Performance

Strategy Description

-The Mosaic program is an ensemble of 100% systematic, quantitative, short-term futures trading models that evaluate and modify market positions on a daily basis. Mosaic's most recent modification was implemented in December 2007 when, after extensive research and testing, additional models were incorporated into the program.* Trades are “event driven”; each model has entry and exit criteria that depend on market-dynamic-driven metrics. * Trades are based on statistically-optimal decisions that are determined based on historical data (position sizes are dynamically re-sized on a daily basis). * Multiple, independent algorithms are employed concurrently to improve risk-adjusted returns and enhance robustness. * Multiple variants used for each of the algorithms to avoid over-fit, datamined choices of model parameters. * Individual signals from all models are combined to form an aggregate signal that determines positions on a per-market basis. * Positions (net long or short) are typically held for 1 to 5 days (average trade length = 3.6 days).

MARK ANDREW CHAPIN: Mark's primary focus is the development of short-term trading methodologies for RCM. Mark received his Bachelor of Science degree from Clarkson University in 1997 and his Masters of Science degree from the University of California at Berkeley in 1999. Both degrees are in mechanical engineering. Mark has an extensive background and also a strong interest both in algorithms and also their implementation in numerical code. Mark has been employed by Seagate Technology, a hard-disk-drive company, since 1999, where he works on advanced concepts in the head/media department. He currently holds twelve U.S. patents in the area of disk-drive head/disk mechanics and has co-authored several peer-reviewed journal articles. Mark has not been previously employed by a managed-futures firm, and he has been a principal of RCM since its inception in 2004.THEODORE ROBERT OLSON: Rob oversees the architecture and development of the hardware and software computing infrastructure at RCM. Rob received his Bachelor of Science degree in Aerospace Engineering at the University of Arizona in 1989. He received his Master's and Doctorate degrees in Aerospace Engineering at the University of Colorado in 1992 and 1996, respectively. Rob was employed at Raytheon Technology, an aerospace defense contractor, from 1999 through 2006. His primary job duties included code/software development, data analysis, and the development of statistical algorithms to process high-frequency, real-time data. Rob is familiar with a wide range of computing languages (e.g. Fortran, C, C++), operating systems (e.g. Windows, Linux, Unix), and application software (e.g. Perl, Matlab, Tcl/Tk). Rob has not been previously employed by a managed-futures firm, and he has been a principal of RCM since its inception in 2004.MICHAEL DAVID MUNDT: Michael's tasks primarily consist of model development, business/marketing, and coordinating RCM's overall business and trading strategy. He has been in the managed futures industry for over seven years and was a principal at Analytic Investments LLC, an NFA member and commodity pool operator (CPO) registered with the CFTC, between 1999 and 2003. Michael's background is in engineering and applied science. He received his Bachelor of Science degree in Aerospace Engineering from the University of Colorado in 1989. He was awarded a Ph.D. in Aerospace Engineering in 1993, also from the University of Colorado; his thesis involved the exploration of chaos and turbulence in simple weather/climate models. After spending a few years in academia at both the University of Colorado and the University of California at Santa Cruz, Michael transitioned into the technology industry. He has been employed by Seagate Technology (a hard-disk drive company) as an engineer specializing in computational fluid mechanics since March 1998. He currently holds seventeen U.S. patents in the area of disk-drive head/disk mechanics. He has been a principal of RCM since its inception in 2004.

* RCM provides signal strengths, on a per-market basis. * These strengths are incorporated into the risk-management model in order to determine market positions and hence any orders necessary to generate these positions. * Nominal risk profile targets an exposure of a 1% chance of a 20% or greater drawdown in any rolling one-month period. * The leverage can be tailored on a per-account basis in accordance with a client’s risk/reward objectives. * The risk management model accounts for:- Per-market volatility- Inter-market correlations- Risk profile target- Historical system performance