Estlander & Partners : Alpha Trend

Year-to-Date
2.65%
Jan Performance
-2.65%
Min Investment
$ 30,000k
Mgmt. Fee
1.50%
Perf. Fee
20.00%
Annualized Vol
14.23%
Sharpe (RFR=1%)
0.64
CAROR
9.52%
Assets
$ 169.0M
Worst DD
-26.33
S&P Correlation
0.00

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 Jan Qtr YTD 1yr 3yr 5yr 10yr Since
10/1991
Alpha Trend -2.65 1.34 -2.65 -9.17 9.56 -1.80 49.37 901.65
S&P 500 1.79 7.18 1.79 17.45 27.84 73.64 58.42 480.58
+/- S&P 500 -4.44 -5.84 -4.44 -26.63 -18.28 -75.44 -9.05 421.06

Strategy Description

Summary

Alpha Trend’s investment philosophy is based on the following theses:

• All relevant information is reflected in historic price movements.
• Quantitative analysis is the most effective way of accessing information about future market price movements.
• Historic price... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 30,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
1.00
Management Fee
1.50%
Performance Fee
20.00%
Average Commission
$0
Available to US Investors
No

Subscriptions

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

Trading

Trading Frequency
800 RT/YR/$M
Avg. Margin-to-Equity
11%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
12.40%
Sector Focus
Diversified Traders

Holding Periods

Over 12 Months
0%
4-12 Months
8.00%
1-3 Months
46.00%
1-30 Days
45.00%
Intraday
1.00%

Decision-Making

Discretionary
0%
Systematic
100.00%

Strategy

Pattern Recognition
25.00%
Technical
25.00%
Trend-following
50.00%
Strategy Pie Chart

Composition

Interest Rates
22.00%
Currency Futures
17.00%
Stock Indices
12.00%
Energy
10.00%
Industrial Metals
10.00%
Softs
9.00%
Grains
8.00%
Precious Metals
7.00%
Other
5.00%
Composition Pie Chart

Summary

Alpha Trend’s investment philosophy is based on the following theses:

• All relevant information is reflected in historic price movements.
• Quantitative analysis is the most effective way of accessing information about future market price movements.
• Historic price movements repeat and provide investment opportunities.
• Diversification across a broad range of markets maximises the investment opportunity.
• Alpha Trend capitalizes on market moves driven by investor behaviour in a systematic and disciplined way.

The system tries to exploit profit opportunities based on marketparticipant’s behaviours. There are psychological reasons behind the existence of trends and there are also economical reasons for some participants to reduce volatility. The philosophy of the system is to trade with the trend and take on volatility. That is achieved by selective shortterm trading in line with the longer-term trend and having the risk management focused on drawdowns instead of volatility reduction. The programme takes selective breakouts in the direction of the trend by a unique combination of level identification and trend filtering. The methodology leads to trades in varying holding periods with the average trade lasting 28 days but some positions can be held for 6 months and longer. The strategy is applied on a diversified futures portfolio of 74 markets but being selective in position taking holds full positions only in 29 markets on average. The model and its parameters are the same for all markets in the portfolio. Our risk management is focused on drawdown control and worst case scenarios. The risk management is an integral part of the model and takes a bottom-up approach when evaluating portfolio risk. The sizing Estlander & Partners Alpha Trend is a diversified short- to mid term trend programme which is active on more than 70 liquid futures markets. It is a fully systematic programme with a highly selective trading process. Positions are held on average for 20-30 days. The historical track record goes back to 1991.

Investment Strategy

Alpha Trend’s investment philosophy is based on the following theses: • All relevant information is reflected in historic price movements. • Quantitative analysis is the most effective way of accessing information about future market price movements. • Historic price movements repeat and provide investment opportunities. • Diversification across a broad range of markets maximises the investment opportunity. • Alpha Trend capitalizes on market moves driven by investor behaviour in a systematic and disciplined way. The system tries to exploit profit opportunities based on market participant’s behaviours. There are psychological reasons behind the existence of trends and there are also economical reasons for some participants to reduce volatility. The philosophy of the system is to trade with the trend and take on volatility. That is achieved by selective shortterm trading in line with the longer-term trend and having the risk management focused on drawdowns instead of volatility reduction. The programme takes selective breakouts in the direction of the trend by a unique combination of level identification and identification of market structure. The methodology leads to trades in varying holding periods with the average trade lasting 28 days but some positions can be held for 6 months and longer. The strategy is applied on a diversified futures portfolio of 74 markets but being selective in position taking holds full positions only in 29 markets on average. The model and its parameters are the same for all markets in the portfolio. Our risk management is focused on drawdown control and worst case scenarios. The risk management is an integral part of the model and takes a bottom-up approach when evaluating portfolio risk. The sizing of new positions is dynamic and based on the volatility of the markets and the total risk in the portfolio at the time of entry. All position risks are accumulated to achieve a better estimate of a worst case scenario and to avoid an over-reliance on low or negative correlations. The information is provided on strategy level for the investment programme in question. Performance figures and other information on funds applying the investment programme in question are available by contacting Estlander & Partners Ltd.

Risk Management

The 73 exchange traded futures markets within the portfolio are traded both on the long and short side and the program also applies a prudent risk management that ensures optimal portfolio balance at all times.

   

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

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
-26.33 36 - 4/1/2011 4/1/2014
-12.44 4 3 7/1/1997 11/1/1997
-12.41 5 2 5/1/1995 10/1/1995
-12.04 6 14 3/1/2004 9/1/2004
-12.04 3 8 11/1/2009 2/1/2010
-10.70 2 2 12/1/1995 2/1/1996
-10.41 4 13 5/1/2006 9/1/2006
-9.88 4 4 9/1/1992 1/1/1993
-9.63 6 2 10/1/2001 4/1/2002
-9.00 3 2 6/1/2008 9/1/2008
-8.08 5 2 3/1/2001 8/1/2001
-7.82 4 1 4/1/1996 8/1/1996
-7.74 3 2 7/1/1993 10/1/1993
-7.74 1 2 9/1/1999 10/1/1999
-7.65 4 1 12/1/2008 4/1/2009
-7.48 1 2 2/1/2003 3/1/2003
-7.08 2 2 8/1/2000 10/1/2000
-6.78 2 4 12/1/1991 2/1/1992
-6.35 2 5 9/1/1998 11/1/1998
-6.02 2 3 12/1/1993 2/1/1994
-5.33 3 2 11/1/1994 2/1/1995
-4.86 4 1 6/1/1994 10/1/1994
-4.83 2 2 9/1/2002 11/1/2002
-4.29 1 3 3/1/1998 4/1/1998
-4.25 1 1 1/1/2006 2/1/2006
-4.09 1 1 11/1/1996 12/1/1996
-4.08 1 2 2/1/2008 3/1/2008
-3.71 1 1 10/1/2003 11/1/2003
-2.90 1 1 9/1/2009 10/1/2009
-2.87 1 2 5/1/2009 6/1/2009
-2.47 1 2 4/1/1999 5/1/1999
-2.16 1 2 5/1/2003 6/1/2003
-1.61 1 1 1/1/2001 2/1/2001
-1.20 1 1 10/1/2010 11/1/2010
-1.02 1 1 12/1/1999 1/1/2000
-1.00 1 1 5/1/1993 6/1/1993
-0.71 1 1 6/1/2000 7/1/2000
-0.59 1 1 10/1/2007 11/1/2007
-0.57 1 1 8/1/2003 9/1/2003
-0.39 1 1 12/1/2010 1/1/2011
-0.36 1 1 4/1/1997 5/1/1997
-0.01 1 1 2/1/2000 3/1/2000
Show More

Consecutive Gains

Run-up Length (Mos.) Start End
24.84 3 12/1/2007 2/1/2008
24.51 7 3/1/1992 9/1/1992
21.45 5 5/1/2002 9/1/2002
21.37 4 12/1/1997 3/1/1998
18.62 4 10/1/2005 1/1/2006
17.81 3 10/1/2008 12/1/2008
17.78 4 12/1/2003 3/1/2004
17.60 2 3/1/1996 4/1/1996
17.35 3 9/1/1996 11/1/1996
17.13 2 11/1/1995 12/1/1995
16.32 4 11/1/2014 2/1/2015
15.91 2 11/1/1993 12/1/1993
15.14 6 12/1/2012 5/1/2013
14.06 3 11/1/2000 1/1/2001
14.04 4 2/1/1993 5/1/1993
14.02 4 1/1/1997 4/1/1997
13.99 3 12/1/2002 2/1/2003
13.39 3 10/1/1991 12/1/1991
13.39 3 3/1/2006 5/1/2006
12.84 5 5/1/1998 9/1/1998
12.76 2 5/1/1994 6/1/1994
11.80 2 4/1/2003 5/1/2003
11.61 2 9/1/2001 10/1/2001
11.54 2 11/1/1999 12/1/1999
10.91 2 9/1/2007 10/1/2007
10.76 4 6/1/1999 9/1/1999
10.37 1 10/1/2003 10/1/2003
10.32 3 3/1/1995 5/1/1995
10.31 1 5/1/2009 5/1/2009
10.24 2 1/1/2016 2/1/2016
9.23 1 11/1/1994 11/1/1994
9.18 2 5/1/2010 6/1/2010
8.65 3 4/1/2008 6/1/2008
8.21 3 8/1/2010 10/1/2010
7.56 3 10/1/2004 12/1/2004
7.53 1 2/1/2005 2/1/2005
7.47 2 4/1/2012 5/1/2012
7.01 3 4/1/2007 6/1/2007
7.00 2 6/1/1997 7/1/1997
6.73 3 7/1/2015 9/1/2015
6.25 3 7/1/2009 9/1/2009
6.12 3 7/1/2014 9/1/2014
5.97 1 3/1/2001 3/1/2001
5.78 2 8/1/2011 9/1/2011
5.43 3 2/1/2011 4/1/2011
5.19 1 2/1/2000 2/1/2000
5.03 1 12/1/2010 12/1/2010
4.91 1 11/1/1992 11/1/1992
4.67 2 6/1/2016 7/1/2016
4.65 2 10/1/2006 11/1/2006
4.52 1 3/1/1994 3/1/1994
4.42 1 2/1/1999 2/1/1999
4.36 1 7/1/1993 7/1/1993
4.12 2 5/1/2005 6/1/2005
4.10 2 11/1/2016 12/1/2016
3.87 1 7/1/2012 7/1/2012
3.79 1 12/1/1998 12/1/1998
3.70 1 8/1/2006 8/1/2006
3.28 1 4/1/1999 4/1/1999
3.26 1 11/1/2009 11/1/2009
3.14 1 3/1/2002 3/1/2002
2.84 1 3/1/2010 3/1/2010
2.81 1 11/1/2015 11/1/2015
2.49 1 12/1/2013 12/1/2013
2.43 1 5/1/2014 5/1/2014
2.41 1 2/1/2014 2/1/2014
2.27 2 7/1/2003 8/1/2003
2.18 2 1/1/2012 2/1/2012
1.85 1 8/1/2000 8/1/2000
1.63 1 8/1/2008 8/1/2008
1.46 3 4/1/2000 6/1/2000
1.26 1 5/1/2001 5/1/2001
1.19 1 9/1/1997 9/1/1997
1.15 1 9/1/1994 9/1/1994
0.91 1 6/1/1996 6/1/1996
0.88 1 8/1/2005 8/1/2005
0.72 1 12/1/2001 12/1/2001
0.69 1 10/1/2013 10/1/2013
0.32 1 7/1/2004 7/1/2004
0.26 1 9/1/1993 9/1/1993
0.07 1 1/1/2007 1/1/2007
Show More

Consecutive Losses

Run-up Length (Mos.) Start End
-13.42 4 6/1/2013 9/1/2013
-12.41 5 6/1/1995 10/1/1995
-12.18 4 8/1/2012 11/1/2012
-12.06 3 10/1/2011 12/1/2011
-12.04 3 12/1/2009 2/1/2010
-10.70 2 1/1/1996 2/1/1996
-10.26 2 10/1/1997 11/1/1997
-10.23 3 5/1/2011 7/1/2011
-10.13 2 6/1/2006 7/1/2006
-9.61 3 3/1/2016 5/1/2016
-9.32 3 8/1/2016 10/1/2016
-8.36 3 4/1/2004 6/1/2004
-7.74 1 10/1/1999 10/1/1999
-7.65 4 1/1/2009 4/1/2009
-7.48 1 3/1/2003 3/1/2003
-7.39 1 10/1/1992 10/1/1992
-7.25 2 12/1/1992 1/1/1993
-7.08 2 9/1/2000 10/1/2000
-6.98 1 7/1/2008 7/1/2008
-6.96 2 7/1/2007 8/1/2007
-6.78 2 1/1/1992 2/1/1992
-6.74 4 3/1/2015 6/1/2015
-6.72 2 1/1/2002 2/1/2002
-6.35 2 10/1/1998 11/1/1998
-6.03 3 6/1/2001 8/1/2001
-6.02 1 10/1/2015 10/1/2015
-6.02 2 1/1/1994 2/1/1994
-5.33 3 12/1/1994 2/1/1995
-5.32 2 7/1/1996 8/1/1996
-5.21 1 6/1/2012 6/1/2012
-4.86 1 10/1/1993 10/1/1993
-4.83 2 10/1/2002 11/1/2002
-4.66 2 3/1/2005 4/1/2005
-4.32 2 8/1/2004 9/1/2004
-4.29 1 4/1/1998 4/1/1998
-4.25 1 2/1/2006 2/1/2006
-4.20 2 3/1/2014 4/1/2014
-4.09 1 12/1/1996 12/1/1996
-4.08 1 3/1/2008 3/1/2008
-4.03 1 3/1/2012 3/1/2012
-3.87 1 9/1/2006 9/1/2006
-3.74 1 9/1/2008 9/1/2008
-3.71 1 11/1/2003 11/1/2003
-3.57 1 11/1/2001 11/1/2001
-3.57 1 8/1/1997 8/1/1997
-3.52 1 5/1/1996 5/1/1996
-3.40 1 4/1/2001 4/1/2001
-3.29 1 4/1/2002 4/1/2002
-3.28 1 8/1/1993 8/1/1993
-3.02 1 10/1/1994 10/1/1994
-3.02 2 7/1/1994 8/1/1994
-2.98 1 1/1/2014 1/1/2014
-2.92 1 1/1/2005 1/1/2005
-2.90 1 10/1/2009 10/1/2009
-2.87 1 6/1/2009 6/1/2009
-2.65 1 1/1/2017 1/1/2017
-2.47 1 5/1/1999 5/1/1999
-2.16 1 12/1/2015 12/1/2015
-2.16 1 6/1/2003 6/1/2003
-2.05 1 10/1/2014 10/1/2014
-2.04 1 1/1/1999 1/1/1999
-2.03 1 4/1/1994 4/1/1994
-1.72 2 2/1/2007 3/1/2007
-1.61 1 2/1/2001 2/1/2001
-1.45 1 3/1/1999 3/1/1999
-1.21 1 12/1/2006 12/1/2006
-1.20 1 11/1/2010 11/1/2010
-1.13 1 11/1/2013 11/1/2013
-1.02 1 1/1/2000 1/1/2000
-1.00 1 6/1/1993 6/1/1993
-0.89 1 7/1/2010 7/1/2010
-0.82 1 4/1/2010 4/1/2010
-0.71 1 7/1/2000 7/1/2000
-0.63 1 9/1/2005 9/1/2005
-0.59 1 11/1/2007 11/1/2007
-0.57 1 9/1/2003 9/1/2003
-0.39 1 1/1/2011 1/1/2011
-0.36 1 5/1/1997 5/1/1997
-0.32 1 7/1/2005 7/1/2005
-0.01 1 6/1/2014 6/1/2014
-0.01 1 3/1/2000 3/1/2000
Show More

Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods304.00302.00299.00293.00287.00281.00269.00257.00245.00
Percent Profitable57.2465.2370.9080.5585.0288.2691.0888.3388.16
Average Period Return0.842.535.0110.2715.8121.6934.3148.9966.50
Average Gain3.666.429.1114.1319.8825.8038.8956.4576.21
Average Loss-2.92-4.76-5.00-5.73-7.29-9.20-12.49-7.43-5.82
Best Period14.4024.8437.6439.2449.6666.4676.54114.03118.08
Worst Period-9.11-12.06-13.81-16.16-21.95-20.12-26.33-14.54-11.88
Standard Deviation4.116.808.6411.4613.9916.3722.7129.8536.31
Gain Standard Deviation2.814.696.429.0110.7112.4618.0123.0026.35
Loss Standard Deviation2.023.203.804.595.045.537.593.593.28
Sharpe Ratio (1%)0.190.340.520.811.021.201.381.511.69
Average Gain / Average Loss1.251.351.822.472.732.813.117.5913.10
Profit / Loss Ratio1.682.534.4410.2115.4821.0831.7957.4697.58
Downside Deviation (10%)2.544.004.535.256.217.109.4611.1312.70
Downside Deviation (5%)2.363.503.603.583.914.275.154.133.95
Downside Deviation (0%)2.323.383.383.233.423.664.342.812.29
Sortino Ratio (10%)0.170.330.561.001.321.611.962.473.06
Sortino Ratio (5%)0.320.651.252.583.664.616.0810.8815.56
Sortino Ratio (0%)0.360.751.483.184.635.927.9017.4329.06

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 3 4.21 4/2008
Diversified Trader Index Month 7 4.21 4/2008
Systematic Trader Index Month 10 4.21 4/2008
Diversified Trader Index Month 10 7.53 2/2005
Systematic Trader Index Month 7 7.53 2/2005
Trend Following Strategy Index Month 7 7.53 2/2005
Trend Following Strategy Index Month 8 2.18 7/2003
Trend Following Strategy Index Month 9 5.05 4/2003
Diversified Trader Index Month 10 5.05 4/2003
Systematic Trader Index Month 10 5.05 4/2003
IASG CTA Index Month 10 5.19 2/2000
Diversified Trader Index Month 8 5.19 2/2000
Systematic Trader Index Month 8 5.19 2/2000
Trend Following Strategy Index Month 5 5.19 2/2000
Trend Following Strategy Index Month 9 7.56 12/1999
Trend Following Strategy Index Month 9 2.94 7/1999
Trend Following Strategy Index Month 10 3.79 12/1998
Diversified Trader Index Month 9 1.62 7/1998
Systematic Trader Index Month 8 1.62 7/1998
Trend Following Strategy Index Month 5 1.62 7/1998
Trend Following Strategy Index Month 9 -4.29 4/1998
Diversified Trader Index Month 7 3.75 3/1998
IASG CTA Index Month 8 3.75 3/1998
Trend Following Strategy Index Month 6 3.75 3/1998
Systematic Trader Index Month 6 3.75 3/1998
Trend Following Strategy Index Month 3 4.71 2/1998
Systematic Trader Index Month 4 4.71 2/1998
Diversified Trader Index Month 4 4.71 2/1998
IASG CTA Index Month 5 4.71 2/1998
Trend Following Strategy Index Month 8 6.47 12/1997
Systematic Trader Index Month 9 6.47 12/1997
Trend Following Strategy Index Month 9 -3.57 8/1997
IASG CTA Index Month 7 1.39 4/1997
Systematic Trader Index Month 3 1.39 4/1997
Diversified Trader Index Month 3 1.39 4/1997
Trend Following Strategy Index Month 2 1.39 4/1997
Trend Following Strategy Index Month 9 -4.09 12/1996
Trend Following Strategy Index Month 7 13.46 4/1996
Systematic Trader Index Month 9 13.46 4/1996
IASG CTA Index Month 9 13.46 4/1996
Diversified Trader Index Month 9 13.46 4/1996
Trend Following Strategy Index Month 9 3.65 3/1996
Trend Following Strategy Index Month 10 -6.73 2/1996
Diversified Trader Index Month 8 14.40 12/1995
Systematic Trader Index Month 8 14.40 12/1995
IASG CTA Index Month 8 14.40 12/1995
Trend Following Strategy Index Month 7 14.40 12/1995
Trend Following Strategy Index Month 8 -0.85 10/1995
Trend Following Strategy Index Month 5 -0.03 9/1995
Systematic Trader Index Month 9 -0.03 9/1995
Diversified Trader Index Month 10 -0.03 9/1995
Diversified Trader Index Month 9 5.63 4/1995
Trend Following Strategy Index Month 8 5.63 4/1995
Systematic Trader Index Month 8 5.63 4/1995
IASG CTA Index Month 9 5.63 4/1995
Trend Following Strategy Index Month 6 -1.56 1/1995
Diversified Trader Index Month 10 -1.56 1/1995
Systematic Trader Index Month 10 -1.56 1/1995
IASG CTA Index Sharpe 9 1.02 1993 - 1994
Trend Following Strategy Index Month 10 9.23 11/1994
Trend Following Strategy Index Month 10 -3.02 10/1994
Systematic Trader Index Month 4 -1.74 8/1994
Diversified Trader Index Month 5 -1.74 8/1994
IASG CTA Index Month 7 -1.74 8/1994
Trend Following Strategy Index Month 4 -1.74 8/1994
Trend Following Strategy Index Month 8 -1.30 7/1994
Systematic Trader Index Month 10 -1.30 7/1994
Systematic Trader Index Month 10 9.25 5/1994
Diversified Trader Index Month 10 9.25 5/1994
IASG CTA Index Month 10 9.25 5/1994
Trend Following Strategy Index Month 9 9.25 5/1994
Trend Following Strategy Index Month 10 -4.06 2/1994
IASG CTA Index Month 10 -2.04 1/1994
Systematic Trader Index Month 9 -2.04 1/1994
Diversified Trader Index Month 9 -2.04 1/1994
Trend Following Strategy Index Month 5 -2.04 1/1994
IASG CTA Index Sharpe 8 1.20 1992 - 1993
Trend Following Strategy Index Month 9 7.94 12/1993
Diversified Trader Index Month 5 7.38 11/1993
IASG CTA Index Month 5 7.38 11/1993
Systematic Trader Index Month 4 7.38 11/1993
Trend Following Strategy Index Month 4 7.38 11/1993
Trend Following Strategy Index Month 3 0.26 9/1993
Systematic Trader Index Month 7 0.26 9/1993
Diversified Trader Index Month 8 0.26 9/1993
IASG CTA Index Month 9 0.26 9/1993
Trend Following Strategy Index Month 10 -1.00 6/1993
Diversified Trader Index Month 8 1.71 3/1993
IASG CTA Index Month 8 1.71 3/1993
Trend Following Strategy Index Month 7 1.71 3/1993
Systematic Trader Index Month 8 1.71 3/1993
IASG CTA Index Year Rolling 9 9.29 1991 - 1992
Trend Following Strategy Index Month 9 -3.09 12/1992
IASG CTA Index Sharpe 5 1.11 1991 - 1992
Trend Following Strategy Index Month 4 4.91 11/1992
IASG CTA Index Month 6 4.91 11/1992
Diversified Trader Index Month 5 4.91 11/1992
Systematic Trader Index Month 5 4.91 11/1992
IASG CTA Index Month 4 0.77 9/1992
Trend Following Strategy Index Month 2 0.77 9/1992

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