Alpha Z Advisors LLC : Alpha Z Futures Fund, LLC

Year-to-Date: 4.25%
Mar Performance: 1.13%

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

Annualized Vol: 28.10%
Sharpe (RFR=1%): 1.32
CAROR: 40.42%

Assets: $ 9.6M
Worst DD: -28.52
S&P Correlation: 0.51

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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 7/2013
Alpha Z Futures Fund, LLC	1.13	2.01	4.25	20.90	90.36	464.86	-	604.25
S&P 500	1.79	13.07	13.07	7.33	36.22	49.85	-	72.99
+/- S&P 500	-0.66	-11.06	-8.81	13.57	54.14	415.01	-	531.26

Strategy Description

Summary

Account & Fees

Type: Fund
Minimum Investment: $ 100k
Trading Level Incremental Increase: $ 100k
CTA Max Funding Factor
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $5.00
Available to US Investors: Yes

Subscriptions

High Water Mark: Yes
Subscription Frequency: 1-7 Days
Redemption Frequency: 1-7 Days
Investor Requirements: QEP
Lock-up Period: 0

Trading

Trading Frequency: 4500 RT/YR/$M
Avg. Margin-to-Equity: 30%
Targeted Worst DD: -24.12%
Worst Peak-to-Trough: 0%
Sector Focus: Stock Index Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 85.00%
1-30 Days: 10.00%
Intraday: 5.00%

Summary

Alpha Z Futures Fund LLC is an alternative investment fund formed to trade futures and futures options on the Standard & Poor’s 500. The Fund’s trading is conducted by Alpha Z Advisors, LLC. Trading methods are quantitative, systemic and discretionary. Trades are based on decades of extensive research conducted by Dr. Ziemba and trading experience in stock market calendar anomalies, arbitrage strategies and behavioral biases.

Investment Strategy

The trades involve long futures positions, futures spreads, option sales and option purchases that Dr. Ziemba’s proprietary research indicates to have mispricings. Market exposure is based on the calculated funds or margin behind each position. The Manager’s trading also employs Dr. Ziemba’s proprietary stock market prediction models and crash prediction models.

Risk Management

Risk/reward is assessed by the calculating potential loss of new and current positions. Overall portfolio is measured. Careful attention has been paid to current market conditions and adjusting portfolio size quickly.

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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.

Compare to:

Index:

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
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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
-28.52	3	-	12/1/2017	3/1/2018
-24.12	1	3	7/1/2015	8/1/2015
-12.86	2	1	11/1/2014	1/1/2015
-6.52	1	1	6/1/2014	7/1/2014
-5.73	1	2	12/1/2015	1/1/2016
-4.80	3	1	1/1/0001	9/1/2013
-3.98	1	2	12/1/2013	1/1/2014
-1.94	1	1	5/1/2016	6/1/2016
-1.52	1	1	1/1/2017	2/1/2017
-0.75	1	1	8/1/2014	9/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
109.08	6	2/1/2015	7/1/2015
52.67	10	3/1/2017	12/1/2017
44.06	4	9/1/2015	12/1/2015
40.06	4	2/1/2016	5/1/2016
30.28	7	7/1/2016	1/1/2017
27.98	8	4/1/2018	11/1/2018
21.06	5	2/1/2014	6/1/2014
18.89	3	10/1/2013	12/1/2013
13.84	2	10/1/2014	11/1/2014
8.77	1	8/1/2014	8/1/2014
4.25	3	1/1/2019	3/1/2019

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-28.52	3	1/1/2018	3/1/2018
-24.12	1	8/1/2015	8/1/2015
-12.86	2	12/1/2014	1/1/2015
-6.52	1	7/1/2014	7/1/2014
-5.73	1	1/1/2016	1/1/2016
-4.80	3	7/1/2013	9/1/2013
-3.98	1	1/1/2014	1/1/2014
-3.28	1	12/1/2018	12/1/2018
-1.94	1	6/1/2016	6/1/2016
-1.52	1	2/1/2017	2/1/2017
-0.75	1	9/1/2014	9/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	69.00	67.00	64.00	58.00	52.00	46.00	34.00	22.00
Percent Profitable	76.81	83.58	90.63	81.03	98.08	100.00	100.00	100.00
Average Period Return	3.18	10.00	21.64	49.57	91.06	144.77	288.10	452.98
Average Gain	5.97	13.78	25.73	62.48	92.89	144.77	288.10	452.98
Average Loss	-6.04	-9.24	-17.94	-5.58	-2.11
Best Period	40.37	62.93	109.08	123.91	215.30	285.52	477.88	655.72
Worst Period	-24.12	-28.52	-24.14	-11.52	-2.11	24.00	101.82	244.99
Standard Deviation	8.11	14.19	21.81	35.01	53.27	69.31	118.59	119.75
Gain Standard Deviation	6.18	11.61	18.49	24.89	52.13	69.31	118.59	119.75
Loss Standard Deviation	6.90	10.00	4.55	3.21
Sharpe Ratio (1%)	0.38	0.69	0.97	1.39	1.68	2.06	2.40	3.75
Average Gain / Average Loss	0.99	1.49	1.43	11.21	44.00
Profit / Loss Ratio	3.27	7.59	13.86	47.88	2244.04
Downside Deviation (10%)	4.47	5.74	6.38	4.79	1.84
Downside Deviation (5%)	4.36	5.45	5.79	3.16	0.53
Downside Deviation (0%)	4.34	5.38	5.64	2.77	0.29
Sortino Ratio (10%)	0.62	1.53	3.01	9.30	45.32
Sortino Ratio (5%)	0.71	1.79	3.65	15.38	168.94
Sortino Ratio (0%)	0.73	1.86	3.84	17.90	311.05

Top Performer Badges

Index	Award Type	Rank	Performance	Period
IASG CTA Index	3 Year Rolling	2	124.40	2015 - 2018
IASG CTA Index	5 Year Rolling	2	496.83	2013 - 2018
Stock Index Trader Index	Month	2	3.32	11/2018
Discretionary Trader Index	Month	6	3.32	11/2018
Stock Index Trader Index	Month	4	1.97	9/2018
Discretionary Trader Index	Month	10	1.97	9/2018
Discretionary Trader Index	Month	10	1.97	9/2018
Stock Index Trader Index	Month	4	1.97	9/2018
Stock Index Trader Index	Month	3	5.33	7/2018
IASG CTA Index	Month	4	5.33	7/2018
Discretionary Trader Index	Month	3	5.33	7/2018
Stock Index Trader Index	Month	2	6.74	4/2018
IASG CTA Index	Month	2	6.74	4/2018
Discretionary Trader Index	Month	2	6.74	4/2018
Discretionary Trader Index	Month	2	6.74	4/2018
IASG CTA Index	Month	2	6.74	4/2018
Stock Index Trader Index	Month	2	6.74	4/2018
IASG CTA Index	3 Year Rolling	1	428.96	2014 - 2017
IASG CTA Index	Year Rolling	2	56.77	2016 - 2017
Stock Index Trader Index	Month	10	1.32	12/2017
IASG CTA Index	Sharpe	9	1.71	2016 - 2017
Stock Index Trader Index	Month	4	2.56	11/2017
Discretionary Trader Index	Month	6	2.56	11/2017
Stock Index Trader Index	Month	3	2.12	10/2017
Stock Index Trader Index	Month	1	3.58	9/2017
Discretionary Trader Index	Month	6	3.58	9/2017
IASG CTA Index	Month	7	3.58	9/2017
Discretionary Trader Index	Month	7	3.23	8/2017
Stock Index Trader Index	Month	2	3.23	8/2017
Discretionary Trader Index	Month	3	5.27	7/2017
Stock Index Trader Index	Month	1	5.27	7/2017
Discretionary Trader Index	Month	9	2.73	6/2017
Stock Index Trader Index	Month	4	2.73	6/2017
Discretionary Trader Index	Month	5	3.81	5/2017
Stock Index Trader Index	Month	1	3.81	5/2017
Discretionary Trader Index	Month	3	5.53	4/2017
Stock Index Trader Index	Month	2	5.53	4/2017
IASG CTA Index	Month	4	5.53	4/2017
Stock Index Trader Index	Month	1	13.57	3/2017
Discretionary Trader Index	Month	2	13.57	3/2017
IASG CTA Index	Month	2	13.57	3/2017
Stock Index Trader Index	Month	3	4.27	1/2017
IASG CTA Index	Month	10	4.27	1/2017
Discretionary Trader Index	Month	7	4.27	1/2017
IASG CTA Index	Sharpe	9	1.56	2015 - 2016
Discretionary Trader Index	Month	6	3.13	12/2016
Stock Index Trader Index	Month	3	3.13	12/2016
IASG CTA Index	Year Rolling	1	61.77	2015 - 2016
IASG CTA Index	3 Year Rolling	1	330.27	2013 - 2016
Stock Index Trader Index	Month	5	4.31	11/2016
Stock Index Trader Index	Month	5	2.61	10/2016
Stock Index Trader Index	Month	6	2.94	9/2016
Discretionary Trader Index	Month	7	2.94	9/2016
IASG CTA Index	Month	10	3.20	8/2016
Stock Index Trader Index	Month	3	3.20	8/2016
IASG CTA Index	Month	4	6.55	7/2016
Stock Index Trader Index	Month	1	6.55	7/2016
Discretionary Trader Index	Month	2	6.55	7/2016

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

IASG CTA INDEX

2015-2018

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Alpha Z Advisors LLC : Alpha Z Futures Fund, LLC

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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