514 Capital Partners : 514 Fund

Year-to-Date: 3.57%
Jan Performance: 3.57%

Min Investment: $ 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 17.01%
Sharpe (RFR=1%): 0.65
CAROR: 11.16%

Assets: $ 18.8M
Worst DD: -33.79
S&P Correlation: 0.11

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Growth of 1,000 - VAMI

Monthly Performance

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD	DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index	Jan	Qtr	YTD	1yr	3yr	5yr	10yr	Since 11/2013
514 Fund	3.57	7.38	3.57	1.95	27.38	17.90	-	93.67
S&P 500	-0.16	6.19	-0.16	19.27	40.10	60.04	-	76.80
+/- S&P 500	3.73	1.19	3.73	-17.32	-12.72	-42.13	-	16.87

Strategy Description

Summary

Account & Fees

Type: Fund
Minimum Investment: $ 100k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 3.00
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $1.89
Available to US Investors: No

Subscriptions

High Water Mark: Yes
Subscription Frequency: 15-30 Days
Redemption Frequency: 15-30 Days
Investor Requirements: Any Investor
Lock-up Period: 0

Trading

Trading Frequency: 1004 RT/YR/$M
Avg. Margin-to-Equity: 7%
Targeted Worst DD: -25.00%
Worst Peak-to-Trough: 33.80%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 1.00%
1-3 Months: 3.00%
1-30 Days: 61.00%
Intraday: 35.00%

Summary

We develop quantitative models that trade over 25 major liquid global markets namely fixed income, indices, currencies, and commodities. 514 Fund, the firm’s flagship Fund, trades in markets that present the best asymmetrical risk/reward characteristics. The Fund seeks to achieve capital appreciation through an attractive risk-adjusted return while bearing a low correlation to traditional equity and fixed income investments. It follows a predominantly trend-following, systematic trading strategy that aims to capture performance from both long and short positions.

Investment Strategy

We start with the principle that market participants drive prices. Through the use of market sentiment indicators, we design different models that aim to capture this relationship. Our systematic models track how these indicators evolve over time and continuously re-adjust themselves accordingly. We spend our time assessing new strategies, new markets, and new time-frames. Our research objective is to find incremental improvements that contribute to the overall statistical robustness of our system. We are agnostic to fundamental data.

Risk Management

Our trading edge must be protected through proper risk management. In that way, we seek to optimize our systems to capture better asymmetrical risk/reward opportunities. Once we identify, quantify, and parameterize the risks, we can achieve more stability in our performance across different market conditions.

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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

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Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth	Length (Mos.)	Recovery (Mos.)	Peak	Valley
-33.79	19	-	8/1/2015	3/1/2017
-6.51	2	1	11/1/2013	1/1/2014
-6.03	2	4	3/1/2014	5/1/2014
-4.11	1	1	5/1/2015	6/1/2015

Consecutive Gains

Run-up	Length (Mos.)	Start	End
80.31	10	8/1/2014	5/1/2015
23.13	2	2/1/2014	3/1/2014
19.81	7	4/1/2018	10/1/2018
13.34	4	5/1/2019	8/1/2019
12.12	6	6/1/2017	11/1/2017
11.01	2	7/1/2015	8/1/2015
8.31	1	1/1/2018	1/1/2018
7.38	3	11/1/2019	1/1/2020
5.18	1	2/1/2016	2/1/2016
4.52	1	7/1/2016	7/1/2016
3.23	3	10/1/2016	12/1/2016
2.93	1	11/1/2013	11/1/2013
2.54	1	6/1/2014	6/1/2014
1.82	1	4/1/2017	4/1/2017
1.65	1	1/1/2019	1/1/2019
1.49	1	11/1/2015	11/1/2015
0.09	1	5/1/2016	5/1/2016

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-13.16	2	12/1/2015	1/1/2016
-10.26	2	3/1/2016	4/1/2016
-8.77	3	1/1/2017	3/1/2017
-8.68	3	2/1/2019	4/1/2019
-8.27	2	9/1/2019	10/1/2019
-8.16	2	8/1/2016	9/1/2016
-6.78	2	2/1/2018	3/1/2018
-6.51	2	12/1/2013	1/1/2014
-6.30	1	6/1/2016	6/1/2016
-6.12	2	9/1/2015	10/1/2015
-6.03	2	4/1/2014	5/1/2014
-4.35	2	11/1/2018	12/1/2018
-4.11	1	6/1/2015	6/1/2015
-2.06	1	12/1/2017	12/1/2017
-0.26	1	5/1/2017	5/1/2017
-0.17	1	7/1/2014	7/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	75.00	73.00	70.00	64.00	58.00	52.00	40.00	28.00
Percent Profitable	61.33	57.53	64.29	62.50	72.41	69.23	70.00	64.29
Average Period Return	1.00	3.02	6.58	14.20	19.45	17.55	14.64	27.06
Average Gain	3.84	9.29	15.30	30.88	34.52	33.62	25.05	48.16
Average Loss	-3.51	-5.47	-9.11	-13.58	-20.08	-18.61	-9.65	-10.92
Best Period	19.00	39.83	68.25	90.65	125.53	105.37	58.00	81.80
Worst Period	-8.31	-11.86	-17.96	-26.16	-32.98	-29.91	-19.79	-15.45
Standard Deviation	4.91	10.05	18.03	31.75	39.04	33.63	21.41	33.36
Gain Standard Deviation	3.94	8.79	16.62	28.71	35.22	27.29	16.46	20.97
Loss Standard Deviation	2.11	2.72	5.40	8.65	9.92	9.63	6.38	3.74
Sharpe Ratio (1%)	0.19	0.28	0.34	0.42	0.46	0.46	0.54	0.69
Average Gain / Average Loss	1.10	1.70	1.68	2.27	1.72	1.81	2.59	4.41
Profit / Loss Ratio	1.74	2.30	3.02	3.79	4.51	4.06	6.05	7.94
Downside Deviation (10%)	2.76	4.70	7.62	12.54	15.49	16.86	15.02	19.89
Downside Deviation (5%)	2.58	4.12	6.56	10.33	12.41	12.55	7.72	9.20
Downside Deviation (0%)	2.54	3.97	6.30	9.80	11.69	11.55	6.26	6.86
Sortino Ratio (10%)	0.22	0.38	0.54	0.73	0.77	0.43	-0.07	0.28
Sortino Ratio (5%)	0.36	0.67	0.93	1.28	1.45	1.24	1.50	2.50
Sortino Ratio (0%)	0.39	0.76	1.05	1.45	1.66	1.52	2.34	3.94

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	8	2.40	11/2019
Trend Following Strategy Index	Month	10	5.62	6/2019

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

^#8

Top Performer

TREND FOLLOWING STRATEGY INDEX

NOVEMBER
2019

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More Programs by 514 Capital Partners

Program Name	CAROR
514 Fund	11.16%

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514 Capital Partners : 514 Fund

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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