FXB

FX BASKET QUANT is our latest trading strategy. The strategy started live trading on January 1, 2013. The actual performance will be tracked on the Performance page of our web site.

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Total

VAMI

1999

0.21%

(0.66%)

0.68%

(5.56%)

3.17%

(1.14%)

5.88%

1.14%

0.82%

0.95%

0.71%

0.82%

6.63%

1066.3

2000

1.71%

0.98%

1.12%

0.24%

2.84%

2.05%

0.84%

1.90%

0.64%

1.52%

1.76%

2.34%

19.46%

1273.8

2001

2.06%

2.81%

0.34%

0.93%

(1.01%)

1.56%

2.47%

0.72%

1.05%

1.69%

0.72%

0.85%

15.09%

1466.0

2002

0.17%

0.92%

0.29%

0.87%

0.54%

0.27%

1.19%

1.92%

0.75%

0.83%

0.27%

0.01%

8.32%

1588.0

2003

1.56%

0.59%

1.26%

0.79%

2.28%

0.82%

2.60%

0.58%

1.56%

1.47%

1.27%

0.62%

16.52%

1850.4

2004

0.81%

2.98%

2.33%

1.65%

2.51%

3.75%

2.52%

0.61%

1.28%

0.36%

1.76%

2.66%

25.80%

2327.9

2005

2.18%

0.86%

2.43%

0.70%

0.42%

(0.16%)

2.82%

(0.53%)

0.87%

2.18%

0.88%

0.97%

14.41%

2663.4

2006

0.92%

1.34%

(1.83%)

2.41%

2.39%

4.00%

0.44%

0.38%

0.55%

0.04%

(0.68%)

0.28%

10.59%

2945.4

2007

0.90%

0.97%

0.66%

0.22%

(0.41%)

0.10%

1.66%

0.22%

0.58%

1.92%

0.49%

1.35%

8.99%

3210.3

2008

2.26%

0.81%

2.47%

1.10%

1.06%

0.93%

(0.41%)

1.29%

1.50%

7.34%

2.50%

25.72%

4036.1

2009

1.76%

4.03%

(1.98%)

6.90%

0.29%

3.16%

(1.06%)

(0.44%)

(4.05%)

2.84%

2.12%

0.12%

14.04%

4602.8

2010

(0.04%)

(0.37%)

0.10%

(0.18%)

0.99%

0.85%

2.02%

1.91%

(0.57%)

1.33%

0.25%

0.13%

6.56%

4904.8

2011

1.55%

0.50%

0.37%

0.25%

0.70%

1.36%

(0.35%)

0.71%

0.64%

1.11%

0.78%

0.37%

8.30%

5311.8

2012

(1.66%)

0.73%

1.67%

0.51%

0.66%

(0.56%)

(2.26%)

2.44%

1.40%

0.14%

0.41%

(0.07%)

3.37%

5491.0

2013

Start of live trading. See FXB real trading results

Daily rates of return (ROR), from strategy back testing, can be downloaded from this Excel spreadsheet. Results are net of spreads and commissions and before performance fees. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

2. Performance Analytics - FXB (Before Performance Fees)

Strategy Returns (Before Performance Fees)
Testing period	Jan 1999 - Dec 2012
Net profit on fixed capital with / without monthly profit reinvesting	450.3% / 199.2%
Compound average annualized ROR	12.95%
VAMI - Growth of $1,000, compounded monthly (fees not deducted)	5,502.8
Monthly Profit Factor (Profit to Loss Ratio); (sum of positive RORs) to (sum of negative RORs)	7.66
# Profitable months / average positive ROR	145 / 1.37%
# Losing months / average negative ROR	23 / (1.13%)
Kurtosis of monthly RORs	5.67
Skewness of monthly RORs	0.27
% Profitable months	86.3%
Ratio avg. positive / avg. negative monthly ROR (Gain to Loss Ratio)	1.22
Max. # of consecutive profitable / losing months	52 / 3
Maximum / minimum monthly ROR	7.34% / (5.66%)
Maximum / minimum daily ROR	6.84% / (6.71%)
Maximum / minimum 5-day rolling ROR	9.50% / (9.29%)

Risk Measures
Annualized standard deviation of monthly RORs	5.12%
Annualized d ownside deviation (MAR = RF return of 3% per annum)	2.30%
Sharpe Ratio, annualized (RF rate of return 1.0%)	2.33
Sortino Ratio, annualized (below RF ret. 1%)	5.23
Calmar Ratio (ratio compound average annual ROR to worst end-of-month drawdown)	2.23
Omega Ratios	N/A
Tracking error, relative to the S&P 500 Index, annualized	17.59%
Historic 5-day Value at Risk (VaR); (for 95% and 99% confidence levels)	(1.02%) / (2.47%)
Alpha relative to the S&P 500 Index, annualized	12.56%
Beta / correlation coefficient, relative to the S&P 500 Index	(0.06) / (0.19)
Jensen's Alpha relative to the S&P 500 Index, annualized	12.00%
Active premium, relative to the S&P 500 Index, annualized	12.24%
Information Ratio, relative to the S&P 500 Index	0.59
Worst month-to-month drawdown depth / duration	(5.81%) / Jul-Oct 2009
Worst peak-to-valley, intra month, drawdown	(10.06%)

Basic Strategy Characteristics
Strategy name	FX Basket Quant
Type of trading	Statistical arbitrage
Portfolio composition	9 currencies
Margin to equity ratio	5% max
Strategy leverage (long positions value relative to Net Asset Value - NAV)	Avg. 0.6, max 2.0
How generated	Hypothetical / Back Testing
Start of live trading	January 2013

Turnover / Cost Parameters
Average positions value, relative to NAV*	-
Average daily portfolio turnover (daily traded positions value as a percentage of NAV)	-
Annual turnover ratio	-
Average holding period	-
Average number of R/T transactions (100k FX lots) per $1Million NAV per year	-
Average annual transaction costs - bid/ask spreads (deduct from annual ROR)	2.5%
Average transaction bid/ask spread, as a fraction of the transaction value	0.0002

HYPOTHETICAL OR SIMULATED PERFORMANCE RESULTS HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE AN ACTUAL PERFORMANCE RECORD, SIMULATED RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, SINCE THE TRADES HAVE NOT ACTUALLY BEEN EXECUTED, THE RESULTS MAY HAVE UNDER-OR-OVERCOMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PLATFORMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN.

THE RISK OF LOSS IN TRADING COMMODITIES CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE PERFORMANCE QUOTED REPRESENTS PAST PERFORMANCE AND CURRENT PERFORMANCE MAY BE LOWER OR HIGHER. TRADING IN FOREIGN EXCHANGE IS SPECULATIVE AND MAY INVOLVE THE LOSS OF PRINCIPAL; THEREFORE, FUNDS PLACED UNDER MANAGEMENT SHOULD BE RISK CAPITAL FUNDS THAT IF LOST WILL NOT SIGNIFICANTLY AFFECT ONE'S PERSONAL WELL BEING. THIS IS NOT A SOLICITATION TO INVEST AND YOU SHOULD CAREFULLY CONSIDER YOUR FINANCIAL SITUATION PRIOR TO MAKING ANY INVESTMENT OR ENTERING INTO ANY TRANSACTION. PLEASE SEE THE COMPLETE DISCLOSURE DOCUMENT.