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Beach Horizon LLP

Horizon program (Composite)

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Monthly performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year
2017-1.80%0.51%-4.58%0.79%-1.19%       -6.21%
20164.23%4.20%-5.55%-3.20%-5.28%4.87%2.91%-2.09%-1.54%-2.29%6.07%-1.50%-0.11%
20153.57%2.03%0.80%-5.48%-1.02%-4.50%5.22%5.16%2.15%-6.62%3.87%0.89%5.26%
20141.95%0.82%-1.46%1.68%3.19%-2.38%4.24%4.22%8.73%3.04%7.29%4.58%41.68%
20131.45%-3.82%-0.31%3.19%-1.27%-1.85%-4.22%-0.82%-1.84%3.50%0.36%-1.73%-7.42%
2012-2.69%-1.45%-3.49%-0.32%7.26%-7.25%3.35%-3.00%-4.88%-4.76%-2.05%-0.66%-18.89%
20111.23%3.95%-2.21%4.47%-4.81%-3.90%5.53%0.58%-0.71%-6.39%3.66%-0.13%0.43%
2010-3.93%-0.07%5.13%2.04%-7.89%0.37%-4.67%4.31%2.71%7.05%-3.50%9.21%9.71%
20090.44%1.02%-3.45%-2.99%-1.09%-2.25%-1.18%3.64%2.09%-4.68%7.64%-1.27%-2.68%
200810.62%20.72%-2.33%-3.77%2.30%6.36%-10.69%-4.22%7.11%17.10%6.87%5.10%64.54%
20071.97%-2.81%-2.45%4.99%5.07%3.71%-6.42%-9.65%7.44%9.25%-2.03%5.90%13.90%
20066.36%-4.13%6.74%9.79%-3.81%-4.90%-5.04%1.22%-2.40%4.35%0.77%2.18%10.19%
2005    4.70%3.39%-2.54%3.99%1.69%-3.01%10.38%0.74%20.31%

Performance statistics — May 2005 to May 2017

Cumulative total return 179.54%
Annualized compound return 8.88%
Annualized standard deviation 16.86%
Monthly correlation to S&P 500 TRI -0.20
Annualized sharpe ratio (0%) 0.52
Monthly maximum loss (Jul 2008) -10.69%
Maximum drawdown (May 2011 - Sep 2013) -31.27%

Annual performance (%) — May 2005 to May 2017

Year or YTD Beach Horizon LLP S&P 500 TRIBTOP50 Index
2017-6.218.66-2.46
2016-0.1111.96-4.44
20155.261.38-0.92
201441.6813.6912.33
2013-7.4232.390.74
2012-18.8916.00-1.83
20110.432.11-4.25
20109.7115.066.38
2009-2.6826.46-4.77
200864.54-37.0013.58
200713.905.497.57
200610.1915.795.61
200520.31--

Performance comparison: Growth of $10,000 invested since inception — May 2005 to May 2017

This chart represents a hypothetical investment of $10,000 at the time of the strategy’s inception and is not intended to imply an actual investment. Hypothetical returns do not assume the reinvestment of dividends and income.

Monthly returns — Jul 2007 to May 2017

Distribution of monthly returns — May 2005 to May 2017

Underwater curve — May 2005 to May 2017

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656

Company background

Beach Horizon LLP was founded in May 2004 by David Beach, Sanjeev Lakhanpal and Dr. Paul Netherwood while part of Beach Capital Management (BCM). BCM was founded in 1998 by David Beach. Mr, Lakhanpal and Dr. Netherwood started their careers at AHL (now part of the Man Group plc) in the early 1990's.

Markets traded

125 markets in FX and Futures in commodity and financial markets. Sectors include equity indices, interest rates, bonds, G10 and emerging market currencies, precious and base metals, energies, grains, meats, softs and commodity spread markets.

Strategy

The Horizon Program blends the rigor of scientific method with the automation of trader skill to capture and model market behavior.  The Horizon Program uses proprietary techniques for the identification of trends; Digital Signal Processing (DSP) techniques used to identify market cycles over multiple time frames and pattern recognition techniques used to identify significant turning points in trends. The DSP approach leverages off a large body of scientific and engineering knowledge for the analysis of signal data. The Pattern Approach builds on the experience of David Beach’s 20 years’ of trading using patterns that are unique to Beach Horizon. The combination of the use of rigorous scientific methodology combined with the automation of trader experience creates a robust model that adapts to varying trading conditions.

The Horizon Program is directional in nature and seeks to take advantage of upward and downward trending markets. The model seeks to maximize diversification whilst reducing risk. The portfolio construction methodology is designed to be adaptive and avoid trading persistently correlated markets and omit trading markets that do not benefit the risk and diversification profile of the model.

The model operates in a framework designed to control all levels of risk including market, operational and business risk. Risk management controls are applied by the system hundreds of times a day to constantly adjust to the targeted level of market risk. Proprietary risk filters are built into the model to automatically adapt to changing market risks including a trend risk function that mitigates the risk of collapsing trends. Beach Horizon uses a bespoke electronic execution platform that combines algorithmic and trader led execution to deliver efficient execution whilst minimizing error risk.

Key personnel

David Beach, Founder — Mr. Beach is a founding partner of Beach Horizon LLP with responsibilities for business development and research. Mr. Beach joined Sabre Fund Management Ltd. in 1989 where, in addition to trading the main Sabre fund, he was in June 1989 allocated the inital capital to begin actively managing money in his own program. Prior to joining Sabre Fund Management Ltd., Mr. Beach worked for L. Messel & Co. (subsequently acquired by Shearson, Lehman & Co.) as a research analyst, having graduated from Kent University with a first class degreed in mathematics. 

In May 1994, Mr. Beach joined GH Fund Management Ltd. to further develop his trading program and manage the assets of the GNI Technical Program and fund. He established Beach Capital Management, Ltd. in 1998 where he operated the Discretionary program, a successful managed futures program. David has a track record spanning 20 years. He retired from managing the Discretionary program in March 2006. David is a founding partner in Beach Horizon and has been involved in the program since inception. 

Sanjeev Lakhanpal, Founder — Mr. Lakhanpal is a founding partner of Beach Horizon with responsibilities for trading, investment management and research for Horizon.  Mr. Lakhanpal was responsible for the inception and design of the Horizon trading model. Until 2005 he was also a Senior Trader at Beach Capital Management Ltd. Before joining Beach Capital Management Ltd. in 2000, Mr. Lakhanpal was the Trading Manager at CA Investment Advisers with additional responsibilities for trading system research. Mr. Lakhanpal started his career at AHL (now part of the Man Group plc) as a Data Engineer in 1992. He then joined the Trading Department and later became Trading Manager. Mr. Lakhanpal had a number of roles including responsibility for the execution of fund trades where assets under management were in excess of $5bio. He founded Beach Horizon in 2005. Mr. Lakhanpal has a BSc(Hons) in Physics from King's College London and an MSc in Finance from Brunel University.

Dr. Paul Netherwood, Founder — Dr. Netherwood is a founding partner of Beach Horizon LLP with responsibilities for investment management and research for Horizon. He was responsible for designing and building the Horizon trading model and systems. He has over 20 years’ experience in designing and building trading systems and large-scale risk management systems in a number of investment banks. Prior to founding Beach Horizon in May 2005, Dr Netherwood was at Beach Capital Management from 2001 where he was responsible for building systematic trading systems. Paul started his career at AHL (now part of the Man Group plc) in 1993 where he was involved in trading system development. He later moved to Nomura to build risk management systems. Following that, he was Chief Architect at a risk management software house responsible for building Credit Risk Management systems for Deutsche Bank. He has a PhD in Computer Science (Machine Vision, Pattern Recognition, DSP, AI) and a BSc (Hons) in Computer Science from Kingston University London.

 

See glossary for index descriptions and definitions of terms.

Investors cannot directly invest in an index, unmanaged index returns do not reflect any fees, expenses, or sales charges.

EASP656