Tracking CTAs since 1994
CTA Profiles
Tracking CTAs since 1994
Principal(s): Adam Passaglia, Amnon Baazov & Mark Downing
Strategy: Statistical / FX Futures and Spot Contracts
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Investment Restrictions: Professional Clients or Eligible Counterparties (UK) QEPs (US) ++
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The Fund's objective is to provide consistent absolute returns at a target 10% volatility via a systematic FX strategy. The Fund uses proprietary statistical arbitrage models to capture idiosyncratic opportunities in the currency markets of industrialized nations. We specialize in trading FX Futures and Spot contracts in the highly liquid $6 Trillion daily FX market. Our strategies are designed to be market neutral with an average trade duration of just over one week, monetizing short-term dislocations in target currency baskets.
Portfolio Team
Dieter Marlovics, CEO:
The following Risk Managements Strategies are followed: 1. Each Trade has a max size, 2. Trades have predefined stop-loss levels, 3. Regular review of internal risk limits and processes, 4. Live P&L risk monitoring, 5. Fully automated middle and back office trade processing, 6. Total exposure limit (leverage) as a fixed multiple of capital, 7. Per currency concentration limits, 8. Basket correlation limits, 9. Limits on total and per currency volume and open orders, 10. All orders pass through risk checks, 11. 24/5 live monitoring.
ARB's Principals include:
Adam Passaglia, Managing Partner:
As co-founder of ARB Trading Group, Mr. Passaglia has overseen ARB's business beyond proprietary trading to create a vertically integrated financial services company. He led ARB's expansion into broker / dealer services, IB services, trading execution and risk management software, alternative asset management, and hedge fund services. Mr. Passaglia started his trading career in 2000 at a proprietary firm in Frankfurt, Germany and was soon hailed by Futures Magazine as one of the most consistent disciplined traders in Europe. He holds a B.A. in Finance from the University of Illinois.
Amnon Baazov, Managing Partner: Mr. Baazov, as a founding partner of ARB Trading Group, has led the firm's automated algorithmic trading division since 2009. He has overseen the creation and implementation of numerous automated trading strategies, covering multiple asset classes and statistical approaches. Mr. Baazov started his trading career in 1996 focusing on interest rate differentials. He holds a B.A. in International Finance from HEC Montreal.
Mark Downing, Chief Operating Officer: Mark is responsible for overseeing the launch of ARB AM funds and strategies. Prior to joining ARB, he served as COO of a Chicago based hedge fund with $150m AUM. Mark also previously traded interest rate options as a market maker for both his own
proprietary firm as well as for a leading institutional market maker starting in 2006. He holds a B.S. in Finance and Computer Information Systems from Indiana University Kelley School of Business.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.03% | -3.91% | -1% | -3.91% | ||||||||||
| 2024 | 0.08% | 0.86% | -1.93% | 1.34% | 1.64% | -3.21% | -0.67% | 4.56% | 0.10% | 0.66% | -0.85% | -1.95% | 0.41% | -3.86% |
| 2023 | 1.06% | -0.03% | 2.49% | 1.29% | -2.16% | -6.04% | 9.35% | 0.97% | 0.91% | -0.35% | 2.87% | 0.69% | 10.88% | -8.07% |
| 2022 | -0.23% | 2.80% | -0.98% | 2.90% | 0.71% | -0.06% | 1.63% | 0.87% | -3.30% | 4.54% | 0.80% | 1.13% | 11.1% | -3.3% |
| 2021 | 0.84% | 0.38% | -8.16% | 10.54% | -0.47% | 2.74% | 0.80% | 0.80% | 1.67% | -0.51% | 3.82% | 0.63% | 12.82% | -8.16% |
| 2020 | 1.33% | 0.64% | -4.15% | 0.06% | 0.26% | -0.39% | 2.85% | -0.04% | 3.20% | 1.62% | 0.93% | 0.50% | 6.83% | -4.22% |
| 2019 | 2.98% | 2.68% | 1.68% | 0.79% | 0.41% | 0.67% | 0.90% | 0.98% | 0.14% | -0.09% | 0.77% | 1.38% | 14.08% | -0.09% |
| 2018 | 0.43% | 1.13% | 3.32% | -0.72% | 2.65% | 0.18% | 0.45% | 0.11% | 1.60% | 2.55% | -0.12% | 0.72% | 12.92% | -0.72% |
| 2017 | 1.79% | -1.00% | 4.16% | -0.13% | 3.61% | 0.91% | 9.6% | -1% | ||||||
| Years | 2017 | 2018 | 2019 | 2020 | 2021 | 2022 |
|---|---|---|---|---|---|---|
| ROR | 9.60% | 12.92% | 14.08% | 6.83% | 12.82% | 11.10% |
| Max DD | -1.00% | -0.72% | -0.09% | -4.22% | -8.16% | -3.30% |
| Years | 2023 | 2024 | 2025 YTD |
|---|---|---|---|
| ROR | 10.88% | 0.41% | -1.00% |
| Max DD | -8.07% | -3.86% | -3.91% |
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.
