Briarwood Capital Management, Inc. : Diversified Trading Program

Year-to-Date: N / A
Jun Performance: 4.52%

Min Investment: $ 3,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 11.59%
Sharpe (RFR=1%): 0.46
CAROR: 5.83%

Assets: $ 30.0M
Worst DD: -23.11
S&P Correlation: -0.10

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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	Jun	Qtr	2020	1yr	3yr	5yr	10yr	Since 7/2001
Diversified Trading Program	4.52	-	-	-	-	-3.02	-10.68	133.88
S&P 500	0.09	-	-	-	-	58.90	65.21	206.90
+/- S&P 500	4.43	-	-	-	-	-61.92	-75.89	-73.02

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 3,000k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	2.00%
Performance Fee	20.00%
Average Commission	$10.00
Available to US Investors	Yes

Subscriptions

High Water Mark	Yes
Subscription Frequency	Daily
Redemption Frequency	Daily
Investor Requirements	Accredited Investors
Lock-up Period	0

Trading

Trading Frequency	900 RT/YR/$M
Avg. Margin-to-Equity	6%
Targeted Worst DD	-11.00%
Worst Peak-to-Trough	13.00%
Sector Focus	Diversified Traders

Holding Periods

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

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Momentum: 33.00%
Pattern Recognition: 33.00%
Technical: 34.00%

Composition

Currency Futures: 23.00%
Interest Rates: 22.00%
Grains: 15.00%
Softs: 15.00%
Energy: 10.00%
Industrial Metals: 5.00%
Precious Metals: 5.00%
Stock Indices: 5.00%

Summary

BCM's trading program is built around the strategies that Fred Schutzman and Paul DeMarco, Jr. have developed since 1991. These trading strategies are technical in origin and primarily trend-following in character, and are designed to identify intermediate market moves.

BCM simultaneously trades between two and eight trading systems independently. Each system serves a unique purpose and is applied to a diversified portfolio of commodities in a predominantly quantitative or mechanical fashion. A primary focus is on controlling drawdowns.

BCM will generally commit less than 6% of equity to margin. However, on special occasions, this percentage may be substantially higher or lower.

Daily trading signals are systematically generated by BCM’s computerized models. Each model must have a valid concept behind its trading logic. The key determinants of a model's suitability are its impact on our overall equity curve and its risk-adjusted returns.

BCM follows most commodity futures and forward markets worldwide and currently trades over 60 markets. The following groups are represented at this time: Grains, Metals, Energies, Softs, Interest Rates, Currencies and Equities. Modifications to the above are based on the result of many hours of research, amount of assets under management and liquidity concerns. There are no restrictions or limitations on what markets BCM may or may not trade. BCM will notify clients if there are material changes to the trading program.

As assets under management grow, BCM may expand its currency trading. BCM does not currently trade options on futures and has no immediate plans to do so, but reserves the right to trade options at any time in the future. There are no restrictions or limitations on what commodity interests or other interests BCM may or may not trade.

Research is a crucial component of our trading enterprise. This is an area where we feel that we excel. Our approach is quite different than that of most other firms, with the bottom line being hypothetical results on paper that we feel are honest and have a fair chance of being achieved in real-time. Thus far, our actual performance is matching our hypothetical test results.

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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:

Monthly Annual

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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
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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
-23.11	40	-	1/1/2013	5/1/2016
-13.00	5	6	11/1/2009	4/1/2010
-10.47	8	5	10/1/2003	6/1/2004
-10.15	4	4	10/1/2001	2/1/2002
-10.13	4	4	3/1/2008	7/1/2008
-9.04	2	10	11/1/2004	1/1/2005
-8.79	9	11	4/1/2011	1/1/2012
-6.95	2	1	9/1/2002	11/1/2002
-5.68	2	3	2/1/2003	4/1/2003
-3.73	1	5	5/1/2009	6/1/2009
-3.61	4	1	12/1/2008	4/1/2009
-2.90	1	4	9/1/2007	10/1/2007
-2.62	1	1	2/1/2006	3/1/2006
-2.58	4	3	11/1/2006	3/1/2007
-2.13	3	1	5/1/2006	8/1/2006
-1.08	1	3	12/1/2010	1/1/2011
-1.02	1	1	7/1/2003	8/1/2003
-0.71	1	1	10/1/2010	11/1/2010

Consecutive Gains

Run-up	Length (Mos.)	Start	End
32.17	7	3/1/2002	9/1/2002
21.11	7	8/1/2005	2/1/2006
15.47	6	5/1/2010	10/1/2010
15.16	4	7/1/2001	10/1/2001
14.73	3	12/1/2002	2/1/2003
14.19	2	10/1/2004	11/1/2004
12.97	1	5/1/2009	5/1/2009
11.76	3	11/1/2012	1/1/2013
8.87	1	11/1/2009	11/1/2009
8.80	3	9/1/2006	11/1/2006
8.19	5	11/1/2007	3/1/2008
8.02	2	4/1/2006	5/1/2006
7.46	2	1/1/2016	2/1/2016
7.46	2	11/1/2008	12/1/2008
7.35	2	9/1/2003	10/1/2003
6.95	1	11/1/2015	11/1/2015
6.37	1	4/1/2011	4/1/2011
5.58	1	2/1/2012	2/1/2012
5.37	2	8/1/2008	9/1/2008
4.89	4	6/1/2007	9/1/2007
4.88	1	5/1/2003	5/1/2003
4.52	1	6/1/2016	6/1/2016
4.31	2	12/1/2003	1/1/2004
3.95	2	2/1/2005	3/1/2005
3.83	3	7/1/2012	9/1/2012
3.01	1	7/1/2004	7/1/2004
2.84	2	12/1/2001	1/1/2002
2.78	3	7/1/2009	9/1/2009
2.44	1	7/1/2003	7/1/2003
2.16	1	7/1/2011	7/1/2011
2.16	1	5/1/2005	5/1/2005
2.07	1	12/1/2013	12/1/2013
2.04	1	4/1/2007	4/1/2007
1.69	1	3/1/2013	3/1/2013
1.54	1	6/1/2014	6/1/2014
1.31	1	9/1/2015	9/1/2015
1.21	1	7/1/2013	7/1/2013
1.12	1	3/1/2015	3/1/2015
1.05	1	2/1/2014	2/1/2014
0.85	1	12/1/2010	12/1/2010
0.83	1	5/1/2013	5/1/2013
0.70	1	1/1/2007	1/1/2007
0.41	1	2/1/2011	2/1/2011
0.38	1	1/1/2015	1/1/2015
0.25	1	5/1/2012	5/1/2012
0.10	1	9/1/2013	9/1/2013
0.01	1	2/1/2009	2/1/2009

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-13.65	3	3/1/2016	5/1/2016
-13.00	5	12/1/2009	4/1/2010
-10.13	4	4/1/2008	7/1/2008
-9.04	2	12/1/2004	1/1/2005
-8.84	5	2/1/2004	6/1/2004
-7.88	6	8/1/2011	1/1/2012
-7.13	1	11/1/2001	11/1/2001
-6.95	2	10/1/2002	11/1/2002
-6.35	3	3/1/2014	5/1/2014
-6.07	5	4/1/2015	8/1/2015
-5.92	1	2/1/2002	2/1/2002
-5.90	1	12/1/2015	12/1/2015
-5.84	1	11/1/2003	11/1/2003
-5.68	2	3/1/2003	4/1/2003
-4.83	6	7/1/2014	12/1/2014
-3.73	1	6/1/2009	6/1/2009
-3.63	2	3/1/2012	4/1/2012
-3.34	2	3/1/2009	4/1/2009
-3.08	2	5/1/2011	6/1/2011
-2.90	1	10/1/2007	10/1/2007
-2.86	1	4/1/2005	4/1/2005
-2.84	1	8/1/2013	8/1/2013
-2.71	1	6/1/2013	6/1/2013
-2.62	1	3/1/2006	3/1/2006
-2.59	2	8/1/2004	9/1/2004
-2.30	1	10/1/2012	10/1/2012
-2.26	1	12/1/2006	12/1/2006
-2.13	3	6/1/2006	8/1/2006
-2.04	1	1/1/2014	1/1/2014
-1.94	1	2/1/2013	2/1/2013
-1.58	2	10/1/2013	11/1/2013
-1.51	1	10/1/2009	10/1/2009
-1.08	1	1/1/2011	1/1/2011
-1.02	1	8/1/2003	8/1/2003
-1.02	2	2/1/2007	3/1/2007
-0.87	1	10/1/2015	10/1/2015
-0.79	1	6/1/2003	6/1/2003
-0.71	1	11/1/2010	11/1/2010
-0.56	1	4/1/2013	4/1/2013
-0.38	2	6/1/2005	7/1/2005
-0.29	1	1/1/2009	1/1/2009
-0.24	1	6/1/2012	6/1/2012
-0.22	1	5/1/2007	5/1/2007
-0.20	1	2/1/2015	2/1/2015
-0.16	1	10/1/2008	10/1/2008
-0.03	1	3/1/2011	3/1/2011

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	180.00	178.00	175.00	169.00	163.00	157.00	145.00	133.00	121.00
Percent Profitable	51.67	56.18	64.00	69.82	76.69	82.17	81.38	83.46	88.43
Average Period Return	0.53	1.54	3.11	6.52	9.53	12.58	19.63	29.04	39.00
Average Gain	2.87	4.98	7.10	11.50	14.51	17.23	25.84	36.00	44.91
Average Loss	-1.97	-2.86	-3.98	-5.01	-6.83	-8.88	-7.52	-6.07	-6.17
Best Period	14.39	27.87	30.91	41.10	48.37	47.96	50.65	75.03	92.53
Worst Period	-7.13	-13.65	-12.68	-10.82	-13.89	-15.64	-23.09	-13.04	-16.77
Standard Deviation	3.35	5.61	7.33	10.68	13.37	15.21	16.94	21.18	26.82
Gain Standard Deviation	2.72	4.94	5.98	8.78	10.97	12.39	11.68	15.49	22.50
Loss Standard Deviation	1.77	2.45	2.65	3.01	4.62	5.24	5.87	3.97	5.11
Sharpe Ratio (1%)	0.13	0.23	0.36	0.52	0.60	0.69	0.98	1.18	1.26
Average Gain / Average Loss	1.45	1.74	1.78	2.30	2.13	1.94	3.44	5.93	7.28
Profit / Loss Ratio	1.55	2.23	3.17	5.31	6.99	8.94	15.02	29.93	55.65
Downside Deviation (10%)	2.06	3.16	4.21	5.85	7.56	8.86	10.78	11.87	13.45
Downside Deviation (5%)	1.88	2.61	3.12	3.68	4.59	5.09	5.19	4.42	4.19
Downside Deviation (0%)	1.84	2.49	2.86	3.20	3.96	4.33	4.09	2.93	2.68
Sortino Ratio (10%)	0.06	0.10	0.15	0.26	0.26	0.26	0.36	0.63	0.85
Sortino Ratio (5%)	0.24	0.49	0.84	1.50	1.75	2.08	3.20	5.66	8.08
Sortino Ratio (0%)	0.29	0.62	1.09	2.04	2.41	2.90	4.80	9.91	14.53

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Diversified Trader Index	Month	6	7.56	12/2012
IASG CTA Index	Month	7	7.56	12/2012
Systematic Trader Index	Month	7	7.56	12/2012
Systematic Trader Index	Month	9	2.44	7/2003
Diversified Trader Index	Month	9	2.44	7/2003
Diversified Trader Index	Month	9	1.29	1/2002

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

^#6

Top Performer

DIVERSIFIED TRADER INDEX

DECEMBER
2012

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Briarwood Capital Management, Inc. : Diversified Trading Program

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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Briarwood Capital Management, Inc. : Diversified Trading Program

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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