Heyden & Steindl GmbH : TOMAC2

Year-to-Date: N / A
Mar Performance: 0.02%

Min Investment: $ 5,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 29.48%
Sharpe (RFR=1%): 0.66
CAROR: 17.80%

Assets: $ 173.0M
Worst DD: -42.20
S&P Correlation: -0.05

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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	Mar	Qtr	YTD	1yr	3yr	5yr	10yr	Since 3/2003
TOMAC2	0.02	3.95	-	19.76	40.04	-12.04	200.69	624.10
S&P 500	-1.74	0.44	-	10.44	46.82	76.80	75.13	143.76
+/- S&P 500	1.76	3.51	-	9.32	-6.78	-88.84	125.57	480.34

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 5,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $4.00
Available to US Investors: No

Subscriptions

High Water Mark: Yes
Subscription Frequency: Anytime
Redemption Frequency: Monthly
Investor Requirements: Any Investor
Lock-up Period: 0

Trading

Trading Frequency: 800 RT/YR/$M
Avg. Margin-to-Equity: 15%
Targeted Worst DD: -25.00%
Worst Peak-to-Trough: 40.16%
Sector Focus: Not Specified

Holding Periods

Over 12 Months: 0%
4-12 Months: 5.00%
1-3 Months: 90.00%
1-30 Days
Intraday: 5.00%

Decision-Making

Discretionary: 10.00%
Systematic: 90.00%

Strategy

Trend-following: 70.00%
Other: 30.00%

Summary

-Investment objective is an absolute return in any market condition. As opposed to a diversified portfolio TOMAC2 is a trading concept focusing on single market chances. Positions are taken on a signal generated by a quantitative model comprising a combination of trend following and pattern recognition. A quality check of the signal adds a discretionary component to the concept. Risk control is applied to every single position with a maximum loss allowed, secured by a stop order placed with the entry order. The position exit is completely systematic on channel breakout.

Investment Strategy

Combination of trend following and pattern recognition applied on the global futures markets.

Risk Management

Risk per position is limited to a maximum of 2% per position, secured by stop orders. Risk will be reduced according to the algorithm of a risk matrix when consecutive loss trades appear. Once trades are profitable again the risk will be consequently increased again until the 2% barrier is reached again.

Compare to:

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Index: Chart Type:

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
-42.20	31	-	6/1/2009	1/1/2012
-40.16	6	15	7/1/2004	1/1/2005
-16.38	5	1	2/1/2008	7/1/2008
-14.60	6	3	9/1/2006	3/1/2007
-12.85	3	2	12/1/2008	3/1/2009
-10.69	3	1	5/1/2006	8/1/2006
-9.79	2	1	8/1/2007	10/1/2007
-8.54	2	1	9/1/2003	11/1/2003
-7.90	1	2	8/1/2008	9/1/2008
-5.74	1	1	5/1/2004	6/1/2004
-2.83	1	1	3/1/2004	4/1/2004
-1.99	1	1	5/1/2003	6/1/2003

Consecutive Gains

Run-up	Length (Mos.)	Start	End
61.01	4	12/1/2003	3/1/2004
50.91	4	11/1/2007	2/1/2008
50.85	7	2/1/2005	8/1/2005
41.49	3	3/1/2003	5/1/2003
41.31	5	4/1/2007	8/1/2007
39.44	3	7/1/2003	9/1/2003
35.56	1	7/1/2004	7/1/2004
28.83	3	4/1/2009	6/1/2009
24.03	3	3/1/2006	5/1/2006
21.11	3	4/1/2013	6/1/2013
20.81	3	10/1/2008	12/1/2008
20.61	1	8/1/2008	8/1/2008
20.37	3	7/1/2014	9/1/2014
20.27	1	9/1/2006	9/1/2006
16.16	2	1/1/2010	2/1/2010
15.09	2	8/1/2012	9/1/2012
14.25	1	5/1/2012	5/1/2012
13.87	1	9/1/2010	9/1/2010
13.87	1	5/1/2010	5/1/2010
10.10	2	12/1/2012	1/1/2013
8.93	2	10/1/2009	11/1/2009
8.52	1	2/1/2012	2/1/2012
6.50	2	12/1/2014	1/1/2015
5.10	1	1/1/2006	1/1/2006
5.02	1	6/1/2008	6/1/2008
4.80	1	9/1/2011	9/1/2011
3.80	1	5/1/2004	5/1/2004
3.47	3	11/1/2013	1/1/2014
3.44	1	5/1/2014	5/1/2014
3.20	2	11/1/2011	12/1/2011
3.02	1	1/1/2011	1/1/2011
2.86	1	11/1/2005	11/1/2005
2.77	1	4/1/2011	4/1/2011
1.76	1	11/1/2006	11/1/2006
0.57	1	9/1/2013	9/1/2013
0.26	1	12/1/2004	12/1/2004
0.11	1	9/1/2004	9/1/2004
0.02	1	3/1/2015	3/1/2015

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-18.53	3	6/1/2010	8/1/2010
-17.03	1	1/1/2005	1/1/2005
-16.76	1	8/1/2004	8/1/2004
-16.69	3	7/1/2009	9/1/2009
-16.01	4	5/1/2011	8/1/2011
-15.30	1	10/1/2011	10/1/2011
-14.36	4	12/1/2006	3/1/2007
-13.68	2	10/1/2004	11/1/2004
-12.85	3	1/1/2009	3/1/2009
-12.80	3	3/1/2008	5/1/2008
-10.89	2	6/1/2012	7/1/2012
-10.71	2	3/1/2010	4/1/2010
-10.69	3	6/1/2006	8/1/2006
-10.51	2	2/1/2011	3/1/2011
-9.79	2	9/1/2007	10/1/2007
-9.37	1	12/1/2009	12/1/2009
-8.69	1	7/1/2008	7/1/2008
-8.54	2	10/1/2003	11/1/2003
-8.05	3	10/1/2010	12/1/2010
-8.05	3	2/1/2014	4/1/2014
-7.90	1	9/1/2008	9/1/2008
-7.36	2	2/1/2013	3/1/2013
-6.91	2	3/1/2012	4/1/2012
-6.51	2	9/1/2005	10/1/2005
-5.74	1	6/1/2004	6/1/2004
-5.53	1	10/1/2013	10/1/2013
-5.25	2	10/1/2012	11/1/2012
-4.57	2	10/1/2014	11/1/2014
-4.31	1	1/1/2012	1/1/2012
-3.92	2	7/1/2013	8/1/2013
-3.70	1	2/1/2006	2/1/2006
-3.49	1	6/1/2014	6/1/2014
-2.83	1	4/1/2004	4/1/2004
-2.32	1	12/1/2005	12/1/2005
-2.01	1	10/1/2006	10/1/2006
-1.99	1	6/1/2003	6/1/2003
-1.86	1	2/1/2015	2/1/2015

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	145.00	143.00	140.00	134.00	128.00	122.00	110.00	98.00	86.00
Percent Profitable	52.41	58.74	67.14	70.90	76.56	75.41	68.18	62.24	76.74
Average Period Return	1.71	5.10	9.58	18.21	24.85	32.65	53.80	74.03	105.60
Average Gain	7.64	13.81	19.40	31.02	38.09	50.03	87.96	127.61	141.01
Average Loss	-4.81	-7.31	-10.50	-12.97	-18.40	-20.65	-19.40	-14.32	-11.27
Best Period	35.56	58.36	85.50	173.18	205.49	131.02	256.34	278.96	589.32
Worst Period	-17.03	-25.98	-40.16	-34.45	-39.14	-37.19	-37.14	-27.61	-30.57
Standard Deviation	8.51	14.43	20.84	33.77	39.64	41.89	68.36	86.77	128.23
Gain Standard Deviation	7.16	12.12	17.84	31.72	35.55	32.46	55.89	66.39	126.52
Loss Standard Deviation	3.79	5.73	8.38	9.76	11.32	10.90	9.52	7.11	7.94
Sharpe Ratio (1%)	0.19	0.34	0.44	0.51	0.59	0.73	0.74	0.81	0.78
Average Gain / Average Loss	1.59	1.89	1.85	2.39	2.07	2.42	4.54	8.91	12.51
Profit / Loss Ratio	1.75	2.69	3.78	5.82	6.76	7.43	9.72	14.69	41.30
Downside Deviation (10%)	4.44	6.59	8.83	11.02	13.75	16.28	20.65	22.80	20.48
Downside Deviation (5%)	4.26	6.07	7.89	9.16	11.04	12.43	13.71	12.10	8.75
Downside Deviation (0%)	4.21	5.95	7.67	8.72	10.41	11.54	12.15	9.80	6.59
Sortino Ratio (10%)	0.29	0.59	0.81	1.20	1.26	1.38	1.84	2.30	3.81
Sortino Ratio (5%)	0.38	0.80	1.15	1.88	2.12	2.47	3.70	5.78	11.48
Sortino Ratio (0%)	0.41	0.86	1.25	2.09	2.39	2.83	4.43	7.55	16.02

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	5	10.22	7/2014
Systematic Trader Index	Month	6	10.22	7/2014
Trend Following Strategy Index	Month	1	9.97	6/2013
Systematic Trader Index	Month	1	9.97	6/2013
IASG CTA Index	Month	3	9.97	6/2013
IASG CTA Index	Month	4	8.88	12/2012
Trend Following Strategy Index	Month	4	8.88	12/2012
Systematic Trader Index	Month	4	8.88	12/2012
Trend Following Strategy Index	Month	5	4.51	9/2012
Trend Following Strategy Index	Month	3	10.12	8/2012
Systematic Trader Index	Month	3	10.12	8/2012
IASG CTA Index	Month	8	10.12	8/2012
Trend Following Strategy Index	Month	8	8.52	2/2012
Systematic Trader Index	Month	9	8.52	2/2012
IASG CTA Index	Month	10	8.52	2/2012
Trend Following Strategy Index	Month	7	13.87	9/2010
Systematic Trader Index	Month	7	13.87	9/2010
Trend Following Strategy Index	Month	7	13.87	5/2010
Systematic Trader Index	Month	7	13.87	5/2010
IASG CTA Index	Month	8	13.87	5/2010
IASG CTA Index	Month	8	10.73	2/2010
Systematic Trader Index	Month	5	10.73	2/2010
Trend Following Strategy Index	Month	4	10.73	2/2010
Trend Following Strategy Index	Month	4	4.90	1/2010
Systematic Trader Index	Month	9	4.90	1/2010
IASG CTA Index	5 Year Rolling	10	169.82	2004 - 2009
Systematic Trader Index	Month	7	17.04	5/2009
Trend Following Strategy Index	Month	7	17.04	5/2009
IASG CTA Index	Month	6	10.05	4/2009
Systematic Trader Index	Month	4	10.05	4/2009
Trend Following Strategy Index	Month	1	10.05	4/2009
IASG CTA Index	5 Year Rolling	4	289.25	2003 - 2008
Trend Following Strategy Index	Month	7	9.24	12/2008
Systematic Trader Index	Month	10	9.24	12/2008
IASG CTA Index	3 Year Rolling	10	148.57	2005 - 2008
IASG CTA Index	Month	5	20.61	8/2008
Systematic Trader Index	Month	3	20.61	8/2008
Trend Following Strategy Index	Month	3	20.61	8/2008
IASG CTA Index	3 Year Rolling	7	109.55	2004 - 2007
Trend Following Strategy Index	Month	7	8.44	12/2007
Systematic Trader Index	Month	8	8.44	12/2007
IASG CTA Index	Month	7	11.98	11/2007
Systematic Trader Index	Month	6	11.98	11/2007
Trend Following Strategy Index	Month	4	11.98	11/2007
Trend Following Strategy Index	Month	3	8.51	8/2007
Systematic Trader Index	Month	7	8.51	8/2007
IASG CTA Index	Month	10	8.51	8/2007
IASG CTA Index	Month	7	10.17	7/2007
Trend Following Strategy Index	Month	6	10.17	7/2007
Systematic Trader Index	Month	6	10.17	7/2007
Systematic Trader Index	Month	4	11.42	6/2007
IASG CTA Index	Month	5	11.42	6/2007
Trend Following Strategy Index	Month	2	11.42	6/2007
IASG CTA Index	3 Year Rolling	5	97.61	2003 - 2006
Systematic Trader Index	Month	1	20.27	9/2006
Trend Following Strategy Index	Month	1	20.27	9/2006
IASG CTA Index	Month	1	20.27	9/2006
Trend Following Strategy Index	Month	2	13.55	8/2005
IASG CTA Index	Month	4	13.55	8/2005
Systematic Trader Index	Month	4	13.55	8/2005
IASG CTA Index	Month	7	11.63	5/2005
Trend Following Strategy Index	Month	7	11.63	5/2005
Systematic Trader Index	Month	7	11.63	5/2005
Trend Following Strategy Index	Month	7	2.11	4/2005
Trend Following Strategy Index	Month	5	6.17	3/2005
IASG CTA Index	Month	7	6.17	3/2005
Systematic Trader Index	Month	5	6.17	3/2005
Systematic Trader Index	Month	1	35.56	7/2004
Trend Following Strategy Index	Month	1	35.56	7/2004
IASG CTA Index	Month	1	35.56	7/2004
Trend Following Strategy Index	Month	10	3.80	5/2004
Trend Following Strategy Index	Month	1	25.77	3/2004
IASG CTA Index	Month	1	25.77	3/2004
Systematic Trader Index	Month	1	25.77	3/2004
Trend Following Strategy Index	Month	9	3.95	1/2004
Trend Following Strategy Index	Month	9	12.36	12/2003
Systematic Trader Index	Month	9	12.36	12/2003
IASG CTA Index	Sharpe	4	2.24	2002 - 2003
Systematic Trader Index	Month	4	7.62	9/2003
Trend Following Strategy Index	Month	5	7.62	9/2003
IASG CTA Index	Month	9	7.62	9/2003
Systematic Trader Index	Month	8	4.29	8/2003
Trend Following Strategy Index	Month	6	4.29	8/2003
Systematic Trader Index	Month	1	24.24	7/2003
IASG CTA Index	Month	2	24.24	7/2003
Trend Following Strategy Index	Month	1	24.24	7/2003
Systematic Trader Index	Month	3	30.05	5/2003
Trend Following Strategy Index	Month	3	30.05	5/2003
IASG CTA Index	Month	3	30.05	5/2003
Trend Following Strategy Index	Month	5	0.00	3/2003

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

^#5

Top Performer

TREND FOLLOWING STRATEGY INDEX

JULY
2014

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Heyden & Steindl GmbH : TOMAC2

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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