Ion Asset Architecture : Ion Fund Program

Year-to-Date: N / A
Jun Performance: -0.06%

Min Investment: $ 10,000k
Mgmt. Fee: 0%
Perf. Fee: 30.00%

Annualized Vol: 5.93%
Sharpe (RFR=1%): 0.25
CAROR: 2.33%

Assets: $ 24.4M
Worst DD: -16.63
S&P Correlation: -0.37

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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 11/2007
Ion Fund Program	-0.06	-	-	-	-	0.00	-13.32	19.28
S&P 500	-2.10	-	-	-	-	100.13	73.15	107.15
+/- S&P 500	2.04	-	-	-	-	-100.13	-86.47	-87.88

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 10,000k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	0%
Performance Fee	30.00%
Average Commission	$0
Available to US Investors	No

Subscriptions

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

Trading

Trading Frequency	10000 RT/YR/$M
Avg. Margin-to-Equity	10%
Targeted Worst DD
Worst Peak-to-Trough	0%
Sector Focus	Diversified Traders

Holding Periods

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

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Composition

Summary

The Ion Fund Programme is a 100% systematic programme that operates in highly liquid and listed instruments. Its trading systems are designed to exploit price changes in the short and medium term. The system portfolio consists of trend-following, mean reversion and opportunistic trading strategies that have been extensively tested over at least ten years of market data. The programme objective is to provide returns on the order of 20% p.a. without showing correlation to any single market.

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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.

Compare to:

Index:

Monthly Annual

Reward
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Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
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Sharpe Ratio: (RF=1%)
Skewness:
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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
-16.63	39	-	9/1/2010	12/1/2013
-3.85	3	8	8/1/2009	11/1/2009
-3.47	1	1	4/1/2008	5/1/2008
-0.97	1	1	11/1/2008	12/1/2008
-0.36	1	2	3/1/2009	4/1/2009

Consecutive Gains

Run-up	Length (Mos.)	Start	End
20.39	6	6/1/2008	11/1/2008
11.20	6	11/1/2007	4/1/2008
6.27	6	4/1/2010	9/1/2010
5.85	4	5/1/2009	8/1/2009
3.10	1	1/1/2009	1/1/2009
2.65	2	12/1/2009	1/1/2010
2.04	2	7/1/2012	8/1/2012
1.99	1	10/1/2009	10/1/2009
1.78	1	10/1/2011	10/1/2011
1.69	1	2/1/2013	2/1/2013
0.80	1	6/1/2011	6/1/2011
0.72	2	1/1/2011	2/1/2011
0.57	2	3/1/2012	4/1/2012
0.50	1	11/1/2012	11/1/2012
0.26	1	6/1/2013	6/1/2013
0.25	2	2/1/2014	3/1/2014
0.24	1	3/1/2009	3/1/2009
0.05	2	12/1/2014	1/1/2015
0.04	1	4/1/2011	4/1/2011
0.02	1	9/1/2014	9/1/2014
0.02	1	3/1/2015	3/1/2015
0.01	1	4/1/2013	4/1/2013
0.01	1	5/1/2014	5/1/2014

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-7.43	4	11/1/2011	2/1/2012
-4.03	3	10/1/2010	12/1/2010
-3.89	7	7/1/2013	1/1/2014
-3.51	1	11/1/2009	11/1/2009
-3.47	1	5/1/2008	5/1/2008
-3.35	3	7/1/2011	9/1/2011
-2.38	2	2/1/2010	3/1/2010
-2.30	1	9/1/2009	9/1/2009
-1.79	2	9/1/2012	10/1/2012
-1.78	2	5/1/2012	6/1/2012
-1.43	1	3/1/2011	3/1/2011
-0.97	1	12/1/2008	12/1/2008
-0.96	2	12/1/2012	1/1/2013
-0.64	1	5/1/2011	5/1/2011
-0.48	1	5/1/2013	5/1/2013
-0.36	1	4/1/2009	4/1/2009
-0.20	1	3/1/2013	3/1/2013
-0.11	3	4/1/2015	6/1/2015
-0.06	3	6/1/2014	8/1/2014
-0.01	1	4/1/2014	4/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	92.00	90.00	87.00	81.00	75.00	69.00	57.00	45.00	33.00
Percent Profitable	51.09	47.78	51.72	54.32	38.67	28.99	24.56	26.67	33.33
Average Period Return	0.21	0.59	1.02	1.62	1.26	0.34	-1.70	-4.16	-2.76
Average Gain	1.24	2.81	4.32	6.97	11.92	17.48	21.61	15.00	12.91
Average Loss	-1.10	-1.48	-2.51	-4.74	-5.46	-6.65	-9.29	-11.13	-10.59
Best Period	8.34	9.75	20.39	26.79	32.67	39.00	39.11	34.13	22.91
Worst Period	-3.86	-6.18	-7.41	-10.07	-12.63	-13.16	-16.62	-16.45	-14.48
Standard Deviation	1.71	3.11	5.16	9.08	11.43	12.93	14.83	13.06	12.30
Gain Standard Deviation	1.53	2.85	4.95	9.08	11.58	11.48	11.15	9.68	7.40
Loss Standard Deviation	1.16	1.59	2.22	2.88	3.49	3.54	3.84	3.83	3.37
Sharpe Ratio (1%)	0.07	0.11	0.10	0.07	-0.02	-0.13	-0.32	-0.63	-0.64
Average Gain / Average Loss	1.13	1.90	1.72	1.47	2.18	2.63	2.33	1.35	1.22
Profit / Loss Ratio	1.48	1.78	1.85	1.75	1.38	1.07	0.76	0.49	0.61
Downside Deviation (10%)	1.20	2.29	3.92	7.27	10.87	14.67	22.13	28.70	32.71
Downside Deviation (5%)	1.03	1.67	2.59	4.35	6.10	7.87	11.20	13.41	13.13
Downside Deviation (0%)	0.99	1.54	2.32	3.74	5.06	6.33	8.71	10.07	9.06
Sortino Ratio (10%)	-0.17	-0.28	-0.37	-0.46	-0.58	-0.68	-0.79	-0.90	-0.93
Sortino Ratio (5%)	0.12	0.20	0.20	0.14	-0.04	-0.21	-0.42	-0.61	-0.60
Sortino Ratio (0%)	0.21	0.38	0.44	0.43	0.25	0.05	-0.19	-0.41	-0.30

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Systematic Trader Index	Month	10	3.14	6/2009
IASG CTA Index	Sharpe	3	5.96	2007

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

SYSTEMATIC TRADER INDEX

JUNE
2009

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IASG Activity

Blends 12
Portfolios 13
Watchlists 21

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Ion Asset Architecture : Ion Fund Program

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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Ion Asset Architecture : Ion Fund Program

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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