Lafayette Trading, LLC : U.S. Equity Index Program

Year-to-Date: N / A
Jul Performance: -0.75%

Min Investment: $ 250k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 12.31%
Sharpe (RFR=1%): 0.87
CAROR: 11.47%

Assets: $ 400k
Worst DD: -17.21
S&P Correlation: 0.11

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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	Jul	Qtr	YTD	1yr	3yr	5yr	10yr	Since 11/2001
U.S. Equity Index Program	-0.75	-	-	-	-	-	-	158.67
S&P 500	6.88	-	-	-	-	-	-	222.60
+/- S&P 500	-7.63	-	-	-	-	-	-	-63.93

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 250k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	2.00%
Performance Fee	20.00%
Average Commission	$5.00
Available to US Investors	Yes

Subscriptions

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

Trading

Trading Frequency	3200 RT/YR/$M
Avg. Margin-to-Equity	7%
Targeted Worst DD
Worst Peak-to-Trough	0%
Sector Focus	Not Specified

Holding Periods

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

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Counter-trend: 15.00%
Other: 85.00%

Summary

-Lafayette Trading, LLC ("Lafayette") employs a short-term, systematic model to generate trade signals on U.S. time zone equity index future contracts. The technology is comprised of ten different alpha generating algorithms. The algorithms work in tandem to generate the trade direction and risk allocation.Nov 2001-Aug 2006 performance is the Lafayette technology with pro-forma 2% management fee deducted monthly and 20% incentive fee as traded by TDA in a securities portfolio. Sep 2006-Sep 2008 performance is the Lafayette technology with pro-forma 2% management fees and 20% incentive fee as traded by TDA in a futures portfolio. Results Oct 2008 – June 2009 is the net performance (2/20) for proprietary accounts managed by Lafayette Trading, LLC. Beginning in July of 2009 to present the results are the net performance of client accounts managed by Lafayette.

Investment Strategy

The technology currently trades the S&P 500, Nasdaq 100, Russell 2000, and Nikkei 225 (dollar denominated) index futures contracts. All trades are short-term, with new trade signals generated on a daily basis. Historically, the technology is in cash approximately 50% of the time and the maximum leverage employed on any single position is 2:1. Historically, for those times when a signal is generated to take market risk, approximately 65% of the positions are long and 35% are short.

Risk Management

Based on new market data every trade is evaluated on a daily basis and therefore has a time-stop of approximately 24 hours. In addition, the algorithms work in tandem so that the size of the position is dictated by several factors, the number of algorithms that are triggered, which algorithms trigger, and the market environment in which the algorithms are triggering.

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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

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

Reward
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Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
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Risk
Standard Deviation:
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Average Loss:
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Reward/Risk
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
-17.21	9	-	5/1/2009	2/1/2010
-10.49	5	2	2/1/2002	7/1/2002
-10.18	2	5	8/1/2008	10/1/2008
-8.38	1	7	10/1/2007	11/1/2007
-5.42	3	1	5/1/2004	8/1/2004
-4.23	3	1	2/1/2006	5/1/2006
-3.85	2	3	8/1/2005	10/1/2005
-3.27	1	1	11/1/2002	12/1/2002
-2.16	1	2	7/1/2003	8/1/2003
-2.12	1	2	3/1/2007	4/1/2007
-1.72	1	2	10/1/2003	11/1/2003
-1.28	1	1	3/1/2004	4/1/2004
-1.15	1	2	8/1/2006	9/1/2006
-1.05	2	2	3/1/2003	5/1/2003
-0.56	1	1	1/1/2003	2/1/2003
-0.29	1	1	12/1/2004	1/1/2005
-0.05	1	1	9/1/2004	10/1/2004

Consecutive Gains

Run-up	Length (Mos.)	Start	End
22.31	4	11/1/2001	2/1/2002
21.02	4	8/1/2002	11/1/2002
20.76	6	3/1/2008	8/1/2008
16.17	3	3/1/2009	5/1/2009
12.48	4	11/1/2005	2/1/2006
12.39	6	5/1/2007	10/1/2007
12.22	1	1/1/2003	1/1/2003
10.45	4	12/1/2003	3/1/2004
10.11	7	2/1/2005	8/1/2005
8.10	1	11/1/2008	11/1/2008
7.26	3	6/1/2006	8/1/2006
6.95	6	10/1/2006	3/1/2007
6.68	4	3/1/2010	6/1/2010
6.32	1	9/1/2004	9/1/2004
5.05	2	9/1/2003	10/1/2003
4.71	1	1/1/2009	1/1/2009
4.02	2	11/1/2004	12/1/2004
3.88	1	5/1/2004	5/1/2004
2.61	2	12/1/2007	1/1/2008
2.54	1	5/1/2002	5/1/2002
1.41	1	11/1/2009	11/1/2009
1.21	1	7/1/2003	7/1/2003
1.09	1	3/1/2003	3/1/2003
0.91	1	9/1/2009	9/1/2009

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-12.00	3	6/1/2009	8/1/2009
-10.18	2	9/1/2008	10/1/2008
-9.04	2	3/1/2002	4/1/2002
-8.38	1	11/1/2007	11/1/2007
-5.49	1	12/1/2008	12/1/2008
-5.42	3	6/1/2004	8/1/2004
-5.39	1	10/1/2009	10/1/2009
-4.29	1	2/1/2009	2/1/2009
-4.23	3	3/1/2006	5/1/2006
-4.03	2	6/1/2002	7/1/2002
-3.85	2	9/1/2005	10/1/2005
-3.27	1	12/1/2002	12/1/2002
-2.83	3	12/1/2009	2/1/2010
-2.16	1	8/1/2003	8/1/2003
-2.12	1	4/1/2007	4/1/2007
-1.72	1	11/1/2003	11/1/2003
-1.28	1	4/1/2004	4/1/2004
-1.15	1	9/1/2006	9/1/2006
-1.05	3	4/1/2003	6/1/2003
-0.95	1	2/1/2008	2/1/2008
-0.75	1	7/1/2010	7/1/2010
-0.56	1	2/1/2003	2/1/2003
-0.29	1	1/1/2005	1/1/2005
-0.05	1	10/1/2004	10/1/2004

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	105.00	103.00	100.00	94.00	88.00	82.00	70.00	58.00	46.00
Percent Profitable	63.81	71.84	80.00	86.17	93.18	98.78	100.00	100.00	100.00
Average Period Return	0.97	2.88	5.42	11.37	17.64	24.40	38.98	55.31	73.30
Average Gain	2.89	5.51	7.97	14.08	19.39	24.77	38.98	55.31	73.30
Average Loss	-2.48	-3.82	-4.79	-5.53	-6.25	-6.06
Best Period	12.22	20.18	31.37	32.25	43.39	48.82	67.60	89.46	111.30
Worst Period	-8.38	-12.00	-14.80	-12.84	-11.56	-6.06	9.61	18.81	38.21
Standard Deviation	3.55	5.93	7.28	9.31	10.37	11.06	14.63	18.26	22.13
Gain Standard Deviation	2.67	4.56	5.41	6.66	8.31	10.59	14.63	18.26	22.13
Loss Standard Deviation	2.07	3.03	4.17	4.06	4.10
Sharpe Ratio (1%)	0.25	0.44	0.68	1.11	1.56	2.02	2.46	2.81	3.08
Average Gain / Average Loss	1.17	1.44	1.66	2.55	3.10	4.08
Profit / Loss Ratio	2.11	3.68	6.66	15.87	42.39	330.85
Downside Deviation (10%)	2.10	3.11	3.74	4.21	3.88	2.46	1.30	0.40
Downside Deviation (5%)	1.94	2.68	2.98	2.83	2.25	0.90
Downside Deviation (0%)	1.90	2.57	2.81	2.52	1.90	0.67
Sortino Ratio (10%)	0.27	0.53	0.79	1.51	2.59	5.76	17.82	83.77
Sortino Ratio (5%)	0.46	0.98	1.65	3.67	7.17	24.88
Sortino Ratio (0%)	0.51	1.12	1.93	4.52	9.27	36.43

Top Performer Badges

Index	Award Type	Rank	Performance	Period

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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Lafayette Trading, LLC : U.S. Equity Index Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Lafayette Trading, LLC : U.S. Equity Index Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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