Introduction To Uae & Mena Trading Strategies By Peter Barr

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Introduction to UAE & MENATrading Strategies

By Peter BarrTrading Strategy Developer

2004 2005 2006 2007 2008 2009 20100%

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London School of Economics Graduate: BSc Economics

Masters Degree in Computer Science

Dubai:

Over six years local/regional trading and investment management experience

2007 - 2010: Investment Manager – Daman Investments

2004 - 2007: Trading Manager – Nasdaq Dubai

London:

Seven years front office experience with three top tier investment banks

2002 – 2004: Program Trading - Société Générale

1997 - 2000: Program Trading - Credit Suisse

1996: Equity Syndication - Morgan Stanley

Education

Professional Experience

Peter Barr: Profile

UAE Equity Trend Following Strategy

&

UAE Equity Trend Following Strategy: Plus+

UAE Trading Strategies


Strategy Description:

In common with other frontier and emerging markets, the UAE equity market tends to exhibit strong price persistency. Price persistency refers to the tendency for stock prices to continue moving in the direction of established trends. More specifically, when stock prices begin to rise they tend to continue to rise in the future. Similarly, when stock prices begin to fall they tend to carry on falling.

This type of price action can be exploited by using trend following trading strategies. The UAE Equity Trend Following Strategy utilises an algorithm that objectively identifies stocks that have begun to increase in price and that are likely to continue rising in the future.

The strategy is long only and trades a basket of stocks listed on the DFM and ADX. All performance returns are net of transactions costs and assume dividends are reinvested in the strategy.


Performance Stats:

UAE Equity Trend Following Strategy:

CAGR: 38%Max Drawdown: -26%Sharpe Ratio: 1.45

DFM General Index – Buy & Hold:


ADX Index – Buy & Hold:


Performance Notes:

During periods of rising prices the UAE Equity Trend Following Strategy captures significant profits. The strategy sidesteps falling prices during bear markets by moving to cash.



Although the UAE Equity Trend Following Strategy is able to successfully exploit price persistency during bull markets the best it can achieve during bear markets is to protect returns by moving to cash.

For example, the adjacent chart plots the DFM General Index versus the corresponding percentage of the UAE Equity Trend Following Strategy in cash. As highlighted, during periods when the DFM General Index is falling the percentage of the UAE Equity Trend Following Strategy in cash approaches 100%. During these bear market periods strategy returns are flat to slightly negative.

Unfortunately, as is characteristic with frontier and emerging markets, periods of rapid price appreciation tend to be interspersed with periods of significant price decreases. In the UAE market this has been evidenced over the last 5 years. During these periods the UAE Equity Trend Following Strategy is unable to generate significant profits.

Fully Invested

Fully in Cash

DFM General Index versus Cash Position of UAE Equity Trend Following Strategy



The UAE Equity Trend Following Strategy: Plus+ seeks to enhance returns by combining the original UAE Equity Trend Following Strategy with a short-term trading strategy on the S&P 500 Index.

The UAE Equity Trend Following Strategy: Plus+ utilises the same trend following algorithm as in the original strategy. However, unlike the original strategy the UAE Equity Trend Following Strategy: Plus+ diverts any unused cash to the short-term S&P 500 Index strategy.

The S&P 500 strategy exploits very short-term mean reversion tendencies in the price movements of the index. Mean reversion is the opposite of trend following. It refers to the tendency of rising prices to be followed by price decreases and vice versa.

By diverting unutilised cash to the S&P 500 strategy positive returns can be generated during periods when the original strategy would only be able to return flat or negative performance.

The UAE Equity Trend Following: Plus+ strategy comes in several “flavours” depending on risk appetite and long/short preferences:

UAE EquityTrend Following

Strategy

S&P 500 IndexMean Reversion

Strategy

UAE EquityTrend Following:

Plus+

The UAE Equity Trend Following: Plus+

1.Unleveraged - Long/Short

2.Leveraged - Long/Short

3.Unleveraged - Long Only

4.Leveraged - Long Only


Performance Stats:

Unleveraged – Long/Short:



1. Unleveraged – Long/Short

This version of the UAE Equity Trend Following Strategy: Plus+ does not employ any leverage. Both long and short trades are initiated for S&P 500 Index Mean Reversion strategy.

All performance returns are net of transactions costs and reinvestment of dividends.

Leverage Long/Short--------------------------------------------------------------UAE Equity TF None Long OnlyS&P 500 MR None Long/Short--------------------------------------------------------------



2. Leveraged – Long/Short

This version of the UAE Equity Trend Following Strategy: Plus+ employs 2:1 leverage on all trades initiated for the S&P 500 Index Mean Reversion strategy. No leverage is applied to the capital allocated to the UAE Equity Trend Following strategy. Both long and short trades are initiated for S&P 500 Index Mean Reversion strategy.


Leverage Long/Short--------------------------------------------------------------UAE Equity TF None Long OnlyS&P 500 MR 2:1 Long/Short--------------------------------------------------------------

Performance Stats:

Leveraged – Long/Short :



Performance Stats:

Unleveraged – Long Only:



1. Unleveraged – Long Only

This version of the UAE Equity Trend Following Strategy: Plus+ does not employ any leverage. Only long trades are initiated the for S&P 500 Index Mean Reversion strategy.


Leverage Long/Short--------------------------------------------------------------UAE Equity TF None Long OnlyS&P 500 MR None Long Only--------------------------------------------------------------


Performance Stats:

Leveraged – Long Only:



1. Leveraged – Long Only

This version of the UAE Equity Trend Following Strategy: Plus+ employs 2:1 leverage on all trades initiated for the S&P 500 Index Mean Reversion strategy. No leverage is applied to the capital allocated to the UAE Equity Trend Following strategy. Only long trades are initiated for the S&P 500 Index Mean Reversion strategy.


Leverage Long/Short--------------------------------------------------------------UAE Equity TF None Long OnlyS&P 500 MR 2:1 Long Only--------------------------------------------------------------

UAE Trading Strategy Comparisons

Notes:1. The UAE Equity Trend Following Strategy has outperformed

the DFM and ADX indexes by over 400% since 20042. All versions of the UAE Equity Trend Following Strategy:

Plus+ have significantly outperformed the original UAE strategy

3. The UAE Equity Trend Following: Plus+ strategies have been able to generate positive returns even during bear markets where UAE equities have experienced significant price falls

UAE Trading Strategies Historical Performance ComparisonsGrowth of $100,000 Starting Capital: Jan 2004 – June 2010

MENA Equity Trend Following Strategy

&

MENA Equity Trend Following Strategy: Plus+

MENA Trading Strategies

MENA Equity Trend Following Strategy


Stocks trading on MENA markets, like those in the UAE, tend exhibit a strong tendency to persistent in their current direction. The MENA Equity Trend Following Strategy applies a similar technique as the UAE Equity Trend Following strategy in order to identify and profit from long, extended trends in price movements.

The strategy trades a basket of stocks listed in Saudi Arabia, Qatar, Kuwait, Bahrain, Oman, UAE, Egypt and Morocco. Because the strategy trades across a number of markets it is more diversified than the UAE Equity Trend Following Strategy.

All returns for this strategy include reinvested dividends and are net of trading costs.

Performance Stats:

MENA Equity Trend Following Strategy:



Performance Stats:

Unleveraged – Long/Short:



1. Unleveraged – Long/Short

This version of the MENA Equity Trend Following Strategy: Plus+ does not employ any leverage. Both long and short trades are initiated for S&P 500 Index Mean Reversion strategy.


Leverage Long/Short--------------------------------------------------------------MENA Equity TF None Long OnlyS&P 500 MR None Long/Short--------------------------------------------------------------


Performance Stats:

Leveraged – Long/Short:



2. Leveraged – Long/Short

This version of the MENA Equity Trend Following Strategy: Plus+ employs 2:1 leverage on all trades initiated for the S&P 500 Index Mean Reversion strategy. No leverage is applied to the capital allocated to the MENA Equity Trend Following strategy. Both long and short trades are initiated for S&P 500 Index Mean Reversion strategy.


Leverage Long/Short--------------------------------------------------------------MENA Equity TF None Long OnlyS&P 500 MR 2:1 Long/Short--------------------------------------------------------------


Performance Stats:

Unleveraged – Long Only:



1. Unleveraged – Long Only

This version of the MENA Equity Trend Following Strategy: Plus+ does not employ any leverage . Only long trades are initiated for S&P 500 Index Mean Reversion strategy.

All performance returns are net of transactions costs and assume reinvestment of dividends.

Leverage Long/Short--------------------------------------------------------------MENA Equity TF None Long OnlyS&P 500 MR None Long Only--------------------------------------------------------------


Performance Stats:

Leveraged – Long Only:



1. Leveraged – Long Only

This version of the MENA Equity Trend Following Strategy: Plus+ employs 2:1 leverage on all trades initiated for the S&P 500 Index Mean Reversion strategy. No leverage is applied to the capital allocated to the MENA Equity Trend Following strategy. Only long trades are initiated for the S&P 500 Index Mean Reversion strategy.

All performance returns are net of transactions costs and reinvestment of dividends

Leverage Long/Short--------------------------------------------------------------MENA Equity TF None Long OnlyS&P 500 MR 2:1 Long Only--------------------------------------------------------------

MENA Trading Strategy Comparisons

MENA Trading Strategies Historical Performance ComparisonsGrowth of $100,000 Starting Capital: Jan 2004 – June 2010

Notes:1. All MENA Equity Trend Following strategies significantly

outperform the DFM and Saudi Tadawul indexes2. The MENA Equity Trend Following: Plus+ strategies generate

superior returns when compared to the original MENA Equity Trend Following Strategy

3. The MENA Equity Trend Following: Plus+ strategies are able to generate positive returns across all market environments

Summary: Strategy Performance Stats

CAGR* Max Drawdown Sharpe Ratio

Trading Strategies:

UAE Equity Trend Following Strategy 38% -26% 1.45

UAE Equity Trend Following Strategy: Plus+1. Unleveraged – Long/Short 57% -26% 1.862. Leveraged – Long/Short 76% -27% 1.923. Unleveraged – Long Only 49% -25% 1.084. Leveraged – Long Only 59% -28% 1.61

MENA Equity Trend Following Strategy 31% -14% 2.42

MENA Equity Trend Following Strategy: Plus+1. Unleveraged – Long/Short 46% -14% 2.392. Leveraged – Long/Short 63% -27% 2.013. Unleveraged – Long Only 38% -17% 2.064. Leveraged – Long Only 45% -28% 1.58

Benchmarks:

DFM General Index 6% -85% 0.32

ADX Index 6% -66% 0.31

Saudi Tadawul Index 5% -80% 0.29

* Compound Annual Growth Rate

Documents

Introduction To Uae & Mena Trading Strategies By Peter Barr