Acuity Investment Management, LLC : Diversified Futures Program

Year-to-Date: N / A
Mar Performance: 13.18%

Min Investment: $ 50k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 35.67%
Sharpe (RFR=1%): 0.13
CAROR: -0.39%

Assets: $ 235k
Worst DD: -46.77
S&P Correlation: 0.01

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Growth of 1,000 - VAMI

Monthly Performance

Export Data

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	Mar	Qtr	YTD	1yr	3yr	5yr	10yr	Since 8/2012
Diversified Futures Program	13.18	11.41	-	13.89	33.92	-	-	-1.81
S&P 500	-0.04	5.53	-	14.71	26.19	-	-	68.04
+/- S&P 500	13.22	5.88	-	-0.82	7.73	-	-	-69.85

Strategy Description

Investment Strategy

Account & Fees

Type: Managed Account
Minimum Investment: $ 50k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 1.00
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $15.00
Available to US Investors: Yes

Subscriptions

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

Trading

Trading Frequency: 6000 RT/YR/$M
Avg. Margin-to-Equity: 30%
Targeted Worst DD
Worst Peak-to-Trough: 0%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 25.00%
1-30 Days: 75.00%
Intraday: 0%

Investment Strategy

AIM currently engages in a program of “selling” or “writing” options (puts and calls) on futures markets. At times AIM may purchase calls and puts to reduce margin or to take advantage of what they believe will be a profitable trade based on market conditions. On some occasions, the AIM Diversified Futures Program may also trade commodity futures outright. At times the futures position will be initiated through the assignment or delivery of the underlying commodity futures of an option. From time to time, AIM may also engage in spread trading by either entering into spreads between different contract months in the same market or spreads between different commodities altogether.

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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
-46.77	33	18	8/1/2012	5/1/2015
-14.39	3	-	11/1/2016	2/1/2017

Consecutive Gains

Run-up	Length (Mos.)	Start	End
27.40	2	10/1/2016	11/1/2016
24.93	1	5/1/2016	5/1/2016
23.23	1	1/1/2015	1/1/2015
22.91	1	3/1/2016	3/1/2016
20.77	2	12/1/2015	1/1/2016
19.65	2	6/1/2015	7/1/2015
14.97	2	9/1/2015	10/1/2015
13.34	1	4/1/2014	4/1/2014
13.18	1	3/1/2017	3/1/2017
11.16	1	10/1/2014	10/1/2014
10.16	1	1/1/2017	1/1/2017
10.03	1	3/1/2015	3/1/2015
6.88	1	7/1/2013	7/1/2013
5.71	1	9/1/2013	9/1/2013
5.40	1	5/1/2013	5/1/2013
3.62	1	3/1/2013	3/1/2013
3.53	1	12/1/2013	12/1/2013
2.69	2	7/1/2016	8/1/2016
1.28	1	6/1/2014	6/1/2014
0.43	1	8/1/2012	8/1/2012

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-26.94	3	7/1/2014	9/1/2014
-22.82	2	4/1/2015	5/1/2015
-17.34	1	4/1/2016	4/1/2016
-15.41	2	11/1/2014	12/1/2014
-13.46	3	1/1/2014	3/1/2014
-13.03	1	12/1/2016	12/1/2016
-12.66	6	9/1/2012	2/1/2013
-12.16	1	11/1/2015	11/1/2015
-10.64	1	2/1/2017	2/1/2017
-10.46	1	8/1/2013	8/1/2013
-9.99	2	10/1/2013	11/1/2013
-9.47	1	6/1/2016	6/1/2016
-6.27	1	2/1/2015	2/1/2015
-5.75	1	5/1/2014	5/1/2014
-5.27	1	2/1/2016	2/1/2016
-5.08	1	8/1/2015	8/1/2015
-3.89	1	9/1/2016	9/1/2016
-3.41	1	4/1/2013	4/1/2013
-2.88	1	6/1/2013	6/1/2013

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	56.00	54.00	51.00	45.00	39.00	33.00	21.00
Percent Profitable	44.64	44.44	45.10	42.22	38.46	36.36	28.57
Average Period Return	0.48	0.45	0.94	1.36	0.38	-5.03	-8.86
Average Gain	9.52	11.96	15.61	27.36	40.51	35.53	20.49
Average Loss	-6.81	-8.75	-11.12	-17.64	-24.70	-28.21	-20.60
Best Period	24.93	31.85	45.21	66.55	89.57	67.95	33.92
Worst Period	-22.81	-26.94	-31.30	-36.25	-39.36	-42.23	-39.55
Standard Deviation	10.30	12.82	16.53	26.27	35.94	34.35	22.22
Gain Standard Deviation	7.23	8.68	11.86	17.39	24.46	19.67	9.95
Loss Standard Deviation	5.43	6.57	7.56	10.34	7.97	11.14	12.39
Sharpe Ratio (1%)	0.04	0.02	0.03	0.01	-0.03	-0.20	-0.53
Average Gain / Average Loss	1.40	1.37	1.40	1.55	1.64	1.26	0.99
Profit / Loss Ratio	1.13	1.09	1.15	1.13	1.02	0.72	0.40
Downside Deviation (10%)	6.68	8.86	11.48	18.86	26.06	31.92	32.45
Downside Deviation (5%)	6.49	8.26	10.22	16.13	21.45	25.62	22.39
Downside Deviation (0%)	6.44	8.11	9.91	15.47	20.32	24.11	20.13
Sortino Ratio (10%)	0.01	-0.09	-0.13	-0.19	-0.28	-0.48	-0.76
Sortino Ratio (5%)	0.06	0.02	0.04	0.02	-0.05	-0.27	-0.53
Sortino Ratio (0%)	0.07	0.06	0.09	0.09	0.02	-0.21	-0.44

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Option Strategy Index	Month	2	9.05	9/2015
Discretionary Trader Index	Month	4	9.05	9/2015
Diversified Trader Index	Month	4	9.05	9/2015
IASG CTA Index	Month	5	9.05	9/2015
Option Strategy Index	Month	10	-5.08	8/2015
Diversified Trader Index	Month	8	8.87	7/2015
Discretionary Trader Index	Month	3	8.87	7/2015
Option Strategy Index	Month	1	8.87	7/2015
Option Strategy Index	Month	1	9.90	6/2015
IASG CTA Index	Month	2	9.90	6/2015
Diversified Trader Index	Month	2	9.90	6/2015
Discretionary Trader Index	Month	3	9.90	6/2015
Discretionary Trader Index	Month	3	10.03	3/2015
Diversified Trader Index	Month	2	10.03	3/2015
Option Strategy Index	Month	1	10.03	3/2015
Discretionary Trader Index	Month	3	23.23	1/2015
Diversified Trader Index	Month	3	23.23	1/2015
Option Strategy Index	Month	1	23.23	1/2015
Option Strategy Index	Month	1	11.16	10/2014
Diversified Trader Index	Month	2	11.16	10/2014
Discretionary Trader Index	Month	2	11.16	10/2014

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

^#2

Top Performer

OPTION STRATEGY INDEX

SEPTEMBER
2015

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Acuity Investment Management, LLC : Diversified Futures Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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