Advanced Arbitrage Concepts : Advanced Arbitrage Concepts Account 1

Year-to-Date: 5.77%
Mar Performance: -3.24%

Min Investment: $ 500k
Mgmt. Fee: 0%
Perf. Fee: 30.00%

Annualized Vol: 9.61%
Sharpe (RFR=1%): 0.35
CAROR: 3.99%

Assets: $ 0k
Worst DD: -12.21
S&P Correlation: -0.12

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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	2019	1yr	3yr	5yr	10yr	Since 5/2013
Advanced Arbitrage Concepts Account 1	-3.24	-5.07	-5.77	-8.30	-8.23	7.67	-	26.07
S&P 500	1.79	13.07	13.07	7.33	36.22	49.85	-	78.82
+/- S&P 500	-5.03	-18.13	-18.84	-15.62	-44.45	-42.18	-	-52.75

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 500k
Trading Level Incremental Increase: $ 500k
CTA Max Funding Factor: 2.00
Management Fee: 0%
Performance Fee: 30.00%
Average Commission: $4.00
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: 1000 RT/YR/$M
Avg. Margin-to-Equity: 5%
Targeted Worst DD: -10.00%
Worst Peak-to-Trough: 5.62%
Sector Focus: Energy Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 95.00%
Intraday: 5.00%

Decision-Making

Discretionary: 65.00%
Systematic: 35.00%

Strategy

Arbitrage: 100.00%

Composition

Energy: 100.00%

Summary

This program engages in arbitrage trading in the international energy markets. Specifically energy futures contracts listed on The International Commodity Exchange known as ICE and energy futures contracts listed on NYMEX will be traded in this program. Since the program utilizes arbitrage techniques it is always long contracts on one exchange while being short similar contracts on the other exchange and/or vice versa. There may be a fractional amount of a contract net long or short due to rounding because the contract sizes on the two exchanges are not an equal match. The essence of the program is to attempt to take advantage of both random and structural differences in the price movement in the spread between these contracts as opposed to trading the outright or flat price of the energy contacts. The program uses a mathematical model which reads live price data from the exchanges and creates an index which in turn generates buy and sell signals. Traders review these signals against a list of criteria and then utilize both traditional and high frequency trading venues to enter and exit transactions. Performance for 2013 and 2014 are based on a negotiated incentive fee 0f 0% and 30% starting 2015.

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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
-12.21	15	-	12/1/2017	3/1/2019
-5.67	9	4	12/1/2015	9/1/2016
-5.61	2	2	9/1/2013	11/1/2013
-4.78	2	1	5/1/2013	7/1/2013
-4.55	3	5	4/1/2017	7/1/2017
-1.95	1	2	7/1/2015	8/1/2015
-0.61	1	1	5/1/2015	6/1/2015
-0.16	1	1	5/1/2014	6/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
21.45	4	12/1/2013	3/1/2014
12.59	2	1/1/2015	2/1/2015
7.33	5	12/1/2016	4/1/2017
5.82	2	8/1/2013	9/1/2013
4.90	4	9/1/2015	12/1/2015
2.82	1	12/1/2017	12/1/2017
2.68	1	8/1/2017	8/1/2017
2.13	1	10/1/2016	10/1/2016
1.91	1	7/1/2015	7/1/2015
1.86	2	7/1/2014	8/1/2014
1.38	1	5/1/2013	5/1/2013
1.13	1	11/1/2018	11/1/2018
0.98	1	7/1/2016	7/1/2016
0.78	2	6/1/2018	7/1/2018
0.68	2	3/1/2018	4/1/2018
0.30	1	5/1/2015	5/1/2015
0.04	2	2/1/2016	3/1/2016

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-5.97	4	12/1/2018	3/1/2019
-5.61	2	10/1/2013	11/1/2013
-5.16	3	4/1/2016	6/1/2016
-4.91	2	1/1/2018	2/1/2018
-4.78	2	6/1/2013	7/1/2013
-4.55	3	5/1/2017	7/1/2017
-2.47	3	8/1/2018	10/1/2018
-1.95	1	8/1/2015	8/1/2015
-1.89	1	5/1/2018	5/1/2018
-1.22	1	11/1/2016	11/1/2016
-1.04	2	8/1/2016	9/1/2016
-0.61	1	6/1/2015	6/1/2015
-0.51	1	1/1/2016	1/1/2016
-0.41	3	9/1/2017	11/1/2017
-0.16	3	4/1/2014	6/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	71.00	69.00	66.00	60.00	54.00	48.00	36.00	24.00
Percent Profitable	46.48	52.17	54.55	61.67	74.07	85.42	77.78	91.67
Average Period Return	0.36	1.22	2.70	5.61	8.46	11.35	14.86	23.06
Average Gain	2.04	4.04	7.29	11.36	12.91	14.08	20.33	25.56
Average Loss	-1.39	-1.97	-2.81	-3.64	-4.23	-4.62	-4.31	-4.39
Best Period	14.85	21.25	21.45	23.50	39.47	44.02	39.53	44.93
Worst Period	-5.31	-5.77	-5.71	-8.08	-10.09	-11.74	-9.58	-5.96
Standard Deviation	2.77	5.14	6.91	9.06	12.33	14.38	15.10	15.80
Gain Standard Deviation	3.02	5.60	6.23	6.62	11.20	13.72	12.40	13.96
Loss Standard Deviation	1.46	1.79	1.60	1.92	3.00	4.14	2.89	2.23
Sharpe Ratio (1%)	0.10	0.19	0.32	0.51	0.56	0.65	0.78	1.20
Average Gain / Average Loss	1.47	2.05	2.59	3.12	3.05	3.05	4.72	5.83
Profit / Loss Ratio	1.62	2.38	3.11	5.02	8.72	17.86	16.53	64.09
Downside Deviation (10%)	1.50	2.48	3.74	5.55	6.85	7.64	11.20	9.42
Downside Deviation (5%)	1.33	1.90	2.47	3.10	3.28	2.98	3.75	2.48
Downside Deviation (0%)	1.30	1.77	2.17	2.53	2.61	2.29	2.40	1.35
Sortino Ratio (10%)	-0.03	0.00	0.06	0.11	0.13	0.14	-0.08	0.16
Sortino Ratio (5%)	0.21	0.51	0.89	1.49	2.12	3.14	3.15	7.66
Sortino Ratio (0%)	0.28	0.69	1.24	2.21	3.25	4.96	6.20	17.14

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Discretionary Trader Index	Month	4	2.82	12/2017
Discretionary Trader Index	Month	10	2.68	8/2017
Discretionary Trader Index	Month	4	5.46	1/2017
IASG CTA Index	Month	6	5.46	1/2017
Discretionary Trader Index	Month	10	1.68	10/2015
Discretionary Trader Index	Month	3	8.97	2/2015

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

^#4

Top Performer

DISCRETIONARY TRADER INDEX

DECEMBER
2017

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Advanced Arbitrage Concepts : Advanced Arbitrage Concepts Account 1

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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