The Klassik Strategy trades via managed accounts and the Amplitude Trading Strategy Fund (”Fund”). Instruments include liquid exchange traded futures across all asset classes: equities, FX, fixed income and commodities. This strategy utilizes a systematic and fully automated directional program which uses extensive quantitative analysis of real time price data and sophisticated portfolio methodology to detect short term market trends on multiple time frames. The strategy incorporates a small mean reversion component and some pattern recognition. Execution is entirely electronic. Execution costs and slippage are closely monitored. The risk management function is also monitored real-time and is fully automated. As of 1st December 2015, 73 markets are traded, with each instrument independently analyzed. The average holding period is 7.5 days.
| Year or YTD |
Program |
SP500 TR |
| 2016 |
29.14 |
11.98 |
| 2015 |
-18.87 |
1.41 |
| 2014 |
26.47 |
13.69 |
| 2013 |
-5.16 |
32.41 |
| 2012 |
16.82 |
15.98 |
| 2011 |
-3.91 |
2.12 |
| 2010 |
3.26 |
15.06 |
| 2009 |
-2.46 |
9.99 |
| Average |
5.66 |
12.83 |
| Stock Indexes |
Yes |
| Interest Rates |
Yes |
| Currencies |
No |
| Metals |
No |
| Energies |
No |
| Softs |
Yes |
| Grains |
No |
| Meats |
No |
| Forex |
Yes |
| Technical |
Yes |
| Trend Following |
Yes |
| Systematic |
Yes |
| Discretionary |
No |
| Diversified |
Yes |
| Sector Specialist |
No |
| Mean-reversion |
Yes |
| Managed Account Minimum: |
$100,000,000 |
| Margin / Equity Ratio: |
15% |
| Managed Account Availability: |
Open |
| Manager Name: |
Amplitude Capital International Limited |
| Address: |
1st Floor 802 West Bay Grand Pavilion Commercial Centre |
| City: |
Grand Cayman |
| State: |
GC |
| Zip: |
KY1-1203 |
| Country: |
Cayman Islands |
Karsten Schroeder is the Chief Executive Officer of the Investment Adviser, and from 2004 to December 2008 he was the Chief Executive Officer of Amplitude Capital LLP. He oversees all the key decisions of the Investment Adviser relating to product development, trading ideas and strategy and is the portfolio manager for the group investment funds. He had been working on the development of the Master Fund’s trading system for over five years until he founded Amplitude Capital LLP in September 2004. Mr Schroeder was with McKinsey from September 2001 to January 2004, where he was involved in a number of key corporate finance projects involving blue chip European clients. Between 1997 and 1999, Mr Schroeder read for a pre-diploma in Computer Science and Business at the European Business School in Oestrich-Winkel and took his diploma in Business Administration from HHL Leipzig Graduate School of Management in Leipzig between 1999 and 2001, which included an international term at the Australian Graduate School of Management.
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Peter Knight Advisor
Asset Investment Management
