
Trend-predicting trading system adapts & responds to markets like a highly experienced human trader: Core
trading strategies are enhanced by quantitative methods and predictive models that navigate short and medium-
term trading opportunities.
Predictive technology & accuracy enhancements: A cycle based predictive overlay is employed which quite
accurately forecasts trends and changes-in-trend 5-50 bars (market days) into the future. This improvement was
implemented Nov 28, 2004, and has greatly enhanced entry filtering and profit targets. RESULTS: peak volatility was
reduced by 70% for 2005, in a similar market environment to 2004. In November 2006, several new signals we
implemented along with a new order management strategy. RESULTS: reduced maximum draw down to 3.22% over
the past two years of trading.
Multi-strategy system increases market opportunities while reducing risk: Four powerful trading strategies
within one investment program: Swing, Trend & Trend-Exhaustion strategies, and Range Bound strategies. (Most
systematic traders simply optimize numerous traditional indicators within in a single trading strategy.)
Highly responsive in virtually any market environment: System often generates entry orders 1 to 3 price bars
(daily & 240 minute data) after major & intermediate tops or bottoms due to the directional accuracy of the predictive
algorithm and the responsive strategy triggers, thus reducing response time to changes in market direction as well as
stop loss amount—initial risk—on each trade, thereby typically increasing risk adjusted performance.
Accurate profit targets define profit potential before each trade: Each entry order has at least one corresponding
predetermined yet adaptable profit target.
Portfolio of 20-40 markets is organized into 4 to 8 geo-political sectors enhance diversification for increased
account safety:
Signal ranking provides best choice among similar markets: Proprietary selection process used when there are
competing entry signals within each sector and between correlated markets (used with some discretion).
Risk controls: Stops are moved to breakeven very quickly. Then, “Best Available Stop Strategy” utilizes multiple
stage trailing stop algorithms to reduce risk and enhance profits by switching algorithms based on time in a trade and
market price in relation to its profit targets and other factors.
Robust system: The system's self-adapting core model uses the same fixed parameter rules and proprietary
indicators across all markets and currency pairs. System was originally cross tested on commodities, stocks, and
financial futures with similar with success.
Highly experienced management: Principal has 20+ years of trading and market experience; 3 well known
7 consultants work with MCM
8. GDFX Portfolio: 20-40+ Currencies
Trades are selected from 20-40+ global cash Forex currencies from six or more
foreign trade regions or Geo-political Sectors. Each country or region offers unique
currency pairs determined by their dominant merchandise trading partners.
The portfolio is currently made up of the following:
European (EUR/USD,GBP/USD,EUR/CHF,EUR/GBP,GBP/CHF,USD/CHF)
European (additional markets pending)
Canadian (USD/CAD,EUR/CAD, GBP/CAD, AUD/CAD,NZD/CAD)
Japan (USD/JPY,EUR/JPY, GBP/JPY, CHF/JPY,CAD/JPY,AUD/JPY,NZD/JPY)
Asia (USD/SGD) (China, once un-pegged to the USD)
Australia region (AUD/USD,EUR/AUD, GBP/AUD,AUD/CHF,NZD/USD,NZD/EUR)
Africa (USD/ZAR-South African Rand-pending)
South America (USD/BRL—Brazilian Real-pending)
Gold (cash gold is available at some clearing firms (FCMs)—as a hard currency)
When multiple entry signals are generated on a given day, at least one market from each “geo-sector”
would be a potential candidate for trade selection that day. Trade candidates are typically currencies
with the highest profit-target to initial risk ratios, and/or they have a relatively high statistical probability
of generating a profitable trade when compared to competing signals within the same or
correlated sectors. The best performing currencies historically tend to receive more new trades.
This proprietary selection technique is one of the creative hallmarks that we use in an attempt
to increase the portfolio’s return possibilities while concurrently trying to reduce draw-downs
that are intrinsic to any free market investment.
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9. Trend-Predicting Forex Systems
Muti-Strat is a non-traditional, multi-strategy program using linear and non-linear forecasts to assist core
technical signals similar to those used by a highly experienced human trader, NOT some random
computer optimization. Thus, Multi-Strat is quite adaptive across all markets. Based on technical analysis
of the markets, it analyzes 20-40+ currencies from 6 or more geo-sectors to determine if a relatively high
confidence trend is beginning, currently underway & likely to continue or, likely about to reverse. On Nov.
28th, 2004, the firm implemented the cycle based “predictive overlay” which reduced peak volatility by
70% in 2005. In October 2006, several new trading signals were added along with a new unique order
management process which helped reduced maximum drawdown to 3.22% over the past two years of
trading.
When a trade setup entry signal is generated, various cycles and price-volume statistics are examined to
determine if the signal is compatible with the dominate trend, cycle projections, price/volume force and
range of movement forecasts.
Short-Term Swing Trades (pullbacks within a trend): Multi-Strat screens for qualified pullbacks /
retracements within the trend to buy or sell into, but only after the market starts back in the direction
of the calculated trend. Thus, pullback entries still require a small breakout.
Medium-Trend Breakouts (without a qualified setback): Multi-Strat screens for significant support
or resistant patterns to breakout from, and usually in the direction of the dominant cycle projected
trend unless also a Trend Exhaustion trade setup (below).
Exhaustion Trades (counter-trend trades): Occur at certain times when a trend’s momentum has
slowed, as shown by our Price-Volume-Ranking or Cycle-Projected-Trend. Meaning: tradable
change-in-trend (CIT) is probable.
Bottom line: The model’s dynamic formulas adapt to recent price behavior. The predictive-overlay
attempts to predict the likely future path of a market and its expected range of movement, along with other
formulas, to help determine the profit targets and to approve or disapprove of trades. Combining these
components and a dose of extensive human experience creates our superior reward to risk ratios and raw
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performance in various market conditions.
10. Stringent Risk Management
Each currency is systematically “micro managed” using dynamic risk controls that
generate initial protective stops, breakeven & trailing stops and profit targets, all
known before entry, contingent upon entry. They are self-adjusting based on
volatility, volume and/or cycle characteristics.
EXIT MANAGEMENT is a highly important function and occurs in one of five ways:
1. Initial protective stop loss—Mitigates each trade’s initial risk exposure, if signal is wrong
2. Breakeven stop--Moves initial stop loss to entry price very quickly, relative to our peers
3. Trailing stops – 3 separate algorithms reduce initial trade exposure, then lock in profits
4. Profit target —Helps capitalize on rapid price movement that might not otherwise be
realized, because markets can quickly return to previous levels. Example: Off target
economic reports, unexpected political events and disasters.
5. Stop and reverse — Exit a market position and simultaneously enter a new position in the
opposite direction.
HOW THIS WORKS: Initial protective stops helps control initial trade risk & allows us to
calculate total theoretical portfolio risk (VaR). If a trade moves in the anticipated direction by a
specific mathematical ratio, a breakeven stop kicks in to reduce trade risk to zero (plus any
slippage). If movement continues, a trailing stop order is generated that takes over from the
breakeven stop and follows the price action to lock in profits. Further movement may reach one
of several profit targets. Conversely, if a market does not move in the anticipated direction, the
position will be stopped out with a loss, as a normal part of doing business. Finally, at certain
times a stop loss or trailing stop is placed simultaneously as a new entry order in the opposite
direction. In this case, the protective stop would also be called a “stop and reverse” entry.
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11. Additional Risk Management Controls
Money management— the Optimal Contract System:
The Optimal Contract System (OTS) is a three tiered money management overlay
that makes recommendations to add to or reduce trading position size based on
equity growth (or decreases), market volatility and system performance in order to
increase growth opportunities or reduce market risk exposure. OTS is used with
discretion as we tend to lean on the conservative side in the application of the
various money management suggestions provided by OTS.
Leverage—Margin deposit usage - Margin to Equity Ratio:
The percentage of the fund that will be allocated toward margin deposits for
trading purposes is typically between 5% to 20% of total account value (20% =
maximum margin deposits). That means that typically between 80% to 95% of the
Fund’s total value is typically held in cash or cash equivalent reserves.
Raw leverage will typically range from less than 1:1 to usually 2 to 3:1, but no
more than 10:1, a level rarely used but reserved if markets ever warranted it.
Average Trade Risk:
The average risk per trade / per market, for fully funded accounts, is typically
between 0.5% to 2% of account value. Winning trades typically last 2 to 12 days,
but one trade lasted 45 days. Winning trades are structured to last longer and
make more money per trade than losing trades, yet there are no guarantees this
will always be the case.
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12. Why Invest in Foreign Exchange?
The account or fund gives individual investors access to a market
that has been dominated by multinational banks and corporations
for decades. This is a market that many of the world’s largest banks,
money managers and traders consider to be one of the finest
markets available for trading and money management opportunities.
Why?
The Forex market is the direct pathway to capitalize on countries or regions perceived
strengths or weaknesses as well as interest rate differentials.
Currencies are also known for maintaining strong trend characteristics in both up and
down markets, through wars, inflation and recessions.
Forex offers the ability to leverage one’s assets. Unlike most stocks traded on U.S.
exchanges that require an up-tick in price in order to sell short, Forex trading rules
make selling short as easy as buying.
There are virtually no price gaps with the exception of weekends, as Forex is traded 24
hours per day, generally from Sundays at 5:00 pm Eastern time until Friday at 5:00 pm
Eastern time.
Due to Forex's unparalleled liquidity, trade execution slippage tends to be less of an
issue for large traders when compared to most other markets.
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13. Experienced Management Team
Portfolio Manager: Michael G. Mansfield, CHT, CIO
Mike Mansfield is a highly experienced trader and "Master Market Technician" with a broad educational
background. A forex money manager for the Global Diversified FX Portfolio (GDFX Multi-Strat), Mansfield has
been in the investment and trading industry since the 1980's and has both discretionary and systematic
trading experience with stocks, options, futures and FOREX. His experience trading began with options during
college then as a broker and intensified as a proprietary trader at his own firm in 1988. This eventually led to
top ranking as a systematic Commodity Trading Advisor (CTA) in 2000. His former CTA firm, Abalo Mansfield
& CO (A&M), was listed in Futures Magazine three times during the year 2000, as one of the top performing
Commodity Trading Advisors. He went on to win multiple top tier rankings for risk-adjusted returns as an FX
trader. In addition to his extensive trading knowledge, Mike has experience in brokerage management,
investment banking, and as a consultant and trading trainer to other money managers, banks and trading
firms. He has written articles in trade publications and has been a repeat guest on a nationally syndicated
financial market radio shows.
Low-Volatility: August 2006 to October 1, 2008. Results: MAX drawdown was only 3.22%, Sharpe
Ratio 1.75%, profit >26%. Total allocation $35 million. 2003-2006 = double returns but 14% DD.
#1-ranked manager among 1116 managers by EurekaHedge for April 2004 for the Global Diversified
FX XL Portfolio (MVCM).
Top-ranked Commodity Trading Advisor (CTA) in Futures Magazine for March 2000, #4 in April
2000 and November 2000--10th overall, 2nd since inception, under Abalo Mansfield & Co, CTA/CPO.
World Trading Group, Coconut Grove, Florida - Managing Partner and Co-owner - Office proprietary
account netted approximately 500% return in 2 years based on NFA / CFTC (National Futures
Association / Commodities Futures Trading Commission) rules assuming compounding (275% cash on
cash return). World Trading Group - Top trader from 1989 to 1990.
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14. Experienced Management Team
Consultant: Dan Alvarez (Miami, Florida)
Dan Alvarez has number of market related businesses including ForexTradingUSA and DayTradingTudor.
Dan is an electrical engineer, but after working in telecommunications, he gravitated to becoming a stock
broker, then trader, then FX business entrepreneur. Dan is a trading author and adjunct professor at local
universities and colleges, which he loves, as well as a competitive and award winning athlete. His
brokerage firms have been ranked as one of the top Introducing Broker (IB) for various FCMs, and he has
raised significant funds for Mansfield Capital over the years.
Consultant: David Waring (Miami, Florida)
David Waring, is a former Managing Director at FXCM, and was one of FXCM's first few employees.
David oversaw the launch of the FXCM's Managed Account program and its systems trading desk. David is
currently involved in a number of market related business, including founding InformedTrades.com and
Informed Funds (FXCM’s former retail managed account program..
Consultant: Frank M Barron (Denver, Colorado)
Frank Barron, has managed assets for high net worth and institutional for fifteen (15) years. He
commenced his financial services career as an intern for United Bank of Denver, analyzing small cap
equities and municipal bonds from 1991-1992. He then spent the next seven (7) years as a Portfolio
Manager for Wells Fargo Private Client Services (Denver) where he managed in excess of $200 million of
client assets. He was also responsible for municipal bond trading and analyzing companies in the financial
services sector. After leaving Wells Fargo, he was employed as a Financial Consultant for Merrill Lynch
(Denver). He assisted a team of financial consultants with the management of $250 million in client assets.
From 2002 to 2003, Mr. Barron was the Senior Vice President of Institutional Accounts for ETS Capital
Management (Denver). While at ETS, he was responsible for marketing the firm’s internal hedge funds to
institutional investors and conducting due diligence on external hedge fund managers. In 2003, Mr. Barron
founded FM Barron & Associates, LLC, a Colorado Registered Investment Advisor, and continues to
14 manage the Advisor’s affairs and activities. FM Barron & Associates focuses on advising accredited
investors in the area of alternative investments.
15. MANSFIELD’S FORECASTS (charts below)
There is a saying: You are either a trader or an analyst. Mansfield has proven high level expertise in
both areas, often mapping out time, price and wave structure years into the future.
• March 16, 2009, Mansfield Mapped out the explosive SP500 rally, in terms of time, price and wave structure, then next crash
(see charts below). As of 11/09/09, the market is at Schiff Median line resistance again. Could very well stop here (with
bottom in USD, but there remains one higher target (see charts below).
• November 2007, during a live recorded speech in Minnesota, stating that US stocks had likely topped and would crash,
ultimately taking stocks down at least 50% to 70% and perhaps as low as 90% down, like the 1933 low in the Dow. Cycle
turning points are expected in 2011-4, 2016, 2023.
• In 2004 when Crude Oil was $37bl, and again in August 2005, at $58bl, he publish that Crude Oil would trade at $90-$100 or
higher and showed future wave structure.
• In 2005, webinars and many speeches, stated that global real estate would crash and then the world would experience a
global depression (still on its way).
•In August 2004, he published the US Dollar Market MAP forecast 4 years into the future showing an expected low in early
2005, then an anticipated Wave 2 rally, then the USD's expected Wave 3 low in 2008. Right on the money.
• In July 2003, published on Internet and in many speeches, showed, how gold, then around $375/oz, would top between
$750-1400/oz or higher, have intermediate top in 2008-2009, then major top in 2012, when its 8 year high to high cycle top is
due.
• In his 2001 Techonometrics Research Special Report, Mike called a large additional sell off in the NYSE on August 4, 2001,
with a low in the latter part of 2002 (low was 10/10/2002).
• June 2002, called for long-term dollar weakness, further crash in US stocks, and major rally in gold, during a radio
interview with Winning on Wall Street Radio Show.
• July 1982- Feb 1983, Noticing a 4 week up 3 week down cycle progression and perfect Elliott Wave structure developing,
Mike was able to ride the 1982-83, 200% increase in silver then exit 99% of his brokerage clients at the exact 3-day triple top
in February 1983. Three weeks later silver collapsed 30%.
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16. MultiStrat system example on EUR/USD, with automated (pink)
and manually drawn (red and green) forecasts, 2009-1015,
1:47AM EST. Calling for intermediate top around 1.5010 to 1.52,
then likely sharp sell off to 1.42 or lower, if Andrews Median line
holds.
17. MultiStrat system on SP500, with automated (pink) and manually drawn (red and
green) forecasts, 2009-0831. At that time, sys was long SP at potential resistance,
but auto-forecast was higher. Now, 2009-1015. the SP500 is at CYAN Schiff Line
target; weekly auto-forecasts says lower, daily says a bit higher, possibly Median
Line (but cyan Schiff Line may hold), then sharp sell off. MCM
18. DOW forecast, 2009-0328. Mike Mansfield called the big move up
and also drew out the time and price wave for top then next crash.
19. SP500 forecast, 2009-0316, 2:06AM EST. Mike Mansfield called
the big move up and also drew out the time, price, and wave
structure, 7 months in advance (fully annotated charts available).
20. Crude Oil forecast, 2005-0810. Mansfield suggested a rally to $71-$72bl,
then sell off to $60-$50bl (correct), then $100 or higher (correct). All
forecasts shown were made public during seminars and webinars. Many
are recorded and available. MansfieldCapital@Gmail.com
21. GOLD forecast, 2005-0823. Mansfield suggested pullback then explosive rally in
gold, likely having an intermediate high in 2008-09, then 8 year cycle top in 2012. All
forecasts shown were made public during seminars and webinars. Many are
recorded and available. MansfieldCapital@Gmail.com
22. USD$, Elliott Wave and Andrews Line forecast, by Mike
Mansfield, August 6th, 2004 thru 2008. Very accurate,
including forecasted Wave (1) low, Wave (2) top and (Wave
(3) low, in 2008, four years in advance.
MansfieldCapital@Gmail.com
23. DJIA 2006-0208, showing automated cycle forecast
capability, with some of my older indicators. 305-915-3307,
MansfieldCapital@Gmail.com,
24. GDFX MULTI-STRAT SUMMARY
Long/Short Muti-Strategy Forex Systems + Oversight
FACT: The majority of alternative investment returns are highly correlated due to their similar
computer (optimization) derived trend following methods.
FACT: MCM’s multi-strategy approach was developed using the diverse yet specialized
strategies of a highly experience, award-winning, human trader. SEE CHARTS AT THE END
MULTI-STRAT: Multi-strategy trend-predicting algorithms & patterns = Short-term swing
trades, medium-term trend and trend-exhaustion (countertrend) trades.
ENTRIES, stop losses and profit targets exits have mechanical signals. Portfolio balancing &
signal selection is applied with some discretion to further reduce volatility.
GDFX: Globally diversified FX portfolio of up to 20-40+ currencies, rationally structured into
six or more geo-political currency sectors.
RESULTS: Has provided top tier ranking for risk-adjusted—low volatility--returns with little
to no correlation to equity markets, CTA’s and hedge funds.
24 *Returns include performance from managed accounts with same strategy.
Mansfield Capital Management, MansfieldCapital@Gmail.com, 305-915-3307.