John Locke Investments : Cyril Systematic Program

Year-to-Date: N / A
Feb Performance: 5.94%

Min Investment: $ 8,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 14.91%
Sharpe (RFR=0.50%): 0.50
CAROR: 7.07%

Assets: $ 104.8M
Worst DD: -21.03
S&P Correlation: -0.15

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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	Feb	Qtr	YTD	1yr	3yr	5yr	10yr	Since 7/2000
Cyril Systematic Program	5.94	9.38	-	-6.09	26.79	9.92	63.12	191.43
S&P 500	-0.41	-7.12	-	-8.19	27.57	45.56	50.85	35.02
+/- S&P 500	6.35	16.50	-	2.09	-0.78	-35.64	12.27	156.41

Strategy Description

Summary

Account & Fees

Type: Fund
Minimum Investment: $ 8,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $0
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: 1350 RT/YR/$M
Avg. Margin-to-Equity: 11%
Targeted Worst DD: -8.00%
Worst Peak-to-Trough: 0%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 25.00%
1-3 Months: 50.00%
1-30 Days: 0%
Intraday: 25.00%

Summary

The Fund adopts a systematic approach to investing in global futures markets. Multiple trend detection techniques are employed, over multiple time horizons to a diverse basket of futures markets. Risk is equalised across all contracts through the use of real time volatility measures. A dynamic risk management tool also analyzes risk factors such as rising correlations and reversal risk at the portfolio level. The average holding period of the Fund is approximately three weeks. The Fund provides for daily liquidity.

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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=0.50%)
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=0.50%)
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
-21.03	7	-	3/1/2015	10/1/2015
-20.62	24	14	9/1/2011	9/1/2013
-14.94	4	5	10/1/2001	2/1/2002
-14.52	12	6	5/1/2006	5/1/2007
-13.36	4	20	12/1/2008	4/1/2009
-13.05	8	10	5/1/2004	1/1/2005
-10.14	6	3	12/1/2010	6/1/2011
-9.73	2	3	2/1/2003	4/1/2003
-8.12	4	3	3/1/2001	7/1/2001
-7.70	2	1	9/1/2002	11/1/2002
-7.56	4	2	1/1/0001	10/1/2000
-6.73	1	3	10/1/2003	11/1/2003
-6.62	2	1	5/1/2008	7/1/2008
-4.47	2	1	1/1/2006	3/1/2006
-2.74	1	1	7/1/2003	8/1/2003
-0.54	1	1	1/1/2015	2/1/2015
-0.51	1	1	8/1/2008	9/1/2008
-0.45	1	1	7/1/2002	8/1/2002
-0.25	1	1	3/1/2008	4/1/2008
-0.15	1	1	1/1/2001	2/1/2001

Consecutive Gains

Run-up	Length (Mos.)	Start	End
39.78	9	5/1/2014	1/1/2015
27.70	7	9/1/2007	3/1/2008
23.10	3	11/1/2000	1/1/2001
18.93	2	4/1/2006	5/1/2006
18.81	6	12/1/2003	5/1/2004
15.55	2	6/1/2002	7/1/2002
15.07	3	12/1/2002	2/1/2003
13.98	4	10/1/2005	1/1/2006
12.38	2	1/1/2016	2/1/2016
12.00	3	8/1/2001	10/1/2001
11.46	3	7/1/2011	9/1/2011
10.88	2	9/1/2003	10/1/2003
9.74	1	5/1/2003	5/1/2003
9.68	3	8/1/2010	10/1/2010
8.89	1	5/1/2009	5/1/2009
8.82	3	10/1/2008	12/1/2008
7.91	1	11/1/2015	11/1/2015
7.30	1	8/1/2008	8/1/2008
7.29	3	10/1/2013	12/1/2013
6.90	1	2/1/2005	2/1/2005
6.84	1	8/1/2005	8/1/2005
6.45	1	7/1/2012	7/1/2012
6.41	2	6/1/2007	7/1/2007
6.10	2	5/1/2005	6/1/2005
6.10	1	3/1/2001	3/1/2001
5.90	1	3/1/2002	3/1/2002
5.88	2	4/1/2012	5/1/2012
5.39	2	3/1/2013	4/1/2013
5.39	1	12/1/2010	12/1/2010
5.12	2	7/1/2004	8/1/2004
4.98	1	7/1/2003	7/1/2003
4.72	2	10/1/2004	11/1/2004
4.50	1	2/1/2014	2/1/2014
3.95	1	11/1/2009	11/1/2009
3.57	1	4/1/2011	4/1/2011
3.49	1	9/1/2002	9/1/2002
3.23	1	7/1/2015	7/1/2015
2.72	1	5/1/2001	5/1/2001
2.44	1	5/1/2008	5/1/2008
2.14	1	11/1/2006	11/1/2006
1.91	2	8/1/2006	9/1/2006
1.83	2	5/1/2010	6/1/2010
1.77	1	2/1/2011	2/1/2011
1.64	1	8/1/2000	8/1/2000
1.63	1	12/1/2012	12/1/2012
1.45	1	2/1/2012	2/1/2012
1.23	1	1/1/2007	1/1/2007
1.08	3	7/1/2009	9/1/2009
0.92	1	4/1/2007	4/1/2007
0.75	1	3/1/2015	3/1/2015
0.62	1	3/1/2010	3/1/2010
0.03	1	12/1/2011	12/1/2011

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-16.20	3	4/1/2015	6/1/2015
-14.94	4	11/1/2001	2/1/2002
-13.36	4	1/1/2009	4/1/2009
-12.29	2	12/1/2004	1/1/2005
-11.20	5	5/1/2013	9/1/2013
-10.62	2	6/1/2006	7/1/2006
-9.73	2	3/1/2003	4/1/2003
-9.64	4	8/1/2012	11/1/2012
-9.24	2	10/1/2011	11/1/2011
-8.71	3	8/1/2015	10/1/2015
-7.70	2	10/1/2002	11/1/2002
-7.43	2	5/1/2011	6/1/2011
-6.86	2	6/1/2001	7/1/2001
-6.73	1	11/1/2003	11/1/2003
-6.62	2	6/1/2008	7/1/2008
-6.36	1	6/1/2004	6/1/2004
-6.13	3	12/1/2009	2/1/2010
-5.88	2	3/1/2005	4/1/2005
-5.49	1	6/1/2012	6/1/2012
-5.39	1	12/1/2006	12/1/2006
-5.30	2	9/1/2000	10/1/2000
-4.59	2	3/1/2014	4/1/2014
-4.47	2	2/1/2006	3/1/2006
-4.35	1	3/1/2011	3/1/2011
-4.11	1	11/1/2010	11/1/2010
-3.97	1	4/1/2001	4/1/2001
-3.96	1	7/1/2000	7/1/2000
-3.83	1	9/1/2004	9/1/2004
-3.71	1	1/1/2011	1/1/2011
-3.35	2	4/1/2002	5/1/2002
-3.35	1	3/1/2012	3/1/2012
-3.00	1	1/1/2014	1/1/2014
-2.98	1	10/1/2009	10/1/2009
-2.94	2	2/1/2007	3/1/2007
-2.74	1	8/1/2003	8/1/2003
-2.67	1	12/1/2015	12/1/2015
-2.01	1	5/1/2007	5/1/2007
-1.93	1	6/1/2003	6/1/2003
-1.74	2	1/1/2013	2/1/2013
-1.35	1	7/1/2010	7/1/2010
-1.10	1	9/1/2005	9/1/2005
-0.88	1	1/1/2012	1/1/2012
-0.78	1	7/1/2005	7/1/2005
-0.55	1	4/1/2010	4/1/2010
-0.54	1	2/1/2015	2/1/2015
-0.51	1	9/1/2008	9/1/2008
-0.45	1	8/1/2002	8/1/2002
-0.27	1	6/1/2009	6/1/2009
-0.25	1	4/1/2008	4/1/2008
-0.15	1	2/1/2001	2/1/2001
-0.10	1	8/1/2007	8/1/2007
-0.05	1	10/1/2006	10/1/2006

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	188.00	186.00	183.00	177.00	171.00	165.00	153.00	141.00	129.00
Percent Profitable	54.26	57.53	61.75	63.84	74.27	77.58	77.12	78.72	82.95
Average Period Return	0.66	1.91	3.84	7.46	11.24	14.78	22.18	30.08	39.79
Average Gain	3.74	6.50	9.67	14.91	17.15	21.02	31.09	40.28	49.67
Average Loss	-2.99	-4.30	-5.56	-5.68	-5.82	-6.80	-7.87	-7.64	-8.25
Best Period	16.63	23.10	33.97	41.27	47.61	54.08	66.86	94.18	96.94
Worst Period	-9.87	-16.20	-16.85	-14.52	-14.35	-20.62	-18.15	-16.14	-16.56
Standard Deviation	4.30	6.96	9.83	13.35	14.50	15.83	21.65	27.06	30.98
Gain Standard Deviation	3.00	5.10	7.62	10.87	11.88	11.90	15.88	20.81	24.01
Loss Standard Deviation	2.28	3.39	3.93	3.63	4.00	5.00	4.72	4.68	4.96
Sharpe Ratio (1%)	0.13	0.24	0.34	0.48	0.67	0.81	0.88	0.96	1.12
Average Gain / Average Loss	1.25	1.51	1.74	2.63	2.94	3.09	3.95	5.27	6.02
Profit / Loss Ratio	1.48	2.05	2.81	4.64	8.50	10.69	13.32	19.52	29.27
Downside Deviation (10%)	2.76	4.23	5.54	6.86	7.36	8.82	12.00	14.60	16.53
Downside Deviation (5%)	2.58	3.69	4.46	4.56	4.23	4.79	5.68	5.82	5.89
Downside Deviation (0%)	2.54	3.56	4.20	4.04	3.57	3.98	4.37	4.11	3.95
Sortino Ratio (10%)	0.09	0.16	0.25	0.36	0.50	0.51	0.53	0.58	0.74
Sortino Ratio (5%)	0.22	0.45	0.75	1.42	2.30	2.66	3.37	4.47	5.89
Sortino Ratio (0%)	0.26	0.54	0.91	1.85	3.15	3.71	5.07	7.32	10.07

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	10	6.84	8/2005
Trend Following Strategy Index	Month	9	6.90	2/2005
Systematic Trader Index	Month	9	6.90	2/2005
Trend Following Strategy Index	Month	10	2.85	7/2004
Trend Following Strategy Index	Month	2	2.41	4/2004
Diversified Trader Index	Month	4	2.41	4/2004
Systematic Trader Index	Month	8	2.41	4/2004
Diversified Trader Index	Month	5	8.25	9/2003
Systematic Trader Index	Month	3	8.25	9/2003
Trend Following Strategy Index	Month	4	8.25	9/2003
IASG CTA Index	Month	7	8.25	9/2003
Trend Following Strategy Index	Month	5	4.98	7/2003
Systematic Trader Index	Month	5	4.98	7/2003
Diversified Trader Index	Month	6	4.98	7/2003
Trend Following Strategy Index	Month	9	3.02	1/2001
Trend Following Strategy Index	Month	10	0.00	7/2000

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

AUGUST
2005

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John Locke Investments : Cyril Systematic 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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