IDS Capital : IDS F&F Systematic Trading

Year-to-Date: 12.55%
Dec Performance: -1.22%

Min Investment: $ 50k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 9.65%
Sharpe (RFR=1%): 0.34
CAROR: 3.88%

Assets: $ 6.0M
Worst DD: -16.79
S&P Correlation: 0.20

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Growth of 1,000 - VAMI

Monthly Performance

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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 7/2013
IDS F&F Systematic Trading	-1.22	-4.20	12.55	12.55	8.33	1.83	-	28.11
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	-	89.71
+/- S&P 500	-4.08	-12.73	-16.32	-16.32	-34.51	-53.49	-	-61.60

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 50k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor
Management Fee: 1.00%
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: Accredited Investors
Lock-up Period: 0

Trading

Trading Frequency: 800 RT/YR/$M
Avg. Margin-to-Equity: 8%
Targeted Worst DD
Worst Peak-to-Trough: 0%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 15.00%
1-3 Months: 80.00%
1-30 Days: 5.00%
Intraday: 0%

Decision-Making

Discretionary: 1.00%
Systematic: 99.00%

Strategy

Counter-trend: 10.00%
Trend-following: 90.00%

Composition

Summary

A) The IDS F&F Systematic Strategy seeks to benefit from major market cycles through a unique short-medium term global tactical asset allocation strategy systematically applied to a diversified portfolio of over 100 of the most liquid futures markets globally, including stock indices, government bonds, foreign exchange, energy complex, metals and agriculture contracts traded on recognised & designated investment exchanges. This non-fundamental behavioural strategy aims to benefit from market trends over the short-medium term while reducing the stationary cost of trend-following: The Top/Down Global Tactical Asset Allocation proactively selects the high quality trends globally and allocates risk capital to benefit opportunistically through a cluster approach. B) Systematic Process: Driving asset selection, portfolio construction, risk management, trade entry & exit. C) Disciplined Risk Management: Fully integrated and systematically controlling market & sector exposures, portfolio risk and dynamic position exposure sizing. D) Multiple Sectors and Markets: Ensuring a highly diversified liquid portfolio and reducing portfolio volatility. E) Adaptive & Dynamic: Adapting to changing market environments to exploit trends and to manage risk of capital loss when diversification becomes less efficient. NOTE: Track record reflects a managed account with management and platform fees of 1.75% and performance fee of 20%.

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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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Index:

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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
-16.79	22	31	3/1/2015	1/1/2017
-5.96	4	-	8/1/2019	12/1/2019
-3.39	3	1	1/1/0001	9/1/2013
-2.30	1	2	11/1/2013	12/1/2013
-0.19	1	1	11/1/2014	12/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
16.23	6	3/1/2019	8/1/2019
13.83	8	4/1/2014	11/1/2014
11.09	2	10/1/2013	11/1/2013
7.89	3	1/1/2015	3/1/2015
7.59	1	1/1/2018	1/1/2018
6.68	2	4/1/2017	5/1/2017
5.61	2	1/1/2014	2/1/2014
5.42	1	2/1/2017	2/1/2017
4.34	2	6/1/2016	7/1/2016
4.24	3	11/1/2018	1/1/2019
3.81	1	8/1/2017	8/1/2017
3.01	1	7/1/2015	7/1/2015
2.30	1	11/1/2015	11/1/2015
1.37	1	1/1/2016	1/1/2016
1.03	1	10/1/2017	10/1/2017
1.00	1	8/1/2018	8/1/2018
0.94	1	5/1/2018	5/1/2018
0.81	1	4/1/2016	4/1/2016
0.75	1	12/1/2016	12/1/2016
0.75	1	5/1/2015	5/1/2015
0.37	1	11/1/2019	11/1/2019

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-9.34	4	8/1/2016	11/1/2016
-6.52	3	2/1/2018	4/1/2018
-6.03	2	6/1/2018	7/1/2018
-5.15	2	9/1/2019	10/1/2019
-4.49	1	1/1/2017	1/1/2017
-4.28	3	8/1/2015	10/1/2015
-4.17	1	4/1/2015	4/1/2015
-4.14	2	9/1/2018	10/1/2018
-3.39	3	7/1/2013	9/1/2013
-3.22	1	6/1/2015	6/1/2015
-2.84	2	2/1/2016	3/1/2016
-2.60	1	3/1/2017	3/1/2017
-2.53	2	6/1/2017	7/1/2017
-2.42	1	9/1/2017	9/1/2017
-2.30	1	12/1/2013	12/1/2013
-1.22	1	12/1/2019	12/1/2019
-1.19	1	5/1/2016	5/1/2016
-1.15	1	12/1/2015	12/1/2015
-0.79	1	2/1/2019	2/1/2019
-0.57	2	11/1/2017	12/1/2017
-0.19	1	12/1/2014	12/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	78.00	76.00	73.00	67.00	61.00	55.00	43.00	31.00
Percent Profitable	52.56	60.53	61.64	56.72	54.10	54.55	65.12	64.52
Average Period Return	0.36	1.16	2.51	4.19	4.14	4.01	3.45	5.73
Average Gain	2.36	4.27	6.91	11.43	11.64	12.28	9.25	12.31
Average Loss	-1.92	-3.61	-4.57	-5.29	-4.69	-5.90	-7.38	-6.24
Best Period	7.83	11.03	16.46	25.55	40.50	33.45	32.47	29.31
Worst Period	-5.95	-8.47	-12.76	-11.90	-13.55	-14.56	-11.75	-12.07
Standard Deviation	2.79	4.65	7.17	10.39	11.75	11.77	11.25	11.92
Gain Standard Deviation	2.04	2.80	4.98	7.85	11.09	9.50	9.61	9.32
Loss Standard Deviation	1.51	2.22	3.55	2.96	3.34	3.85	3.00	4.07
Sharpe Ratio (1%)	0.10	0.20	0.28	0.31	0.22	0.17	0.04	0.14
Average Gain / Average Loss	1.23	1.18	1.51	2.16	2.48	2.08	1.25	1.97
Profit / Loss Ratio	1.40	1.81	2.43	2.83	2.92	2.50	2.34	3.59
Downside Deviation (10%)	1.88	3.34	4.90	7.15	8.90	11.56	15.97	19.61
Downside Deviation (5%)	1.69	2.79	3.81	4.56	4.75	5.92	6.43	6.62
Downside Deviation (0%)	1.65	2.65	3.56	3.97	3.88	4.72	4.68	4.38
Sortino Ratio (10%)	-0.03	-0.02	0.01	-0.11	-0.39	-0.54	-0.77	-0.81
Sortino Ratio (5%)	0.16	0.33	0.53	0.70	0.56	0.34	0.07	0.25
Sortino Ratio (0%)	0.22	0.44	0.70	1.05	1.07	0.85	0.74	1.31

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	10	6.00	10/2013

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

^#10

Top Performer

TREND FOLLOWING STRATEGY INDEX

OCTOBER
2013

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More Programs by IDS Capital

Program Name	CAROR
IDS F&F Systematic Trading	3.88%

IASG Activity

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Portfolios 9
Watchlists 13

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IDS Capital : IDS F&F Systematic Trading

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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