ITB Capital Advisors LLC : ITB Time Value Trading Program

Year-to-Date: N / A
Nov Performance: 2.19%

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

Annualized Vol: 21.67%
Sharpe (RFR=1%): 0.54
CAROR: 10.76%

Assets: $ 3.8M
Worst DD: -40.49
S&P Correlation: 0.19

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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	Nov	Qtr	2019	1yr	3yr	5yr	10yr	Since 1/2009
ITB Time Value Trading Program	2.19	0.80	-	-11.46	0.32	-14.22	175.59	175.59
S&P 500	1.79	-4.87	-	6.78	31.33	51.31	204.81	200.42
+/- S&P 500	0.40	5.67	-	-18.25	-31.01	-65.53	-29.23	-24.84

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 5,000k
Trading Level Incremental Increase: $ 100k
CTA Max Funding Factor: 1.50
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $0
Available to US Investors: Yes

Subscriptions

High Water Mark: Yes
Subscription Frequency: 15-30 Days
Redemption Frequency: 15-30 Days
Investor Requirements: Accredited Investors
Lock-up Period: 0

Trading

Trading Frequency: 1200 RT/YR/$M
Avg. Margin-to-Equity: 0%
Targeted Worst DD: -20.00%
Worst Peak-to-Trough: 49.64%
Sector Focus: Stock Index Traders

Holding Periods

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

Summary

The stated returns for the period from November 2011 through March 2012, including the compounded annual returns for 2011 and 2012, do not reflect losses arising from the sale to a third party of its MF Global, Inc. commodities customer claim. The rates of return, have been calculated on the basis of only those assets available for trading during the impacted periods.

ITB Capital Advisors is an alternative investment management firm specializing in managed futures, utilizing various options strategies. We are registered with both the Commodity Futures Trading Comission (CFTC), as well as the National Futures Assoc. (NFA).

Investment Strategy

The investment programs employed in our ITB Time Value Trading Program Composite are discretionary, and revolve around various options strategies, both long and short, based on the implied volatility of the S&P 500, and the perceived movement over the life of the selected options. The options we trade are on S&P 500 futures contracts, with the great majority bought or sold on the current front month. The objective is to generate income,combined with opportunistic long investments for hedging purposes and incremental returns.

Risk Management

Proactive monitoring and management of all investment positions in relaiton to risk is a vital function within our firm. Our strategies incorporate various hedging models to protect against downside risk, including extreme events.

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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:
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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
-40.49	3	5	6/1/2011	9/1/2011
-37.46	6	-	7/1/2015	1/1/2016
-13.35	1	7	9/1/2014	10/1/2014
-12.66	1	6	6/1/2009	7/1/2009
-12.60	3	5	2/1/2013	5/1/2013
-10.61	2	3	3/1/2010	5/1/2010
-4.84	2	2	2/1/2014	4/1/2014
-3.96	1	1	2/1/2009	3/1/2009
-2.79	1	1	6/1/2014	7/1/2014
-0.99	1	1	3/1/2011	4/1/2011
-0.61	1	1	6/1/2012	7/1/2012
-0.25	1	1	8/1/2010	9/1/2010

Consecutive Gains

Run-up	Length (Mos.)	Start	End
100.74	9	10/1/2011	6/1/2012
29.52	9	6/1/2013	2/1/2014
28.02	5	11/1/2009	3/1/2010
27.98	6	10/1/2010	3/1/2011
20.48	7	8/1/2012	2/1/2013
19.10	7	1/1/2015	7/1/2015
15.93	3	6/1/2010	8/1/2010
15.44	3	4/1/2009	6/1/2009
15.10	2	1/1/2009	2/1/2009
10.93	2	8/1/2014	9/1/2014
10.43	7	5/1/2016	11/1/2016
10.02	2	5/1/2014	6/1/2014
9.57	7	3/1/2017	9/1/2017
8.79	1	11/1/2014	11/1/2014
7.79	2	5/1/2011	6/1/2011
7.18	7	3/1/2018	9/1/2018
4.89	2	2/1/2016	3/1/2016
4.18	1	8/1/2009	8/1/2009
2.19	1	11/1/2018	11/1/2018
1.05	1	11/1/2015	11/1/2015
0.95	1	1/1/2017	1/1/2017
0.63	1	12/1/2017	12/1/2017
0.05	1	9/1/2015	9/1/2015

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-40.49	3	7/1/2011	9/1/2011
-25.58	1	8/1/2015	8/1/2015
-18.05	2	1/1/2018	2/1/2018
-13.35	1	10/1/2014	10/1/2014
-13.13	2	12/1/2015	1/1/2016
-12.66	1	7/1/2009	7/1/2009
-12.60	3	3/1/2013	5/1/2013
-10.61	2	4/1/2010	5/1/2010
-5.61	1	12/1/2014	12/1/2014
-4.84	2	3/1/2014	4/1/2014
-4.32	1	10/1/2015	10/1/2015
-3.96	1	3/1/2009	3/1/2009
-2.79	1	7/1/2014	7/1/2014
-2.57	2	9/1/2009	10/1/2009
-1.71	1	12/1/2016	12/1/2016
-1.36	1	10/1/2018	10/1/2018
-0.99	1	4/1/2011	4/1/2011
-0.61	1	7/1/2012	7/1/2012
-0.55	2	10/1/2017	11/1/2017
-0.25	1	9/1/2010	9/1/2010
-0.20	1	2/1/2017	2/1/2017
-0.11	1	4/1/2016	4/1/2016

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	119.00	117.00	114.00	108.00	102.00	96.00	84.00	72.00	60.00
Percent Profitable	73.11	72.65	70.18	74.07	67.65	69.79	60.71	79.17	86.67
Average Period Return	1.07	3.30	6.32	12.85	20.13	27.65	45.92	65.15	85.00
Average Gain	3.55	8.84	14.69	23.24	36.89	46.07	83.94	86.28	99.27
Average Loss	-5.70	-11.42	-13.38	-16.82	-14.90	-14.90	-12.83	-15.13	-7.75
Best Period	20.74	48.72	75.67	111.36	138.74	139.84	207.24	179.45	224.44
Worst Period	-30.22	-40.49	-37.46	-31.35	-30.48	-25.43	-32.19	-26.87	-12.78
Standard Deviation	6.25	12.83	18.54	25.98	32.00	38.24	58.05	68.35	77.82
Gain Standard Deviation	3.25	8.49	14.31	21.63	24.56	30.55	42.32	61.00	73.79
Loss Standard Deviation	7.42	10.61	10.78	8.62	8.88	8.55	8.93	9.31	4.15
Sharpe Ratio (1%)	0.16	0.24	0.31	0.46	0.58	0.67	0.74	0.89	1.03
Average Gain / Average Loss	0.62	0.77	1.10	1.38	2.48	3.09	6.54	5.70	12.80
Profit / Loss Ratio	1.70	2.06	2.58	3.95	5.18	7.14	10.11	21.66	83.22
Downside Deviation (10%)	4.94	8.58	10.43	11.94	13.74	14.75	19.00	18.49	14.41
Downside Deviation (5%)	4.83	8.19	9.55	10.04	10.57	10.38	11.37	9.69	4.91
Downside Deviation (0%)	4.80	8.09	9.33	9.59	9.83	9.40	9.75	8.04	3.17
Sortino Ratio (10%)	0.13	0.24	0.37	0.66	0.91	1.18	1.59	2.36	3.98
Sortino Ratio (5%)	0.20	0.37	0.61	1.18	1.76	2.47	3.77	6.30	16.27
Sortino Ratio (0%)	0.22	0.41	0.68	1.34	2.05	2.94	4.71	8.11	26.85

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Option Strategy Index	Month	7	0.00	12/2018
Option Strategy Index	Month	10	0.00	10/2018
Stock Index Trader Index	Month	9	1.26	9/2018
Option Strategy Index	Month	5	1.26	9/2018
Option Strategy Index	Month	6	1.15	9/2016
Stock Index Trader Index	Month	9	1.32	8/2016
Option Strategy Index	Month	8	1.32	8/2016
Stock Index Trader Index	Month	7	1.50	7/2016
Option Strategy Index	Month	3	1.50	7/2016
Option Strategy Index	Month	5	1.54	6/2016
Stock Index Trader Index	Month	10	1.54	6/2016
Option Strategy Index	Month	9	1.67	5/2016
Option Strategy Index	Month	7	1.19	3/2016
Stock Index Trader Index	Month	6	1.19	3/2016
Stock Index Trader Index	Month	3	3.66	2/2016
Option Strategy Index	Month	2	3.66	2/2016
Discretionary Trader Index	Month	8	3.66	2/2016
Option Strategy Index	Month	8	1.05	11/2015
Stock Index Trader Index	Month	9	2.41	6/2015
Option Strategy Index	Month	6	2.41	6/2015
Stock Index Trader Index	Month	7	3.12	5/2015
Option Strategy Index	Month	4	3.12	5/2015
Discretionary Trader Index	Month	10	3.12	5/2015
Option Strategy Index	Month	5	2.16	4/2015
Stock Index Trader Index	Month	7	2.16	4/2015
Option Strategy Index	Month	10	1.94	3/2015
Option Strategy Index	Month	7	4.00	2/2015
Stock Index Trader Index	Month	7	2.60	1/2015
Option Strategy Index	Month	5	2.60	1/2015
IASG CTA Index	3 Year Rolling	6	84.74	2011 - 2014
IASG CTA Index	5 Year Rolling	6	162.58	2009 - 2014
Stock Index Trader Index	Month	2	8.79	11/2014
Discretionary Trader Index	Month	1	8.79	11/2014
Option Strategy Index	Month	2	8.79	11/2014
Stock Index Trader Index	Month	3	5.32	9/2014
Option Strategy Index	Month	1	5.32	9/2014
Stock Index Trader Index	Month	3	5.33	8/2014
Option Strategy Index	Month	3	5.33	8/2014
Discretionary Trader Index	Month	7	5.33	8/2014
Discretionary Trader Index	Month	5	5.58	6/2014
Stock Index Trader Index	Month	3	5.58	6/2014
Option Strategy Index	Month	2	5.58	6/2014
Stock Index Trader Index	Month	4	4.21	5/2014
Option Strategy Index	Month	5	4.21	5/2014
Option Strategy Index	Month	6	2.15	2/2014
Option Strategy Index	Month	7	3.13	12/2013
Stock Index Trader Index	Month	9	3.13	12/2013
IASG CTA Index	3 Year Rolling	10	90.59	2010 - 2013
Discretionary Trader Index	Month	9	4.63	11/2013
Option Strategy Index	Month	5	4.63	11/2013
Stock Index Trader Index	Month	3	4.63	11/2013
Option Strategy Index	Month	10	2.03	10/2013
Stock Index Trader Index	Month	10	2.40	9/2013
Option Strategy Index	Month	9	2.40	9/2013
Stock Index Trader Index	Month	3	5.03	8/2013
Option Strategy Index	Month	2	5.03	8/2013
Discretionary Trader Index	Month	5	5.03	8/2013
Stock Index Trader Index	Month	7	4.06	7/2013
Option Strategy Index	Month	2	4.06	7/2013
Option Strategy Index	Month	9	2.01	6/2013
Discretionary Trader Index	Month	10	3.75	2/2013
Option Strategy Index	Month	2	3.75	2/2013
Stock Index Trader Index	Month	4	3.75	2/2013
Option Strategy Index	Month	10	0.88	1/2013
IASG CTA Index	3 Year Rolling	9	120.60	2009 - 2012
Option Strategy Index	Month	2	2.51	12/2012
IASG CTA Index	Year Rolling	6	55.21	2011 - 2012
Stock Index Trader Index	Month	4	2.51	12/2012
Discretionary Trader Index	Month	6	2.51	12/2012
Stock Index Trader Index	Month	10	1.80	11/2012
Option Strategy Index	Month	5	4.13	10/2012
Stock Index Trader Index	Month	4	4.13	10/2012
Option Strategy Index	Month	6	5.62	8/2012
Stock Index Trader Index	Month	5	5.62	8/2012
Option Strategy Index	Month	2	4.37	6/2012
Stock Index Trader Index	Month	8	4.37	6/2012
Stock Index Trader Index	Month	2	6.15	5/2012
Option Strategy Index	Month	2	6.15	5/2012
Discretionary Trader Index	Month	6	6.15	5/2012
Stock Index Trader Index	Month	9	3.14	4/2012
Option Strategy Index	Month	10	3.14	4/2012
Stock Index Trader Index	Month	8	3.49	3/2012
Option Strategy Index	Month	5	3.49	3/2012
Stock Index Trader Index	Month	4	4.77	2/2012
Option Strategy Index	Month	3	4.77	2/2012
Discretionary Trader Index	Month	8	4.77	2/2012
Option Strategy Index	Month	2	9.49	1/2012
Stock Index Trader Index	Month	1	9.49	1/2012
Discretionary Trader Index	Month	5	9.49	1/2012
Stock Index Trader Index	Month	1	12.50	12/2011
Discretionary Trader Index	Month	1	12.50	12/2011
Option Strategy Index	Month	1	12.50	12/2011
IASG CTA Index	Month	2	12.50	12/2011
IASG CTA Index	Month	2	20.74	11/2011
Discretionary Trader Index	Month	2	20.74	11/2011
Option Strategy Index	Month	1	20.74	11/2011
Stock Index Trader Index	Month	1	20.74	11/2011
Stock Index Trader Index	Month	3	8.94	10/2011
Option Strategy Index	Month	3	8.94	10/2011
Discretionary Trader Index	Month	6	8.94	10/2011

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

^#7

Top Performer

OPTION STRATEGY INDEX

DECEMBER
2018

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ITB Capital Advisors LLC : ITB Time Value Trading 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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