📄 Extracted Text (6,871 words)
I 303 Capital Partners
303 Proprietary
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EFTA02707861
303 Capital Partners
► Founded in 2004, 303 Capital Partners has a nine year history of seeding and
partnering with trading groups and hedge fund operators.
► Employees have, on average, approximately 20 years industry experience.
► Extensive experience seeding and incubating trading groups. We have
launched 47 managers since 2004.
Leads to significant ongoing deal flow.
► Generated over $260 million of profits for our investors.'
► Average Net 1.75% monthly return since 2004.'
► 79 winning months (77%) vs. 23 losing months (23%)'
► Experience across multiple asset classes. 2
► AUM currently approximately $120 million.'
I: See slides 43 and 44 for reference data
2
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Organizational Structure
Three Zero Three
Capital Partners, LLC
provides infrastructure
303 Capital and middle-office
Partners, LLC support functions:
• Chief Financial
Officer
• Chief Operating
Michael Rane, Jeff Kaplan, Officer
Principal, Chief Principal, Chief • Risk Oversight
Risk Officer Operating Officer • Compliance
• Marketing &
r -r Investor Relations
Igor Mikhalyev, Michael Schwaeber, Peter Dorenbos, Dave Donnelly,
Chief Technology Principal, Chief Chief Compliance Director of
Officer Financial Officer Officer Marketing
Jim Urbanowski, Kelly Lemke,
Controller Investor Relations
Three Zero Three Capital Partners, LLC is an Exempt Reporting Adviser with the SEC and is registered with the CFTC/NFA as a Commodity
Pool Operator and Commodity Trading Advisor. As a Fund Manager, Three Zero Three manages and invests in other funds, and also
appoints Trading Advisors to trade the assets of those Funds.
3
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The Opportunity
► 303 Capital Partners was able to acquire a fully-functioning, low-latency, high
frequency trading company, and sign many of the existing trading groups,
quantitative analysts, programmers and IT support. This has created the
opportunity for outside investors to participate in the profits of this
proprietary trading entity.
► $15mm capital raise, $11mm currently raised
► Initial investment expected to absorb some capital burn associated with
reconnecting and restarting traders. Expected maximum loss —20%
► Initial investors will have undilutable rights to trading profits of the Prop
group indefinitely, expected annualized net return to investors —30-60%.
4
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Trading Groups with Live P&L
Performance history for a selection of signed trading groups
EFTA_R1_02108941
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Live P&L Trading Groups - Pairs Arbitrage
Trade Description Month P/L
2010 2011 2012
Jan 119,862 237,917 424,178
Feb 114,929 250,953 304,606
Mar 212,602 139,888 307,191
Apr 216,799 230,045 269,186
May 144,789 290,839 423,550
Jun 234,292 216,858 366,756
Jul 204,702 242,523 58,102
Aug 127,280 264,452 229,417
Sep 175,312 142,275 74,904
Oct 175,986 244,126 154,052
Nov 117,673 103,749 50,956
Dec 193,166 152,333 -
2,037,393 2,515,959 2,662,897
6
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Live P85L Trading Groups - Pairs Arbitrage
Laith Shabaan
► Laith's resume
7
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Live P&L Trading Groups - Metals Arbitrage
This trade exploits a Copper arbitrage between the Month P/L
LME and Comex products. The trade utilizes a 2011 2012
systematic approach, trading approximately 500 Jan - 376,304
contracts daily and 10,000 monthly. The primary
Feb - 359,303
barrier to entry is the high level of difficulty in
trading LME products. Quite simply, they are not Mar 140,519 (1,344)
user friendly contract specifications, which, Apr 263,919 (398,589)
combined with settlement issues, provide a great May 338,188 143,663
opportunity for alpha generation. The evolution of
Jun 298,164 202,845
co-location of LME and Comex, has allowed for
easier autospreading success. Further advantage is Jul 327,486 267,483
gained from additional knowledge of the spread's Aug 70,521 159,189
correlation to other products outside of the metals Sep 467,493 218,430
asset class. These correlations help us to have Oct 501,840 283,368
confidence in the way we lean into the copper
Nov 160,553 (35,241)
arbitrage.
Dec 97,252 -
2,665,937 1,575,411
8
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Live P&L Trading Groups - Metals Arbitrage
Christian Faber
Achievements
Only four months of drawdown during the eight year period with direct P&L responsibility.
• Trained and mentored a number of successful traders, who were able to build their own revenue-generating teams.
Designated Market Maker for Euribor and Euro Swap Note Futures on LIFFE Exchange in London.
• Self-taught Visual Basic, Python Programming and Trading Technologies Algo Design Lab.
Experience
Buttonwood Group Trading_LLC
• Responsible for the double butterfly book in short term interest rate futures across the globe (US, UK, Europe, and Brazil in
particular).
k Fixed income sovereign spread trading with proven track record.
AM Rosenthal LLC
Member of Fixed Income Relative Value Group responsible for short term interest rate spreads and treasury curve strategies.
Strong development of valuation models, which improved my ability to rapidly identify and take action on curve and credit
dislocations.
Independent Fixed Income Trader
• Seat holder on the Chicago Mercantile Exchange, clearing through Advantage Futures.
• Traded government cash securities and CME, LIFFE and Eurex fixed income futures products by integrating basis, yield curve,
inter-commodity, and calendar spreads.
Used a unique strategy to exploit dislocations Eurodollar and Euribor curves.
9
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Live P&L Trading Groups - Metals Arbitrage
Christian Faber (cont.)
TransMarket Group L.L.C.
Ran a fixed income futures and cash portfolio with roughly $400,000 daily Value-at-Risk.
Specific emphasis on TED spreads in Euribor, Eurodollar, and Short Sterling.
Responsible for development and risk of ten traders in the NY office, most of whom have been taught fixed income trading
from scratch by myself.
Additional exposure in Basis Trades, Treasury curve plays, and Crude Oil futures butterflies in the back months.
Strong understanding of front end systems to allow for auto execution of multiple leg execution.
Education
MSc. Econometrics - Thesis on Measuring Risk in Transition Economies of Eastern Europe
London School of Economics, 2000-2001
Bachelor of Arts — Economics
Middlebury College, 1988-1992
Computer Skills
Languages: Visual Basic
Software: Trading Technologies, RTS, ION, CQG, Bloomberg
SFA Qualified Futures & Options Representative (UK Regulatory Authority)
10
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Live P&L Trading Groups - FX 5
Trade Description Month P/L
2010 2011 2012
Jan 119,862 237,917 424,178
Feb 114,929 250,953 304,606
Mar 212,602 139,888 307,191
Apr 216,799 230,045 269,186
May 144,789 290,839 423,550
Jun 234,292 216,858 366,756
Jul 204,702 242,523 58,102
Aug 127,280 264,452 229,417
Sep 175,312 142,275 74,904
Oct 175,986 244,126 154,052
Nov 117,673 103,749 50,956
Dec 193,166 152,333 -
2,037,393 2,515,959 2,662,897
II
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Live P8, Trading Groups - FX 5
Adil Iftikhar
Summary
Extensive and diverse financial industry experience ranging from information technology to the automated trading desks. Possess
excellent ability to independently recognize, analyze and resolve complex problems. Reliable, hard working and dedicated team
player who works well under pressure. Ability to communicate effectively and under pressure and adapt to changing situations
with ease.
Experience
Buttonwood Group Trading LLC - Algorithmic Trader
• Generated steady profits utilizing high frequency strategies in FX spot and futures.
• Applied mathematical/statistical concepts in generating microstructure valuation models and signal analysis.
Automated human-decision based trading strategies and prototyped algo trades from trading ideas.
Developed data analysis tools to analyze/optimize existing algorithms.
• Communicated system optimizations to developers and helped troubleshoot platform issues.
Buttonwood Group Trading LLC - System Administrator
Provided platform and IT infrastructure support including incident, problem, request, and change mgmt.
Administered enterprise level system monitoring and support for proprietary trading systems.
Documented systems incidents for report generation and future troubleshooting.
• Configured, optimized and deployed enterprise level HPC servers for trading platforms.
• Analyzed various system logs (FIX, Pcap etc) to troubleshoot market data and OMS issues.
Provided 1st and 2nd level technical support for 3rd party trading platforms (RTS, ORC, TT).
12
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Live P8, Trading Groups - FX 5
Adil Iftikhar (cont.)
HunGroup PTE - Algorithmic Trader
Developed and deployed multiple high frequency trading algorithms across multiple asset classes.
Achieved above average returns through utilization of spreading, hedging and arbitrage strategies.
• Utilized various techniques in identifying price discovery in markets.
• Monitored various high frequency trading algorithms and optimized them to yield maximum profits.
Rosenthal Global Securities - Junior Trader
Actively traded US treasuries utilizing synthetic yield curve model.
Developed in-depth knowledge of fixed income mathematics and bond pricing methodologies.
• Aided the development of in-house auto-spread platform.
Education
Bachelors of Science in Finance
Iowa State University, 1992-1996
Skills
Windows, Linux, HPC, networking (TCP, UDP, multicast), FIX, VBA, SQL, Python, Perl, Bash, Java, C++, R, Visio
13
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Live P&L Trading Groups - Equity Pairs
The basis for this equity pairs trade contains an Month P/L
automated strategy with significant quantitative 2011 2012
inputs. Fully systematic in execution, this Jan 33,221
strategy trades on average 300,000 shares daily,
Feb 58,331
with a peak that was 1mm shares in a day.
The strategy offers diversification across a range Mar -65,454
of instruments and markets. Risk is managed by Apr 42,746
limiting the allocation to each particular May -28,551
instrument group. Trades are initiated dollar- Jun 335 251,157
neutral, and there is a reliance on arbitrage Jul 3,703 39,146
bounds that limit risks to pre-defined levels.
Aug 145,075 102,858
The strategy is also equity market neutral, and is
Sep 89,256 71,655
best described as statistical arbitrage. There are
automated, construct bounded tradable Oct 38,311 26,333
processes that will not trade beyond certain pre- Nov 104,477 -71,889
defined level(s). Ongoing research calibrates the Dec 37,659
model on historical data to maximize Sharpe 418,816 459,552
ratio.
14
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Live P8, Trading - Equity Pairs
Alex Gerasev
Experience
Quanterra Advisors - Managing Director
Responsible for ongoing hedge fund operations, trading, and risk management.
Oversee a group of traders and quants working on delivery of highly quantitative profitable trading models.
Buttonwood Group Trading LLC - Senior Trader (account managed by Ouanterra Advisors'
Successfully implemented and executed quantitative trading models that delivered annualized return in excess of 45%.
Responsible for all aspects of day-to-day trading and risk management on a long/short equities book of up to $50 million
exposure.
The Royal Bank of Scotland - Senior Project Manager
As part of the Global Banking & Markets unit, oversaw implementation of complex business and technology solutions in many
of the bank's mission-critical areas including liquidity management system with over $400 billion in daily volume.
Successfully executed four major projects 100% on time and within budget.
ABN AMRO - Team Lead
Worked in some of the bank's most mission-critical business areas and applications including ABN AMRO Trade Desk, Risk
Management Group, ABN AMRO GlobalTrade trade finance system, LaSalleBank.com and CashproWeb.com retail and
commercial banking platforms, and ABN AMRO MTS funds transfer system.
Collaborated with Senior Vice President and Executive Vice President level managers; supervised teams of up to 30 people.
15
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Live P8, Trading - Equity Pairs
Alex Gerasev (cont.)
Motorola (Munchen, Germany) - Software Developer
Designed and developed high-performance, low-latency software application to streamline Motorola's internal information
flows in 16 Technical Information Centers worldwide.
Education
Master of Science in Financial Mathematics
University of Chicago, 2010
Bachelor of Science in Physics & Information Technologies
Novosibirsk State University (Russia), 2001
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Live P&L Trading Groups - Eurodollar Options
The concentration of the Eurodollar Month P/L
options trade has been focused on the 2008 2009 2010 2011 2012
front end of the fixed income
markets. Primary emphasis is on the first Jan 120,000 -31,000 450,000 -175,000
five years of the Eurodollar futures Feb 289,000 1,129,000 641,000 -573,000
market. Trades are typically relative value
yield curve and/or term structure of Mar 305,000 776,000 702,000 81,000
volatility driven. Generally these are not Apr 179,000 141,000 322,000 -18,000
pure up/down bets, but directional bias
from a macro perspective can frequently May 704,000 467,000 -185,000 631,000
be part of the trading strategy. Jun -560,000 1,083,000 -1,155,000 99,000
Simply put I define views and associated
Jul 167,000 367,000 -133,000 687,000 938,000
parameters, then, through analysis, I
identify the best strategies to take Aug 235,000 249,000 733,000 923,000 458,000
advantage of these views and parameters. Sep -45,000 218,000 1,066,000 -53,000 349,000
Strategy timelines range from hours to
over a year, but average one to three Oct 404,000 462,000 55,000 313,000 -98,000
months. Strategies employed usually Nov 552,000 571,000 -1,420,000 -183,000 444,000
number about a half dozen. The current
trading approach could comfortably Dec -26,000 648,000 626,000 1,247,000 299,000
employ up to $50MM and still remain 1,287,000 3,552,000 4,492,000 3,709,000 2,435,000
liquid and nimble.
I7
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Live P&L Trading Groups - Eurodollar Options
Brian Donnally
Experience
Currently Trading for 303 Proprietary
Independent Trader
• Grew $565k into S4.8mm from 2008-2010
Principia Partners
Co-founder and Partner
Software company focused on structured products
Republic National Bank
Co-founder and head of trading at global derivatives desk
• Never had a losing month in this post (1992-1994)
Mercadian Capital (a joint venture with New England Mutual)
• Led global trading
Drexel Burnham
• Ran interest rate derivative trading desk
Bank of America
• Ran minor currency trading desk in New York
Education
University of Pennsylvania Wharton School of Business, 1981
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ODIN
Platform Description Month P/L
2012
Jan (1,375)
Feb 6,848
Mar 39
Apr 9,335
May 23,048
Jun 5,364
Jul 8,710
Aug 11,317
Sep 20,763
Oct 9,285
Nov 5,528
Dec
98,862
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The ODIN Platform
► Developed over the last 5 years, the Odin Platform provides trading
groups with:
1. Superior order management
2. Testing environment with rich data sets
3. Trade execution
► The robustness of the ODIN Platform has attracted a variety of
seasoned quantitative analysts from the US and Europe.
20
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ODIN Team Bios - Ted Peterson
Experience
Buttonwood Group Trading LLC - Director of Systematic Trading
Architected an agreement with Transmarket to bring a team of four to Buttonwood with the IP including the Models, OMS
and middle office systems.
Requited, hired and managed traders, quants, developers and technologist.
Brought FX models online in two to three months and became cash flow positive one to two months later.
) Decreased operation cost for trading FX.
Leveraged relationships and brought equities trading online with new a new clearing relationship.
Created new and leveraged existing relationships with bank for direct FX trading.
Created relationships and began trading in equities dark pools.
Managed the process to bring research tools such as historical data collection online.
Managed the ongoing evolution of the trading process
Worked clearing for system risk due diligence
Transmarket Group, L.L.0 - Director of Systematic Trading
Built a systematic trading team from the ground up in a broker dealer firm. The system was designed for low to higher
frequency trading.
Managed the creation an operational OMS trading in futures, equities, and FX.
Steering committee participant for new alpha acceptance and deployment.
Responsible for risk and compliance for the groups trading.
Managed the relationships with prime/clearing.
Hired and managed a team of developers, traders quants and technologist.
21
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ODIN Team Bios - Ted Peterson (cont.)
Citadel Investment Group. LAC - Senior Network Engineer
Managed infrastructure projects internationally, with a methodology of scoping business requirements and implementing
solutions, for trading on exchanges worldwide.
• International project management experience with the business, architects and engineers under aggressive time lines.
Managed project to increase operational efficiencies by standardizing code revision, in turn reducing risk.
• Created standards and best practices.
• Managed project reducing maintenance cost of telephony infrastructure by over 40%.
• Managed project to conduct and publish evaluation of multiple vendor 10 Gigabit Ethernet switching for demanding market
data delivery requirements.
Education
Doctorate candidate
University of Illinois, Chicago
Doctoral research
Argonne National Lab
M.S. Physics
Northern Illinois University
B.S. Physics
Illinois State University
22
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ODIN Team Bios - Chris Adams
Skills & Abilities
Managed a team consisting of developers, quants, and traders which built entire low latency, and very scalable, OMS,
historical data collection and storage, real time P&L system, robust risk management, compliance, etc. with access to over 40
liquidity sources across FX, futures, and equities asset classes.
Managed all PB/clearer, exchange/ECN relationships as well as all disclosed counterparty trading relationships.
Negotiated fee structures with all counterparties.
Can bring a trading model from initial idea, through evaluation, testing, development QA, and into production.
Experience
Buttonwood Group Trading LLC - Director of Automated trading
Managed trade team consisting of developers, quants and trader.
Developed our own strategies as well as recruited talent to join the team.
Developed a team atmosphere where additions by one quant/developer could be leveraged by all on the Odin system.
Managed all PB, exchange, ECN, direct bank trading relationships.
Evaluated new technologies, trades, execution techniques and oversaw the implementation of multiple models from idea to
production.
• Managed risk for trades on Odin system.
Helped develop a full OMS, market data collection technique, reporting, etc.
23
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ODIN Team Bios - Chris Adams (cont.)
Transmarket Group L.L.C. - Financial Project Manager
Managed trade development from idea to production.
Managed all PB, exchange, ECN, direct bank relationships to provide trading environment.
Managed and optimized multiple trades. Part of trade development team.
Citadel Investment Group - Senior Network Engineer/Architect
Worked with business units to develop appropriate solutions to trade requirements and issues.
Helped to develop new ideas for improving existing trades.
Managed global network and oversaw the architecture/design of new initiatives.
Researched new technologies and how to best leverage to improve model performance.
ABN AMRO - Senior Network Engineer/Architect
Worked with business unit to help design trade floor architecture.
Developed strategy for US ATM network.
Cendant Corp - Global Network Architect
Developed architecture and managed deployment of global network for United Airlines.
Lead designer for core network services as well as airport design and implementation.
Evaluated new technologies and network strategies.
24
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303 Proprietary Trading Groups
Recent Additions
EFTA_R1,210.61
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Additions to 303 Proprietary
Last Year's Revenues - Existing Teams Are Investing & Building Upon a Strong Track Record:
Generated $10mm+ in 2011 and $12mm + in 2012
Invested & grown at double digit growth rates each year
New Revenues - R&D Summary:
Attracting New Teams & Quants/Traders
We see tremendous opportunity to continue growth:
Team/Trader Focus & Target Start 2013 Target Revenues
London Ph.D. Forward Price Prediction, $5M
Initially US Equities; Jan 1, 2013
Currency Futures Traders Currency Futures; Live (Nov '12) $1.7M to 2.4M
High Frequency US Equities Ph.D. Intraday, US Equities; Mid Q1 '13 $15M
Top 10 London FX Trader, Ph.D. FX; Dec 1, 2012 $5M to 7M+
FX Trader, New York FX; Nov 22, 2012 $3M to 4.5M+
TLT Team Med Frequency Strategies, Futures $1M to 2M+
Live since Oct 1, 2012
$35.7M to $40.9M*
* Risk exists in bringing each new revenue to market; however if we are successful in bringing more than 30% to 50% of
the pipeline in R&D to fruition, we will have exceeded our growth expectations for the year, while continuing to
diversify our revenues.
26
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303 Proprietary Trading Groups
London Ph.D Quant
2013 Target Revenues $5M
History & Key Successes
• GSA Capital, 10-25% return on capital of about $100m, Sharpe 1.5
• Goldman Sachs, $7m, Sharpe of 6.
• Partner/shareholder in three different multi-billion dollar hedge funds, member of management and investment
committees
• Built a 13-strong quant research and development team as a Head of Research for a startup hedge fund (that grew to
$2bn+)
• Portfolio manager for the futures fund
Models & Revenue Forecasts
• $5m with Sharpe between 2 and 5
Price prediction directional machine learning based strategies
• Models work on principals of systematically finding small signs of predictability (alphas) and combining them
into executable strategies using modern Machine Learning methods.
• All alphas decay over time, the key is not to rely on any single alpha, but build intelligent research processes
for searching and discovering them
Arguably, it may be the only sustainable way to build long term systematic business as proven by the success
of companies such as RenTech, Citadel (HF) and GSA.
Initial model research in listed US Equities
27
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303 Proprietary Trading Groups
London Ph. D. Quant cont'd
2013 Target Revenues $5M
• Scaling trading to a large number of markets will require more computational resources for simulations. Anticipate
growth into use of Amazon EC2 or similar cloud services in 2013
• The approach does not rely on a single trade idea, rather on a process of discovering them from the data.
• It requires significant initial investments in terms of development time, investment into the data collection,
quality assurance, simulation infrastructure, but then it is a lot better positioned for scaling it up to a large
number of markets and asset classes.
The costs of cloud services are designed to be flexible, expect them to scale with realized P&L of production
strategies.
Key Deliverables & Milestones
• Implemented data sampling and conversion processes
• Implemented various components of the research process: alpha calculations, dimensionality reduction, alpha
aggregation/signal construction, execution models
• Combined all components into a simulation and optimization framework, obtained initial simulation results
• Has started integration with C++ production infrastructure
Next Steps in 2012 (November & December)
Key Deliverables and improvements anticipated are:
• Complete integration with C++ production infrastructure
• Target Initial Production: Mid December
28
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303 Proprietary Trading Groups
High Frequency US Equities Trader, Ph. D.
2013 Target Revenues $15M
History & Key Successes
• Extensive experience as a quantitative trader and researcher at Tower Research Capital for two years;
• Responsible for alpha signal generation for multi-asset trading strategy with revenues over 30MM/year, leveraged
annualized return on capital of over 700% and combined cross-product Sharpe ratio over 10;
• Prior to Tower spent 8 years as a lead algorithmic execution quant at BNY ConvergeX, responsible for algorithmic
execution of over 1B$/daily in client flow in international and domestic equity markets;
Models & Revenue Forecasts
• 2013 Strategy highlights:
• Intraday, high frequency US equity strategy;
• Trades hundreds of equities using advanced statistical models;
• Does not rely on rebates;
• Live Sharpe ratio is projected in 5-6 range;
• Expected annualized leveraged return on capital of around 1000%;
• Expected overall revenue of over 15MM for 2013;
Resources & Leveraging BGT Infrastructure & Growth
Leverage ODIN Trading Platform, Servers & Co-Location (Nasdaq Initially)
Access to other major US Equity venues and dark pools may be utilized as part of expansion subject to
cost/benefit analysis: ARCA/NYSE, BATS, Direct Edge and etc.;
• Low latency lines between Carteret, Mahwah, Weehawken and Jersey City utilized as part of the above venue
addition;
Access to a research server farm with at least 100 available nodes will be a significant benefit in optimizing
trading parameters and further improving profitability;
Leverage Bloomberg systems for upcoming corporate actions
29
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303 Proprietary Trading Groups
High Frequency US Equities Trader, Ph. D. cont'd
2013 Target Revenues $15M
Next Steps in 2012 (November & Decembers
• November and early December: complete execution optimization to bring slippage within cost limits, implement live
trading API interface.
Mid December: start live trading. Since all simulations use pessimistic execution assumptions, live performance is
expected to be very close to backtest at lower exposure levels.
Scaling Up in 2013
• January: trade all 200 instruments in mixed lots - there is no odd lot penalty on Nasdaq. This allows to keep Sharpe
at the highest level at the sensitive time of initial deployment. Exposure 2-10MM. Revenue Approx. $ 200K/month.
• February-March: exposure 10-20MM.
• March: Add all dark pools, BATS and Direct Edge. Revenue Approx.$ 500K/month
• April: evaluate cost-benefit of adding NYSE/ARCA
• April-May: exposure 30-40MM. Revenue Approx.$ 1M/month
• June-July: exposure 50-70MM using all venues. Revenue Approx.$ 1.5M/month
• August and beyond: analyze market impact and depending on results scale to 100MM. Revenue Approx.$ 2M/month
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303 Proprietary Trading Groups
Currency Futures Trader
2013 Target Revenues $1.7M to 2.4M
History & Key Successes
• High Frequency Foreign Exchange Trader at XR Trading 2010 - 2012
• Former Head of High Frequency FX Trading @ Hanley Group, 2007 - 2010
• Bank One — JP Morgan 1994 — 2006 Vice President / Various Roles including Asian FX Desk, Treasury Services Product
Sales, etc.
• Successfully grew emerging market desk at Bank One, both FX forwards and cash
• Extensive knowledge of FX futures cash FX market, using this experience to develop, deploy, and manage trading
models
• Successfully traded currency futures model at $7K-$10K/day
Models & Revenue Forecasts
• Started with BGT in Mid-August 2012
• Overview of Model - Market making model (Initially in Currency Futures) that trades around a theoretical value.
Each trade we make is designed to get book edge based on where we believe the market's value.
• Sharpe Ratio of models directly responsible for between 7-10
• Return on capital of 100%
• Models deploy a combination of passive and aggressive strategies
• Models are operational and in the process of scaling up, with additional servers being deployed late Oct/Early
November
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303 Proprietary Trading Groups
Currency Futures Trader cont'd
2013 Target Revenues $1.7M to 2.4M
Key Deliverables & Milestones
• There have been significant improvements including better setup and management of the GUI and preparation and
deployment of a dedicated machine for trading.
• Significant analysis of CME iLink speeds, inclusive of a new measurement tool, have been developed in November
Next Steps in 2012 (November & Decemberl
• Key Revenue Goals & Ramp-up in Q4 2012 are to expand to $1K/day daily average by early December and then to the
$7K to $10K daily average for January & moving forward
• Re-balancing to faster iLinks, optimization, and scaling up is planned for December
Outlook for 2013
Extensions of model - We will use the same theory in order to identify turns in the market in order to get better queue
position and have more trades. We will also look to be more aggressive and allow the model to improve the market.
Additional markets for model - The model is designed for markets that are FIFO. Any market that has decent volume is a
candidate. The initial asset classes we will target are energy, equities, and grains.
Additional models - There is opportunity to run similar models with some tweaks. These include the crosses, micros, and
mini contracts in FX at the CME. Calendar spreading is also being targeted, especially the last 2-3 weeks of each
contract month.
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303 Proprietary Trading Groups
NY FX Trader
2013 Target Revenues $3M to $4.5M
History & Key Successes
• Spent the previous 5 years running systematic trading at a proprietary trading firm.
• Prior to 2007, was a market maker and proprietary trader specializing in FX for JP Morgan Chase and Bank Hapoalim.
• In the past several years, I have been running several automated trading strategies
• My recent trading performance has averaged a 30% -45% Return on Capital in each of the last 3 years
Models & Revenue Forecasts
• Several automated trading strategies, several of which I am now employing at Buttonwood.
• The past couple of months have been spent diligently coding up and deploying these strategies. These strategies have
been trading in production and will be scaled up in coming weeks.
• 2013 projections are to achieve similar results, and on discussed capital allocation, this should lead to Net Revenue
between $3m and $4.5m.
• Sharpe Ratio of the entire trading portfolio averages between 2.5 and 3.
Future Growth
• With further advancements, and deployment of new strategies, (currently researching several possibilities) , projections
for 2013 may be raised by approximately 10-20%
• Capital Allocation is the greatest factor in the revenue projections. The strategies are highly scalable, allowing for the
greater capital allocation thus higher potential Net Revenue, with the ROC remaining very similar.
• There are not currently new large technical requirements or expenditures foreseen in 2013.
33
EFTA_R1_02106969
EFTA02707893
303 Proprietary Trading Groups
NY FX Trader cont'd
2013 Target Revenues $3M to $4.5M
Key Deliverables & Milestones Since Joining BGT
• Code Development includes deployment of 4 strategies trading FX Spot Market
• Consumption of market data from Bloomberg
• Prior to production, the strategies were tested extensively, one by one, then integrated with assistance from the Odin
group, ultimately any bugs or issues found were rectified and code redeployed.
• Initial Production Results have shown promise in simulation, however November is our first month of uninterrupted
production. As such, actual production data is still very limited.
• There have been significant improvements including better setup and management of the GUI and preparation and
deployment of a dedicated machine for trading.
Next Steps in 2012 (November & Decembers
• Key Revenue Goals & Ramp-up in Q4 2012 are to expand capital allocation to $1m per portfolio. This ramp up
should last for 1-2 weeks while we continue to run all strategies.
• With continued operational success, the plan is to further increase capital allocation in December. The goal will be to
achieve profit targets between $300k - $400k beginning January 2013.
• Key Deliverables and improvements anticipated in 2012
• Improved optimization of current strategies
• Improved reporting of positions and PNL in coordination with Odin
• Increasing risk capital allocated to the portfolio
• Further research on new potential strategies, continue research on better optimization of current portfolio.
34
EFTA_R1_02106970
EFTA02707894
303 Proprietary Trading Groups
Top 10 London FX Trader, Ph.D.
2013 Target Revenues $5M to 7M+
History & Key Successes
• Trinity College, University of Cambridge, Cambridge; PhD, Faculty of Economics and Politics. Dissertation:
Approximation Methods in Financial Econometrics (passed with no corrections)
• Holds a chair at the Department of Economics of Royal Holloway, University of London.
• Expert in Prop High Frequency FX Trading. Owns the IP of several prop trading strategies ranging from taking,
making and mean reverting on all major pairs.
• FX Models With Very Successful Track Record ($10M+ +/annum), with live Sharpe ratios in excess of 7, trading more
than 5 yards a day.
• Prior to joining BGT in July - Bank of America Merrill Lynch, London as Systematic algorithmic trader.
• While at Celeritas, was among the top 10 in the world for daily volumes in EBS and Reuters; He held the post as head
of trading for the London office of Celeritas, a small, but innovative high frequency shop based in London.
Models & Revenue Forecasts
• Initial strategy on 10-15 FX liquid pairs and possibly a second strategy
• Implementation of test strategy has been completed in simulation
• Model coding and refinements are in progress
• Target date for initial production of strategies is mid November, w/ EBS & Reuters
• Revenue Forecasts & Metrics
• The goal is to have a daily PnL of USD 10K for the initial period of 1-3 months gradually scaling to 50K (end of
year 1 target) after more capital deployment and using mid term strategies with no overnight risk.
• Projected Sharpe for the year should be in the order of 6-8 & daily volumes 5-10 yards a day
• Capital deployment and using mid term strategies with no overnight risk.
35
EFTA_R1_02106971
EFTA02707895
303 Proprietary Trading Groups
Top 10 London FX Trader, Ph.D. cont'd
2013 Target Revenues $5M to 7M+
Key Deliverables & Milestones
• Data / Research: Worked closely with ODIN to make sure that data are properly collected to highest quality
standards. Data can now be used throughout the firm by other traders.
Code Development: Helped devising a flexible code base and framework within which different strategies can be
implemented. The approach is based on general configuration files and I understand it was new to the firm and can
be used as more traders come on board.
IP & Differentiation: Improved the IP of my strategies in a continuous strive to keep up with complex market
dynamics.
Integration & Testing: The general framework used by the strategies I have brought to the firm is fully integrated to
the existing BGT infrastructure. It is also now running everyday on testing environment.
• Overall, the joint team effort is producing an FX infrastructure that is state of the art where proper auditing of the
strategies is automated.
Next Steps in 2012 (November & December)
• Following data validation, going live and show some P&L
• The goal is to go live asap and comply with Phase 1 P&L and Sharpe ratio expectation: 10K a day and Sharpe > 4
36
EFTA_R1_02106972
EFTA02707896
303 Proprietary Trading Groups
Medium Frequency Diversified Algorithmic Futures Trading
2013 Target Revenues $ 1M to $2M
History & Key Successes
• Two person team has extensive experience as a quantitative trader and researcher at top flight Chicago based
proprietary trading firms over 10 years;
• Previously developed algorithmic trading models with annualized return over 200% in live trading; capacity of several
hundred million dollars.
Models & Revenue Forecasts
• 2012 Results: $90K October (151 Month) & similar pace in November
2013 Strategy highlights:
• Diversified futures trading; holding periods of 2-4 days;
• Targeting expansion into all suitable liquid global futures markets; equities;
• Not latency or commission structure dependent
• Live Sharpe ratio is projected in 5-6 range;
• Capacity of models expected to grow to $1Billon;
• Resources & Leveraging BGT Infrastructure & Growth
• Leverage RTD Tango Trading Platform, Servers & Co-Location
• Access to other major US and global exchanges;
• Possibility of raising outside funding
ℹ️ Document Details
SHA-256
a3422391d2f91a030e33539da206f3132634aeafd8dae1014d59380ddd9d9695
Bates Number
EFTA02707861
Dataset
DataSet-11
Document Type
document
Pages
44
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