FormulaFund - Systematic Managed Futures : Institutional Global Diversified Program

Year-to-Date: N / A
Jun Performance: -7.44%

Min Investment: $ 500k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 26.01%
Sharpe (RFR=0.50%): 0.52
CAROR: 11.38%

Assets: $ 2.0M
Worst DD: -21.47
S&P Correlation: 0.04

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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	YTD	1yr	3yr	5yr	10yr	Since 10/2009
Institutional Global Diversified Program	-7.44	6.11	-	4.37	-	-	-	34.48
S&P 500	3.96	-3.29	-	3.13	-	-	-	31.44
+/- S&P 500	-11.40	9.40	-	1.24	-	-	-	3.05

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 500k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 1.00
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $5.00
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: 1500 RT/YR/$M
Avg. Margin-to-Equity: 17%
Targeted Worst DD: -20.00%
Worst Peak-to-Trough: 17.27%
Sector Focus: Diversified Traders

Holding Periods

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

Summary

FormulaFund has historically shown the following benefits: 1) Profit Potential: FormulaFund trades Long & Short. In rising or falling markets, FormulaFund has the potential for profitability over long-term investment periods. 2) Portfolio Efficiency: When added to traditional portfolios of stocks and bonds, FormulaFund has the potential to reduce volatility and enhance returns due to FormulaFund's low correlation to traditional asset classes. 3) Diversification: FormulaFund invests in over 100 different global futures such as Bonds, International Equity Indices, Global Currency and all commodity classes.

Investment Strategy

FormulaFund uses multiple trading systems to generate non-correlated systematic managed futures returns.

Risk Management

Risk Strategy: Money management: Consistent risk management is the most important element of the FormulaFund trading strategy. Trading risk is controlled by strictly limiting the size of individual trading positions and cutting losses early. The total risk is continuously screened and drawdowns are limited by daily maintenance of stop orders. In this way, if a trend reverses, losses are theoretically limited, while if a trend continues profits are theoretically protected. FormulaFund utilizes robust disaster recovery and operational tools such as, multiple redundant back up, generators, satellite communications. FormulaFund, and its strategies, can be operated from anywhere in the world.

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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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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
-21.47	12	-	4/1/2011	4/1/2012
-9.64	1	9	12/1/2009	1/1/2010
-6.23	1	1	2/1/2011	3/1/2011
-0.24	1	1	1/1/0001	10/1/2009

Consecutive Gains

Run-up	Length (Mos.)	Start	End
47.49	8	7/1/2010	2/1/2011
20.17	1	5/1/2012	5/1/2012
14.28	2	11/1/2009	12/1/2009
9.77	1	7/1/2011	7/1/2011
8.42	1	9/1/2011	9/1/2011
8.05	1	4/1/2011	4/1/2011
3.91	4	2/1/2010	5/1/2010

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-20.95	7	10/1/2011	4/1/2012
-16.31	2	5/1/2011	6/1/2011
-9.64	1	1/1/2010	1/1/2010
-7.44	1	6/1/2012	6/1/2012
-6.23	1	3/1/2011	3/1/2011
-3.74	1	6/1/2010	6/1/2010
-0.26	1	8/1/2011	8/1/2011
-0.24	1	10/1/2009	10/1/2009

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month
Number of Periods	33.00	31.00	28.00	22.00	16.00
Percent Profitable	54.55	58.06	60.71	81.82	93.75
Average Period Return	1.16	3.03	6.52	18.07	28.85
Average Gain	5.87	10.06	16.09	24.75	31.29
Average Loss	-5.19	-6.69	-8.25	-12.01	-7.84
Best Period	22.07	31.10	41.62	47.05	54.34
Worst Period	-11.01	-15.48	-17.27	-21.47	-7.84
Standard Deviation	7.51	11.57	16.54	20.26	16.54
Gain Standard Deviation	6.65	9.91	14.01	15.45	13.80
Loss Standard Deviation	3.24	4.39	5.35	6.79
Sharpe Ratio (1%)	0.14	0.24	0.36	0.84	1.65
Average Gain / Average Loss	1.13	1.50	1.95	2.06	3.99
Profit / Loss Ratio	1.57	2.08	3.01	9.27	59.87
Downside Deviation (10%)	4.02	5.81	7.45	7.81	3.95
Downside Deviation (5%)	3.84	5.26	6.35	6.09	2.34
Downside Deviation (0%)	3.80	5.12	6.08	5.70	1.96
Sortino Ratio (10%)	0.19	0.31	0.54	1.67	5.38
Sortino Ratio (5%)	0.28	0.53	0.95	2.80	11.70
Sortino Ratio (0%)	0.31	0.59	1.07	3.17	14.72

Top Performer Badges

Index	Award Type	Rank	Performance	Period

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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FormulaFund - Systematic Managed Futures : Institutional Global Diversified Program

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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