Amplitude Capital International Limited : Klassik Strategy

Year-to-Date: 2.88%
Dec Performance: 10.99%

Min Investment: $ 1,000k
Mgmt. Fee: 0%
Perf. Fee: 30.00%

Annualized Vol: 14.32%
Sharpe (RFR=1%): 0.22
CAROR: 3.23%

Assets: $ 788.4M
Worst DD: -23.51
S&P Correlation: 0.06

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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	Dec	Qtr	2018	1yr	3yr	5yr	10yr	Since 9/2009
Klassik Strategy	10.99	7.76	-2.88	-2.88	22.25	25.43	-	34.51
S&P 500	-9.18	-13.97	-6.24	-6.24	21.41	34.26	-	134.71
+/- S&P 500	20.17	21.73	3.35	3.35	0.84	-8.82	-	-100.21

Strategy Description

Summary

Account & Fees

Type: Fund
Minimum Investment: $ 1,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor
Management Fee: 0%
Performance Fee: 30.00%
Average Commission: $0
Available to US Investors: Yes

Subscriptions

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

Trading

Trading Frequency: 2000 RT/YR/$M
Avg. Margin-to-Equity: 14%
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: 0%
1-30 Days: 0%
Intraday: 0%

Summary

The Klassik Strategy trades via managed accounts and the Amplitude Trading Strategies Fund Limited (the ''Fund''). Instruments include liquid exchange traded futures across all asset classes: equities, FX, fixed income and commodities. This strategy utilizes a systematic and fully automated directional program which uses extensive quantitative analysis of real time price data and sophisticated portfolio methodology to detect short term market trends on multiple time frames. The strategy incorporates a small mean reversion component and some pattern recognition. Execution is entirely electronic. Execution costs and slippage are closely monitored. The risk management function is also monitored real-time and is fully automated. Currently, 73 markets are traded, with each instrument independently analyzed. The average holding period is 5 days.

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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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Index:

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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
-23.51	8	-	8/1/2017	4/1/2018
-21.48	9	6	3/1/2015	12/1/2015
-14.03	9	14	9/1/2012	6/1/2013
-12.30	3	14	11/1/2009	2/1/2010
-9.72	4	2	8/1/2011	12/1/2011
-7.28	2	2	4/1/2011	6/1/2011
-6.24	3	5	7/1/2016	10/1/2016
-4.57	1	2	5/1/2012	6/1/2012
-3.57	1	1	9/1/2009	10/1/2009
-3.05	1	1	8/1/2014	9/1/2014
-2.22	2	1	5/1/2017	7/1/2017
-1.72	1	2	2/1/2012	3/1/2012

Consecutive Gains

Run-up	Length (Mos.)	Start	End
31.40	7	1/1/2016	7/1/2016
19.44	6	10/1/2014	3/1/2015
12.95	2	7/1/2011	8/1/2011
12.88	2	1/1/2012	2/1/2012
12.19	2	11/1/2018	12/1/2018
11.04	2	3/1/2010	4/1/2010
8.96	3	7/1/2012	9/1/2012
8.54	3	8/1/2010	10/1/2010
7.20	2	1/1/2014	2/1/2014
6.96	1	8/1/2014	8/1/2014
6.81	2	5/1/2014	6/1/2014
6.75	2	4/1/2012	5/1/2012
6.42	4	2/1/2017	5/1/2017
6.34	3	7/1/2015	9/1/2015
5.06	2	7/1/2018	8/1/2018
5.04	2	11/1/2016	12/1/2016
4.95	3	9/1/2013	11/1/2013
4.54	1	11/1/2009	11/1/2009
4.51	1	5/1/2018	5/1/2018
4.10	1	7/1/2013	7/1/2013
3.86	1	12/1/2010	12/1/2010
3.75	1	4/1/2011	4/1/2011
2.81	1	1/1/2013	1/1/2013
2.34	1	8/1/2017	8/1/2017
2.12	1	6/1/2010	6/1/2010
1.57	1	11/1/2012	11/1/2012
1.32	1	3/1/2013	3/1/2013
1.07	1	2/1/2011	2/1/2011
0.71	1	11/1/2017	11/1/2017
0.55	1	9/1/2009	9/1/2009

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-20.58	5	12/1/2017	4/1/2018
-14.49	3	4/1/2015	6/1/2015
-13.65	3	10/1/2015	12/1/2015
-12.30	3	12/1/2009	2/1/2010
-10.63	3	4/1/2013	6/1/2013
-9.72	4	9/1/2011	12/1/2011
-8.24	1	7/1/2010	7/1/2010
-7.28	2	5/1/2011	6/1/2011
-6.60	1	10/1/2012	10/1/2012
-6.24	3	8/1/2016	10/1/2016
-5.62	2	3/1/2014	4/1/2014
-4.57	1	6/1/2012	6/1/2012
-4.54	2	9/1/2018	10/1/2018
-4.36	2	9/1/2017	10/1/2017
-3.57	1	10/1/2009	10/1/2009
-3.44	1	12/1/2013	12/1/2013
-3.35	1	11/1/2010	11/1/2010
-3.05	1	9/1/2014	9/1/2014
-2.66	1	2/1/2013	2/1/2013
-2.59	1	3/1/2011	3/1/2011
-2.37	1	7/1/2014	7/1/2014
-2.22	2	6/1/2017	7/1/2017
-1.72	1	3/1/2012	3/1/2012
-0.96	1	1/1/2017	1/1/2017
-0.80	1	8/1/2013	8/1/2013
-0.50	1	1/1/2011	1/1/2011
-0.43	1	6/1/2018	6/1/2018
-0.05	1	5/1/2010	5/1/2010

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	112.00	110.00	107.00	101.00	95.00	89.00	77.00	65.00	53.00
Percent Profitable	54.46	57.27	59.81	62.38	67.37	82.02	84.42	95.38	100.00
Average Period Return	0.35	0.85	1.69	3.53	6.29	9.31	15.04	20.66	27.58
Average Gain	3.28	5.27	7.17	11.22	12.87	12.91	18.86	21.94	27.58
Average Loss	-3.21	-5.07	-6.46	-9.23	-7.27	-7.14	-5.68	-5.79
Best Period	10.99	15.60	27.65	29.41	36.12	27.79	40.12	46.17	56.27
Worst Period	-11.26	-15.86	-20.02	-22.54	-19.25	-17.15	-15.78	-9.96	1.09
Standard Deviation	4.13	6.58	8.86	12.06	12.36	10.33	13.10	12.57	12.20
Gain Standard Deviation	2.68	3.98	6.05	7.14	8.66	7.13	10.12	11.36	12.20
Loss Standard Deviation	2.51	4.34	5.43	6.30	6.20	5.42	5.93	4.62
Sharpe Ratio (1%)	0.06	0.09	0.13	0.21	0.39	0.71	0.92	1.32	1.84
Average Gain / Average Loss	1.02	1.04	1.11	1.22	1.77	1.81	3.32	3.79
Profit / Loss Ratio	1.24	1.39	1.65	2.02	3.65	8.25	17.99	78.28
Downside Deviation (10%)	2.93	4.99	6.62	9.56	9.41	8.32	9.76	9.50	8.77
Downside Deviation (5%)	2.76	4.47	5.57	7.34	6.11	4.48	4.11	2.27	0.63
Downside Deviation (0%)	2.71	4.34	5.33	6.82	5.42	3.76	3.17	1.49
Sortino Ratio (10%)	-0.02	-0.08	-0.12	-0.15	-0.14	-0.11	-0.07	-0.09	-0.01
Sortino Ratio (5%)	0.10	0.13	0.21	0.34	0.78	1.63	2.92	7.31	35.93
Sortino Ratio (0%)	0.13	0.20	0.32	0.52	1.16	2.48	4.74	13.91

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Diversified Trader Index	Month	1	11.33	10/2014
IASG CTA Index	Month	3	11.33	10/2014
Trend Following Strategy Index	Month	3	11.33	10/2014
Systematic Trader Index	Month	3	11.33	10/2014
Trend Following Strategy Index	Month	5	3.89	8/2012
Trend Following Strategy Index	Month	8	8.54	1/2012

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

^#1

Top Performer

DIVERSIFIED TRADER INDEX

OCTOBER
2014

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More Programs by Amplitude Capital International Limited

Program Name	CAROR
Dynamic Strategy	3.97%
Klassik Strategy	3.23%

IASG Activity

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Portfolios 24
Watchlists 50

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Amplitude Capital International Limited : Klassik Strategy

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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