Cauldron Investments, LLC : Stock Index Plus

Year-to-Date: N / A
Sep Performance: 1.33%

Min Investment: $ 1,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 9.18%
Sharpe (RFR=1%): 1.12
CAROR: 11.36%

Assets: $ 29.7M
Worst DD: -11.83
S&P Correlation: 0.67

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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	Sep	Qtr	YTD	1yr	3yr	5yr	10yr	Since 10/2009
Stock Index Plus	1.33	1.33	-	-0.57	14.11	35.40	-	163.31
S&P 500	0.43	7.20	-	14.67	50.24	71.54	-	163.64
+/- S&P 500	0.90	-5.87	-	-15.24	-36.12	-36.14	-	-0.33

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 1,000k
Trading Level Incremental Increase: $ 100k
CTA Max Funding Factor: 2.00
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $8.00
Available to US Investors: Yes

Subscriptions

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

Trading

Trading Frequency: 1500 RT/YR/$M
Avg. Margin-to-Equity: 20%
Targeted Worst DD: -15.00%
Worst Peak-to-Trough: 20.00%
Sector Focus: Stock Index Traders

Holding Periods

Over 12 Months: 10.00%
4-12 Months: 20.00%
1-3 Months: 30.00%
1-30 Days: 40.00%
Intraday: 0%

Summary

The Stock Index Plus Program (SIP) is a multi-strategy, systematic, rules-based trading system focused in stock market indices such as the S&P 500, via trading its futures contracts and options. It consists of three independent subsystems: (1) trend-following, (2) trend-reversal, and (3) options writing. This investment program is not intended to be an uncorrelated supplement to allocating capital assets in equity markets. Instead, it intends to provide a superior alternative to allocating capital assets in equity markets, with higher returns and lower volatility. The characteristics of the performance of SIP is therefore highly correlated with the stock market in bull markets, and either uncorrelated or negatively correlated in bear markets.

Investment Strategy

1. Trend-following 2. Trend-reversal 3. Options Writing

Risk Management

The program uses low levels of leverage in all three subsystems to control risk, in addition to predetermined maximum risk percentages to control risk in both the trend-reversal and options writing systems.

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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

Reward
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:
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:
Kurtosis:

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
-11.83	1	-	1/1/2018	2/1/2018
-10.82	2	6	4/1/2010	6/1/2010
-10.59	7	11	7/1/2015	2/1/2016
-8.53	3	5	5/1/2011	8/1/2011
-4.04	3	1	10/1/2013	1/1/2014
-1.49	2	1	11/1/2014	1/1/2015
-1.00	1	1	2/1/2015	3/1/2015
-0.60	1	1	4/1/2012	5/1/2012
-0.06	1	1	5/1/2015	6/1/2015
-0.03	1	1	1/1/2010	2/1/2010

Consecutive Gains

Run-up	Length (Mos.)	Start	End
35.78	17	6/1/2012	10/1/2013
20.81	9	9/1/2010	5/1/2011
19.13	10	2/1/2014	11/1/2014
13.69	16	10/1/2016	1/1/2018
12.62	4	1/1/2012	4/1/2012
11.20	7	3/1/2018	9/1/2018
10.60	6	3/1/2016	8/1/2016
8.68	2	9/1/2011	10/1/2011
7.81	2	3/1/2010	4/1/2010
6.79	4	10/1/2009	1/1/2010
5.77	1	7/1/2010	7/1/2010
5.39	4	9/1/2015	12/1/2015
3.94	1	2/1/2015	2/1/2015
3.39	1	7/1/2015	7/1/2015
2.96	2	4/1/2015	5/1/2015
0.78	1	12/1/2013	12/1/2013

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-11.83	1	2/1/2018	2/1/2018
-10.82	2	5/1/2010	6/1/2010
-9.55	1	8/1/2015	8/1/2015
-8.53	3	6/1/2011	8/1/2011
-6.20	2	1/1/2016	2/1/2016
-3.68	1	1/1/2014	1/1/2014
-1.51	1	9/1/2016	9/1/2016
-1.49	2	12/1/2014	1/1/2015
-1.14	1	11/1/2013	11/1/2013
-1.00	1	3/1/2015	3/1/2015
-0.71	2	11/1/2011	12/1/2011
-0.60	1	5/1/2012	5/1/2012
-0.06	1	6/1/2015	6/1/2015
-0.04	1	8/1/2010	8/1/2010
-0.03	1	2/1/2010	2/1/2010

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	108.00	106.00	103.00	97.00	91.00	85.00	73.00	61.00	49.00
Percent Profitable	80.56	81.13	77.67	85.57	95.60	100.00	100.00	100.00	100.00
Average Period Return	0.94	2.78	5.50	11.68	18.64	25.91	42.64	61.50	80.90
Average Gain	1.83	4.57	8.10	14.00	19.54	25.91	42.64	61.50	80.90
Average Loss	-2.75	-4.93	-3.54	-2.04	-1.14
Best Period	7.40	11.53	17.06	27.45	42.69	58.85	85.70	106.78	128.53
Worst Period	-11.83	-10.58	-8.97	-5.83	-2.62	5.32	2.83	16.69	35.27
Standard Deviation	2.65	4.53	6.36	8.37	11.89	15.30	23.23	26.74	26.22
Gain Standard Deviation	1.47	2.31	4.42	6.64	11.35	15.30	23.23	26.74	26.22
Loss Standard Deviation	3.25	3.50	2.70	1.50	1.08
Sharpe Ratio (1%)	0.32	0.56	0.79	1.28	1.44	1.56	1.70	2.15	2.89
Average Gain / Average Loss	0.66	0.93	2.29	6.85	17.12
Profit / Loss Ratio	2.75	3.98	7.96	40.62	372.44
Downside Deviation (10%)	1.98	3.06	3.11	2.87	2.59	1.42	2.97	1.16
Downside Deviation (5%)	1.88	2.70	2.28	1.28	0.60		0.02
Downside Deviation (0%)	1.85	2.61	2.09	0.95	0.31
Sortino Ratio (10%)	0.27	0.51	0.97	2.33	4.26	11.04	9.04	34.57
Sortino Ratio (5%)	0.45	0.94	2.19	8.34	28.47		1709.23
Sortino Ratio (0%)	0.51	1.07	2.64	12.28	60.15

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	8	0.00	10/2018
Stock Index Trader Index	Month	8	1.33	9/2018
Trend Following Strategy Index	Month	7	1.33	9/2018
Trend Following Strategy Index	Month	5	1.33	9/2018
Stock Index Trader Index	Month	8	1.33	9/2018
Stock Index Trader Index	Month	10	1.20	8/2018
Trend Following Strategy Index	Month	7	1.83	7/2018
Stock Index Trader Index	Month	6	2.03	6/2018
Trend Following Strategy Index	Month	9	2.03	6/2018
Trend Following Strategy Index	Month	9	1.34	5/2018
Stock Index Trader Index	Month	10	1.34	5/2018
Trend Following Strategy Index	Month	5	1.76	3/2018
Trend Following Strategy Index	Month	5	1.17	9/2017
Stock Index Trader Index	Month	8	1.17	9/2017
Trend Following Strategy Index	Month	7	0.73	6/2017
Trend Following Strategy Index	Month	9	1.01	3/2017
Stock Index Trader Index	Month	9	0.86	2/2017
Trend Following Strategy Index	Month	8	1.21	1/2017
Stock Index Trader Index	Month	10	0.61	12/2016
Trend Following Strategy Index	Month	10	0.50	10/2016
Trend Following Strategy Index	Month	3	1.02	8/2016
Stock Index Trader Index	Month	9	1.44	7/2016
Stock Index Trader Index	Month	3	3.19	5/2016
Trend Following Strategy Index	Month	2	3.19	5/2016
IASG CTA Index	Month	6	3.19	5/2016
Systematic Trader Index	Month	6	3.19	5/2016
Trend Following Strategy Index	Month	6	2.84	3/2016
Stock Index Trader Index	Month	3	2.84	3/2016
IASG CTA Index	Sharpe	8	1.56	2014 - 2015
IASG CTA Index	5 Year Rolling	8	94.54	2010 - 2015
Trend Following Strategy Index	Month	9	0.19	12/2015
Trend Following Strategy Index	Month	6	2.77	10/2015
Stock Index Trader Index	Month	5	2.77	10/2015
Stock Index Trader Index	Month	9	3.39	7/2015
Trend Following Strategy Index	Month	7	3.94	2/2015
IASG CTA Index	Sharpe	9	1.90	2013 - 2014
IASG CTA Index	3 Year Rolling	10	73.81	2011 - 2014
Stock Index Trader Index	Month	4	2.94	4/2014
Stock Index Trader Index	Month	4	4.83	2/2014
IASG CTA Index	Sharpe	6	1.95	2012 - 2013
Stock Index Trader Index	Month	6	4.25	7/2013
Stock Index Trader Index	Month	9	3.09	4/2013
Stock Index Trader Index	Month	8	2.08	3/2013
Stock Index Trader Index	Month	4	4.06	1/2013
Trend Following Strategy Index	Month	5	1.80	10/2012
Stock Index Trader Index	Month	8	1.95	9/2012
Stock Index Trader Index	Month	10	4.00	6/2012
Trend Following Strategy Index	Month	2	4.00	6/2012
Stock Index Trader Index	Month	6	3.83	3/2012
Trend Following Strategy Index	Month	9	3.83	3/2012
Stock Index Trader Index	Month	5	4.53	2/2012
Trend Following Strategy Index	Month	3	5.88	10/2011
Stock Index Trader Index	Month	7	5.88	10/2011
Stock Index Trader Index	Month	6	2.19	4/2011
Trend Following Strategy Index	Month	7	2.79	3/2011
Stock Index Trader Index	Month	8	2.81	2/2011
Stock Index Trader Index	Month	5	3.88	12/2010
Stock Index Trader Index	Month	10	3.33	10/2010
Stock Index Trader Index	Month	8	1.54	9/2010
Systematic Trader Index	Month	9	5.84	7/2010
Trend Following Strategy Index	Month	4	5.84	7/2010
Stock Index Trader Index	Month	2	5.84	7/2010
Stock Index Trader Index	Month	2	7.52	3/2010
IASG CTA Index	Sharpe	7	5.00	2008 - 2009
Stock Index Trader Index	Month	10	0.40	10/2009
Stock Index Trader Index	Month	4	5.67	9/2009
Stock Index Trader Index	Month	6	5.51	8/2009

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

^#8

Top Performer

TREND FOLLOWING STRATEGY INDEX

OCTOBER
2018

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Cauldron Investments, LLC : Stock Index Plus

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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