Gap Partners LLC : Gap

Year-to-Date: N / A
Jun Performance: 0.00%

Min Investment: $ 250k
Mgmt. Fee: 0%
Perf. Fee: 20.00%

Annualized Vol: 5.94%
Sharpe (RFR=1%): 0.38
CAROR: 3.10%

Assets: $ 2.8M
Worst DD: -7.32
S&P Correlation: -0.39

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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 11/2009
Gap	0.00	-0.01	-	-1.21	-0.11	-	-	15.31
S&P 500	1.91	4.69	-	22.04	48.40	-	-	78.88
+/- S&P 500	-1.91	-4.70	-	-23.24	-48.51	-	-	-63.57

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 250k
Trading Level Incremental Increase: $ 250k
CTA Max Funding Factor
Management Fee: 0%
Performance Fee: 20.00%
Average Commission: $3.00
Available to US Investors: Yes

Subscriptions

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

Trading

Trading Frequency: 5200 RT/YR/$M
Avg. Margin-to-Equity: 8%
Targeted Worst DD: 10.00%
Worst Peak-to-Trough: -3.60%
Sector Focus: Not Specified

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 0%
Intraday: 100.00%

Summary

Operating during US markets hours and holding no overnight positions, Gap’s computer-based models closely monitor market activity and automatically execute trades at statistically optimal points. The system’s models are optimized to do well in both trending and trading markets and are designed specifically not to be trend dependent; replicating traders’ behavioral patterns in the market through both long and short positions.

Investment Strategy

Gap’s strategies are highly selective and disciplined, acting on relatively few trades, with the objectives of riding winning trades while quickly exiting losing trades. The program incorporates dynamic money management techniques which include systematic profit-taking and stop losses when pre-set levels are achieved and also automated position sizing.

Risk Management

Risk Management features include: - Each trade has a pre-defined level of risk; position management and trading rules used by the system prescribe that a pre-set percent of equity (e.g. 1%) is risked on any given trade. - Trailing stops are used with the intent to exit losing trades quickly and to capture profitable trades at optimal points. - Amount of capital deployed based on liquidity and volatility. - Gap’s systems currently close all positions by end of session in an effort to reduce risk.

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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
-7.32	8	5	8/1/2010	4/1/2011
-6.61	25	-	3/1/2012	4/1/2014
-3.72	2	2	2/1/2010	4/1/2010

Consecutive Gains

Run-up	Length (Mos.)	Start	End
12.44	4	11/1/2009	2/1/2010
8.98	4	5/1/2010	8/1/2010
8.57	8	8/1/2011	3/1/2012
5.57	2	5/1/2011	6/1/2011
0.71	1	8/1/2013	8/1/2013
0.07	1	8/1/2012	8/1/2012

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-7.32	8	9/1/2010	4/1/2011
-3.72	2	3/1/2010	4/1/2010
-3.05	4	4/1/2012	7/1/2012
-3.04	11	9/1/2012	7/1/2013
-1.48	1	7/1/2011	7/1/2011
-1.42	10	9/1/2013	6/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year
Number of Periods	56.00	54.00	51.00	45.00	39.00	33.00	21.00
Percent Profitable	35.71	35.19	41.18	46.67	61.54	66.67	80.95
Average Period Return	0.27	0.77	1.14	1.58	2.90	4.22	6.03
Average Gain	1.77	4.30	5.42	6.07	6.89	8.21	7.57
Average Loss	-0.60	-1.15	-1.87	-2.34	-3.49	-3.75	-0.52
Best Period	6.07	11.58	12.98	12.73	14.36	18.54	19.35
Worst Period	-4.22	-6.58	-7.00	-4.32	-5.63	-6.60	-0.98
Standard Deviation	1.72	3.36	4.30	5.10	5.87	7.23	5.73
Gain Standard Deviation	1.85	3.08	3.04	4.08	3.58	5.27	5.26
Loss Standard Deviation	0.89	1.35	1.68	0.88	1.16	1.95	0.46
Sharpe Ratio (1%)	0.11	0.16	0.15	0.11	0.24	0.31	0.52
Average Gain / Average Loss	2.96	3.75	2.91	2.59	1.97	2.19	14.59
Profit / Loss Ratio	1.74	2.04	2.04	2.27	3.16	4.38	61.99
Downside Deviation (10%)	1.04	2.20	3.58	5.58	7.30	9.01	11.18
Downside Deviation (5%)	0.87	1.55	2.21	2.52	3.18	3.50	1.69
Downside Deviation (0%)	0.83	1.42	1.91	1.82	2.27	2.42	0.29
Sortino Ratio (10%)	-0.13	-0.21	-0.37	-0.61	-0.64	-0.67	-0.87
Sortino Ratio (5%)	0.21	0.34	0.29	0.23	0.44	0.63	1.78
Sortino Ratio (0%)	0.32	0.54	0.59	0.87	1.27	1.75	21.08

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	9	0.17	6/2011
Trend Following Strategy Index	Month	3	5.39	5/2011
Trend Following Strategy Index	Month	9	6.07	6/2010
Trend Following Strategy Index	Month	5	4.54	1/2010
Trend Following Strategy Index	Month	7	2.66	12/2009

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

^#9

Top Performer

TREND FOLLOWING STRATEGY INDEX

JUNE
2011

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Gap Partners LLC : Gap

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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