John Locke Investments : JL Commodity Long Flat Program

Year-to-Date: N / A
Dec Performance: -0.36%

Min Investment: € 5,000k
Mgmt. Fee: 1.20%
Perf. Fee: 20.00%

Annualized Vol: 9.93%
Sharpe (RFR=1%): -0.25
CAROR: -1.91%

Assets: € 1.2M
Worst DD: -42.50
S&P Correlation: 0.31

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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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 12/2007
JL Commodity Long Flat Program	-0.36	1.65	-	-8.91	-22.67	-30.29	-18.91	-17.69
S&P 500	3.43	5.21	-	18.21	28.55	85.57	80.21	80.21
+/- S&P 500	-3.79	-3.56	-	-27.12	-51.21	-115.86	-99.12	-97.90

Strategy Description

Summary

Account & Fees

Type: Fund
Minimum Investment: € 5,000k
Trading Level Incremental Increase: € 0k
CTA Max Funding Factor
Management Fee: 1.20%
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: 200 RT/YR/$M
Avg. Margin-to-Equity: 6%
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%

Summary

The Fund seeks to take advantage of upward moves in global commodity markets via its trend following investment approach. Where upward price pressure is in evidence in commodity markets then a long position will be entered into by the Fund. Conversely, where downward price pressure is prevalent then the Fund will seek to achieve a flat or cash position. Fixed allocations are made to the metal, energy, grain and soft commodity sectors. This exposure is dynamically rebalanced to ensure the underlying contracts within the Fund maintain their appropriate weighting. On a yearly basis, sector allocations are reviewed and may be adjusted at the discretion of the investment manager.

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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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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
-42.50	77	-	4/1/2011	9/1/2017
-13.78	8	20	6/1/2008	2/1/2009
-6.88	1	3	2/1/2008	3/1/2008
-1.69	1	1	10/1/2010	11/1/2010

Consecutive Gains

Run-up	Length (Mos.)	Start	End
17.73	5	12/1/2010	4/1/2011
14.15	3	12/1/2007	2/1/2008
11.82	3	4/1/2008	6/1/2008
11.78	2	9/1/2010	10/1/2010
10.52	3	3/1/2009	5/1/2009
8.51	4	3/1/2016	6/1/2016
7.01	4	6/1/2012	9/1/2012
6.05	3	2/1/2014	4/1/2014
5.42	3	10/1/2009	12/1/2009
2.68	2	6/1/2010	7/1/2010
2.61	1	4/1/2015	4/1/2015
2.44	2	1/1/2012	2/1/2012
2.43	1	12/1/2016	12/1/2016
2.02	2	10/1/2017	11/1/2017
1.99	1	1/1/2013	1/1/2013
1.91	2	7/1/2013	8/1/2013
1.74	2	10/1/2011	11/1/2011
1.66	1	3/1/2010	3/1/2010
1.02	1	7/1/2009	7/1/2009
0.79	1	7/1/2017	7/1/2017
0.65	1	3/1/2013	3/1/2013
0.65	1	12/1/2013	12/1/2013
0.59	1	6/1/2014	6/1/2014
0.33	1	7/1/2011	7/1/2011
0.11	1	8/1/2015	8/1/2015

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-13.78	8	7/1/2008	2/1/2009
-10.93	9	7/1/2014	3/1/2015
-9.65	6	1/1/2017	6/1/2017
-9.27	6	9/1/2015	2/1/2016
-7.48	5	7/1/2016	11/1/2016
-7.35	3	5/1/2015	7/1/2015
-6.88	1	3/1/2008	3/1/2008
-6.86	2	8/1/2011	9/1/2011
-6.48	3	3/1/2012	5/1/2012
-6.12	3	10/1/2012	12/1/2012
-6.02	2	5/1/2011	6/1/2011
-5.71	2	1/1/2010	2/1/2010
-5.31	2	4/1/2010	5/1/2010
-5.06	3	4/1/2013	6/1/2013
-4.15	3	9/1/2013	11/1/2013
-2.61	1	5/1/2014	5/1/2014
-2.50	1	12/1/2011	12/1/2011
-2.44	1	2/1/2013	2/1/2013
-1.69	1	11/1/2010	11/1/2010
-1.60	2	8/1/2017	9/1/2017
-1.53	2	8/1/2009	9/1/2009
-1.31	1	8/1/2010	8/1/2010
-0.37	1	6/1/2009	6/1/2009
-0.36	1	12/1/2017	12/1/2017
-0.36	1	1/1/2014	1/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	121.00	119.00	116.00	110.00	104.00	98.00	86.00	74.00	62.00
Percent Profitable	42.15	31.09	36.21	28.18	29.81	30.61	38.37	35.14	30.65
Average Period Return	-0.12	-0.40	-1.03	-2.42	-3.24	-4.33	-6.23	-9.84	-13.01
Average Gain	2.24	5.77	6.76	9.93	11.65	14.56	13.86	10.19	7.13
Average Loss	-1.84	-3.18	-5.45	-7.26	-9.56	-12.66	-18.75	-20.70	-21.90
Best Period	11.79	16.38	27.90	25.87	24.33	35.89	32.05	25.84	19.63
Worst Period	-6.88	-8.14	-11.37	-16.78	-21.91	-23.89	-28.55	-30.08	-36.88
Standard Deviation	2.87	5.07	7.52	9.63	11.14	14.25	17.52	17.16	17.14
Gain Standard Deviation	2.59	4.41	7.04	8.33	6.68	9.03	8.92	6.68	6.44
Loss Standard Deviation	1.52	1.91	2.57	4.30	4.79	5.35	6.08	9.54	12.01
Sharpe Ratio (1%)	-0.07	-0.13	-0.20	-0.35	-0.43	-0.44	-0.53	-0.81	-1.06
Average Gain / Average Loss	1.22	1.81	1.24	1.37	1.22	1.15	0.74	0.49	0.33
Profit / Loss Ratio	0.89	0.82	0.70	0.54	0.52	0.51	0.46	0.27	0.14
Downside Deviation (10%)	2.06	3.99	6.67	11.04	14.97	19.62	27.84	35.72	44.05
Downside Deviation (5%)	1.86	3.25	5.17	7.88	10.09	13.00	17.74	21.35	24.60
Downside Deviation (0%)	1.81	3.07	4.80	7.14	8.95	11.44	15.46	18.32	20.75
Sortino Ratio (10%)	-0.26	-0.41	-0.52	-0.67	-0.72	-0.74	-0.79	-0.88	-0.92
Sortino Ratio (5%)	-0.11	-0.20	-0.29	-0.43	-0.47	-0.49	-0.52	-0.65	-0.74
Sortino Ratio (0%)	-0.07	-0.13	-0.21	-0.34	-0.36	-0.38	-0.40	-0.54	-0.63

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	6	2.61	4/2015
Trend Following Strategy Index	Month	10	1.83	4/2008

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

^#6

Top Performer

TREND FOLLOWING STRATEGY INDEX

APRIL
2015

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John Locke Investments : JL Commodity Long Flat 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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