Quantitative Equity Portfolio Manager

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. THE RISK OF LOSS IN TRADING EQUITIES CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION AND INVESTMENT OBJECTIVES.

The charts below show monthly rates of return (ROR) and the growth of $1,000 (the Value Added Monthly Index - VAMI), before and after 20% performance/incentive fee deduction. Compounding by monthly profit reinvesting is used.

Jan

Feb

Mar

Apr

May

Jun

Jul

Aug

Sep

Oct

Nov

Dec

YTD

VAMI

2011

See back testing results before Feb. 2012

1,000.0 1,000.0*

2012

4.18% 3.34%*

1.29% 1.03%*

2.19% 1.75%*

(0.28%) (0.28%)*

4.49% 3.65%*

1.06% 0.85%*

1.91% 1.53%*

1.61% 1.29%*

(5.00%) (5.00%)*

(0.33%) (0.33%)*

(1.33%) (1.33%)*

9.88% 6.42%*

1,098.8 1,064.2*

2013

0.37% 0.37%*

(0.10%) (0.10%)*

0.61% 0.61%*

0.73% 0.73%*

(0.89%) (0.89%)*

(0.05%) (0.05%)*

2.28% 2.28%*

(1.78%) (1.78%)*

2.11% 2.11%*

0.60% 0.60%*

1.28% 1.28%*

2.18% 2.09%*

7.51% 7.42%*

1,181.4 1,143.1*

2014

(0.04%) (0.04%)*

2.20% 1.77%*

0.02% 0.02%*

1.24% 0.99%*

2.34% 1.87%*

1.79% 1.43%*

(2.71%) (2.71%)*

0.90% 0.90%*

(2.49%) (2.49%)*

(2.37%) (2.37%)*

1.50% 1.50%*

(0.50%) (0.50%)*

1.71% 0.21%*

1,201.6 1,145.5*

2015

(1.24%) (1.24%)*

2.23% 2.23%*

0.55% 0.55%*

0.65% 0.65%*

2.48% 2.48%*

(1.16%) (1.16%)*

(1.04%) (1.04%)*

0.48% 0.48%*

1.18% 1.18%*

4.96% 4.33%*

(1.93%) (1.93%)*

(3.32%) (3.32%)*

3.64% 3.01%*

1,245.3 1,180.1*

2016

(1.68%) (1.68%)*

1.80% 1.80%*

6.41% 6.22%*

1.50% 1.20%*

1.92% 1.54%*

(0.19%) (0.19%)*

(1.36%) (1.36%)*

(1.30%) (1.30%)*

(1.09%) (1.09%)*

1.09% 1.09%*

0.91% 0.91%*

4.67% 4.14%*

13.08% 11.55%*

1,408.1 1,316.3*

2017

2.97% 2.37%*

2.19% 1.75%*

1.67% 1.34%*

(0.42%) (0.42%)*

0.08% 0.08%*

(0.80%) (0.80%)*

2.17% 1.97%*

0.12% 0.10%*

2.26% 1.81%

0.88% 0.71%*

1.13% 0.90%*

(0.02%) (0.02%)*

12.84% 10.17%*

1,589.0 1,450.1*

2018

(0.97%) (0.97%)*

3.21% 2.74%*

(0.92%) (0.92%)*

2.09% 1.86%*

2.24% 1.79%*

(2.63%) (2.63%)*

3.51% 3.35%*

6.54% 5.23%*

1,692.9 1,525.9*

The above table shows actual trading results, before and after performance fees. Rates of return (ROR), net of 20% performance fee, are marked by asterisk (*). ROR figures have been calculated according to CFTC Regulation 4.25(a)(7)(i)(F), by dividing the monthly net performance (gain or loss) by the previous month net asset value, or notional account/trading size.

II. Performance Analytics (Based on Real Proprietary Trading Results, Net of 20% Performance Fee)

Strategy Statistics
Reporting period	Feb/12 - Jul/18 (78 months)
Total return since strategy inception	52.59%
Return last 12 months	8.94%
Compound average annual rate of return (ROR)	6.72%
VAMI Index - hyp. growth of $1,000 since inception	1,525.9
# Profitable months / average positive ROR	49 / 1.67%
# Unprofitable months / average negative ROR	29 / (1.31%)
Kurtosis & skewness of monthly RORs	0.93 / (0.06)
% Profitable months	62.8%
Ratio avg. positive / avg. negative monthly ROR (Gain to loss ratio)	1.27
Maximum / minimum monthly ROR	6.22% / (5.00%)
Monthly profit factor (Profit to loss ratio); Ratio sum positive returns ÷ sum negative returns	2.15

Risk Measures
Annualized standard deviation of monthly RORs	6.44%
Annualized downside deviation (below the RF rate of return of 1% per annum)	3.77%
Sharpe ratio, annualized (RF rate of return 1.0%)	0.89
Sortino ratio, annualized (below the RF rate of 1% per annum)	1.51
Efficiency Ratio	1.04
Calmar Ratio (since strategy inception)	0.99
Alpha relative to the S&P 500 Index, annualized	2.70%
Strategy Beta & Correlation coefficient, relative to the S&P 500 Index	0.33 / 0.50
Jensen's alpha relative to the S&P 500 Index, annualized	1.93%
Tracking error, rel. to the S&P 500 Index, annualized	8.56%
Information ratio, relative to the S&P 500 Index	(0.65)
Worst drawdown depth / duration (on end-of-month basis)	(6.79%) / 15 months
Longest recovery period	15 months

THE RISK OF LOSS IN TRADING 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. EQUITY TRADING 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.