Aurora Hill, Ltd. was a limited partnership structured around the MR8 Mean Reversion–FX Program and offered exclusively through Argo Wealth Management, Inc. The program traded spot foreign exchange on an intra-day basis with no overnight exposure. All materials on this page are preserved as historical archive documents. This exhibit does not constitute investment advice, a solicitation, or an offer of any kind.
The 2014 Collaboration
In 2014, at the request of Black Phoenix, Argo Futures participated in the development and operational support of a retail-accessible high-frequency foreign exchange trading model. The objective was to bridge institutional quantitative trading methodologies with a scalable retail FX environment, utilizing systematic research, automated execution, and professional risk management practices.
The initiative represented an effort to bring institutional-style quantitative trading concepts into a broader FX marketplace by combining Stig Ostgaard's decades of systematic trading research, Black Phoenix's quantitative research and strategy development capabilities, and Argo Futures' market infrastructure, operational experience, and FX execution capabilities.
During this period, Argo Futures processed approximately 83,000 FX transactions per day, representing approximately 6% of FXCM's daily trading volume. This demonstrated institutional-scale operational capability, reflected the growth of electronic foreign exchange markets, and provided the infrastructure environment necessary for large-scale automated trading programs.
Mean Reversion — MR8
Mean reversion, in its simplest form, is a trading strategy based on the likelihood of a traded unit's value returning to its historic average over time. The prime component of Aurora Hill's trading model was a mean reversion strategy trading spot foreign exchange on an intra-day basis with no overnight exposure. The number of currency pairs traded varied depending on where the opportunity was found.
A secondary trading component was a risk overlay designed to make certain currency pairs either eligible or ineligible for trading on a daily basis. Rounding out the trading model was a hedging factor utilizing sub-strategies to minimize downward exposure, including a short-term trend-following model and a breakout system that looked at on-balance volume.
The program was designated MR8 — Mean Reversion–FX Program. The strategy traded intra-day and was always flat at the end of each day.
Program Identity
Mean Reversion—FX Program
Strategy type
Mean reversion
Market
Spot FX
Holding period
Intra-day only
Overnight exposure
None
Structure
Limited partnership
Offered through
Argo Wealth Management
Monthly Returns — 2012–2013
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Annual |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2012 | — | — | 3.09% | 2.15% | 1.23% | -0.14% | -0.03% | -0.01% | 6.13% | 5.77% | 5.16% | 6.32% | 29.66% |
| 2013 | 8.20% | 7.71% | 6.20% | 4.71% | 7.94% | 7.46% | 7.07% | 1.61% | 2.40% | 2.34% | — | — | 55.65% |
Year to Date (2013)
55.65%
12 Months ROR
67.13%
Average ROR
4.27%
Sharpe Ratio
5.24
Sortino Ratio
Infinity
Sterling Ratio
3.94
Drawdown
0.00%
Correl. S&P 500
0.0150
Past results are not necessarily indicative of future results. This does not constitute a solicitation to buy or sell. No investment should be made without fully reviewing the associated risk factors, fees, and conflicts of interest.
FXCM — Institutional-Scale FX Operations
During the period of this collaboration, Argo Futures processed approximately 83,000 FX transactions per day, representing approximately 6% of FXCM's daily trading volume. This volume demonstrated institutional-scale operational capability and reflected the growth of electronic foreign exchange markets during this period.
This infrastructure provided the operational environment necessary for large-scale automated trading programs. The combination of high-volume electronic execution, systematic risk management, and institutional FX dealing experience formed the foundation on which the MR8 program was built.
Daily FX transactions
~83,000
Share of FXCM daily volume
~6%
Quantitative Research and Strategy Development
Black Phoenix brought quantitative research capabilities and systematic strategy development to the collaboration. The team's work formed the research foundation of the MR8 initiative, combining algorithmic design with institutional-grade risk management practices.
Irwin Berger
Managing Director, Operations
Irwin Berger served as Managing Director, Operations at Last Atlantis Capital Management, where he had over 20 years of experience in the alternative investment industry. He was responsible for marketing LACM's investment products and overseeing the overall operations of the firm.
Prior to founding LACM, Irwin was Vice Chairman of Sjo, Inc. His wide-ranging capabilities contributed to Sjo's success in raising over $375 million in managed futures assets. Irwin pioneered the trading of interest rate futures in the Australian and Asian markets for the alternative investment industry.
Before his involvement at Sjo, Inc., Irwin was a Research Analyst at The Chicago Corporation's fixed income department, where he was responsible for analysis of hedging strategies for Savings and Loan clients. Prior to this, he was the Vice President of Marketing at Union Planters Futures Corporation where he developed and marketed hedging programs for Savings and Loans. He has also lectured at Northern Illinois University's College of Business. Irwin has written numerous articles on trading and risk management, which have appeared in professional and trade publications worldwide. Additionally, Irwin was a regular contributor to the futures market report on the Financial News Network cable television station and the MONY radio commodities report. He has appeared as a speaker at numerous alternative investment conferences and industry events. Irwin has an MBA and BS in Marketing from Northern Illinois University.
Stig Ostgaard
Managing Director, Trading and Research — Strategy Architect
Stig Ostgaard served as Managing Director, Trading and Research at Last Atlantis Capital Management, where he was responsible for research and development of internal trading strategies and overseeing trading operations. He has over 25 years of experience in the alternative investment industry.
Formerly, Stig was Chief Executive Officer of Sjo, Inc., where he was the main designer and manager of the original Sjo trading system and supervised a staff of 25 employees including 10 traders operating a 24-hour trading desk. As Sjo's head trader, Stig was responsible for managing the firm's futures trading strategies. After becoming one of the first CTA entrants into Australia, Sjo quickly became one of that market's major traders in bank bills. The firm was also a pioneer in developing a global managed futures interest rate program. During Stig's tenure at Sjo, he led the firm to a one and a half percent (1.5%) market share of the managed futures industry. In 1988, his trading programs made the Sjo Fund the number one performing managed futures fund of the year. In 1991, he was selected by Business Week magazine as the Commodities Trader of the Year.
Prior to his position at Sjo, Inc., Stig traded a sizable futures portfolio on behalf of a well-known Chicago commodity trader in a program that became popularized as the Turtle Trading Program. In 1989, the Wall Street Journal ranked Stig as the highest performing Turtle. Stig has an MBA in Finance from Northern Illinois University where he has lectured in the School of Business Finance Department.
Market Infrastructure and Execution
Argo Futures contributed market infrastructure, operational experience, and FX execution capabilities to the collaboration. The firm's established position in electronic foreign exchange markets provided the operational environment necessary for large-scale automated trading programs.
Phil Rausch
Foreign Exchange — Institutional Dealing
Phil Rausch began his career in Foreign Exchange as a Corporate Foreign Exchange Specialist for the Swiss Bank Corporation, Chicago in the 1980s. He was subsequently promoted to Chief Foreign Exchange Dealer for the branch responsible for the entire trading desk handling the proprietary dealings of the bank as well as the corporate dealing functions for the bank's customers in the mid-west of the United States.
He then moved on to Geldermann, Inc. in Chicago where he managed the Foreign Exchange trading desk in both Chicago and London. In 1995, Geldermann was purchased by the Man Group PLC in London, England. Phil relocated to London to facilitate the merger of the companies. In 2000 he was appointed to the Board of Directors of Man Financial UK LTD in addition to his duties as Chief Foreign Exchange dealer in the London operation. During his tenure, his group of 13 dealers produced more revenue than any other group within the London branch, the company's largest, including the core business of the company which was Financial Futures with a staff in excess of 200 people. In 2008 after his successful tenure with Man, he decided to take a sabbatical and relocate his family back to the United States.
Greg Cieply
Foreign Exchange — Trading and Operations
Greg Cieply completed his finance degree at DePaul University and as a student began working in the futures industry at Stotler Partners in 1986. His initial job in the Forex industry was with a small futures firm called Geldermann. With his assistance, his team grew the unit into a significant player in the interbank market which ultimately led to a merger with ED&F Man in 1994.
Greg spent several years working in the New York foreign exchange market with ED&F Man and returned to Chicago where he ran a trading desk for LFG Futures — later to become Refco. After successfully managing the Chicago trading desk of this global leader, he joined the banking sector with Bank of Montreal where he managed risk for their global order book in FX Spot, forwards and options. He headed the team that started up the North American operation of UK broker FIXI, LLC where he grew revenue from nil to several millions in a space of two years. In 2012 he began the Institutional foreign exchange division of ILQ, LLC and grew revenues from zero to over seven figures.
Dan Miller
Argo Futures Group — Founder and Chief Executive Officer
Dan Miller was the founder and chief executive officer of Argo Futures, a firm with a 17-year history of innovation, client care, and expertise in alternative investments and futures trading. Dan utilized his career-long passion for this marketplace to help his clients find that crucial edge in today's fast-paced, evolving markets. The combination of personal service and state-of-the-art electronic tools allowed Argo Futures to claim a unique place in the industry — one that was characterized by both innovation and prudent risk management.
Aurora Hill, Ltd.
Aurora Hill, Ltd. was structured as a limited partnership and offered exclusively through Argo Wealth Management, Inc. The minimum investment was 100,000 USD. The program carried no management fee and a 50% incentive fee. Investment restrictions were limited to Eligible Contract Participants (ECP) only.
The partnership combined Stig Ostgaard's proprietary mean reversion software and trading system with the institutional foreign exchange dealing experience of Phil Rausch and Greg Cieply, and the client-service infrastructure of Argo Wealth Management.
Primary Source Documents
Aurora Hill Partnership Overview
1 page available
MR8 Mean Reversion Performance Document
1 page \u2014 scan upload pending
Aurora Hill Risk Management Controls
2 pages \u2014 scan upload pending
Black Phoenix — Management Team Biographies
2 pages available
Argo Wealth Management — High-Frequency Trading Services
1 page available
This exhibit is drawn from the Aurora Hill, Ltd. Partnership Overview brochure, the MR8 Mean Reversion–FX Program performance document, the Aurora Hill Risk Management Controls document, the Black Phoenix management team biographies, the Argo Wealth Management HFT services document, and supporting historical documentation. All materials are preserved as historical archive documents from the Argo Futures Group operating record. The partnership is no longer active. This page does not constitute an offer to sell, a solicitation to buy, or investment advice of any kind.