LJM Partners : LJM Aggressive Strategy

Year-to-Date: N / A
Jan Performance: -7.79%

Min Investment: $ 500k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 30.33%
Sharpe (RFR=1%): 0.70
CAROR: 17.79%

Assets: $ 52.0M
Worst DD: -63.83
S&P Correlation: 0.28

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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	Jan	Qtr	YTD	1yr	3yr	5yr	10yr	Since 7/1998
LJM Aggressive Strategy	-7.79	-6.80	-	5.45	68.14	67.76	183.20	2,368.12
S&P 500	5.62	9.65	-	22.66	40.12	86.59	102.74	136.12
+/- S&P 500	-13.41	-16.45	-	-17.21	28.02	-18.83	80.47	2,231.99

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 500k
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: 15-30 Days
Redemption Frequency: 15-30 Days
Investor Requirements: QEP
Lock-up Period: 0

Trading

Trading Frequency: 2000 RT/YR/$M
Avg. Margin-to-Equity: 50%
Targeted Worst DD
Worst Peak-to-Trough: 0%
Sector Focus: Stock Index Traders

Holding Periods

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

Summary

LJM aims to provide opportunities for individual clients and institutions to improve risk adjusted portfolio returns through exposure to well-managed alternative strategies. Short Volatility strategies with an emphasis on proper risk management provide an opportunity to earn positive, uncorrelated returns over the long term. LJM aims to deliver an uncorrelated, highly liquid alternative investment solution for each client's desired risk/reward profile. LJM also believes in the importance of co-investment and to fully investing our own capital alongside our clients.

Investment Strategy

The LJM Aggressive Strategy manages a dynamic portfolio of long and short S&P index equity options to garner returns through the inefficiencies of options pricing and time decay. The portfolio is non-direction in that LJM does not try to predict market direction. The strategy targets absolute rates of return that are generally uncorrelated with the broader equity markets. This product is suited for investors who understand and accept the risks and potential volatility associated with aggressive returns.

Risk Management

LJM’s Founder and Chairman is Anthony J. Caine. Mr. Caine spent the first 16 years of his professional career in the computer and software industries, including employment at Hewlett-Packard, Apple Computer and Trilogy Development Company. In 1990 Mr. Caine founded Spyglass, Inc. where he served as Spyglass’ first President and CEO. In 1995 Spyglass, Inc. was IPO’d and traded from June 1995 through March 2000 on the NASDAQ Stock Exchange. Since retiring from the software industry in November 1995, Mr. Caine has traded options and managed options accounts on a full-time basis. Mr. Caine received degrees in Economics and Mathematics from Carnegie-Mellon University in 1979.
LJM's President is J. Scott Sykora. Together with Mr. Caine, Mr. Sykora sets strategy for the firm and is responsible for executing the firm’s business plan. Mr. Sykora runs all operations including organizational development, financial reporting, regulatory compliance, marketing/advertising and sales. Mr. Sykora brings 20+ years of leadership experience from companies including Deloitte Consulting and Hewlett-Packard. Mr. Sykora has a bachelor's degree in Engineering Physics from Miami University of Ohio and an MBA from the University of Chicago.

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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=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
-63.83	2	46	8/1/2008	10/1/2008
-46.54	2	11	5/1/2002	7/1/2002
-40.84	2	13	2/1/2000	4/1/2000
-38.11	2	6	1/1/0001	8/1/1998
-24.25	1	4	8/1/2001	9/1/2001
-19.61	1	7	9/1/2014	10/1/2014
-18.14	1	4	9/1/1999	10/1/1999
-15.69	3	10	2/1/2013	5/1/2013
-15.48	6	3	1/1/2007	7/1/2007
-14.14	1	5	7/1/2015	8/1/2015
-12.39	1	1	12/1/2007	1/1/2008
-7.79	1	-	12/1/2017	1/1/2018
-2.48	1	1	11/1/2003	12/1/2003
-2.20	1	2	5/1/2016	6/1/2016
-1.93	1	1	6/1/2014	7/1/2014
-1.90	2	1	9/1/2004	11/1/2004
-1.86	1	1	4/1/2006	5/1/2006
-1.47	1	1	1/1/2017	2/1/2017
-0.72	1	1	8/1/2012	9/1/2012
-0.58	1	1	10/1/2005	11/1/2005
-0.13	1	1	10/1/2017	11/1/2017
-0.09	1	1	11/1/2016	12/1/2016

Consecutive Gains

Run-up	Length (Mos.)	Start	End
143.98	16	8/1/2002	11/1/2003
71.18	10	9/1/2011	6/1/2012
69.85	9	1/1/1999	9/1/1999
59.66	8	10/1/2001	5/1/2002
56.11	7	2/1/2008	8/1/2008
51.43	9	1/1/2004	9/1/2004
46.89	2	9/1/1998	10/1/1998
39.71	11	12/1/2004	10/1/2005
36.64	6	5/1/2000	10/1/2000
36.53	5	8/1/2007	12/1/2007
33.88	9	10/1/2010	6/1/2011
28.89	7	1/1/2015	7/1/2015
28.86	4	11/1/1999	2/1/2000
27.98	8	6/1/2006	1/1/2007
27.36	5	11/1/2009	3/1/2010
23.98	2	12/1/2000	1/1/2001
22.89	3	4/1/2009	6/1/2009
22.09	5	12/1/2005	4/1/2006
20.87	3	6/1/2010	8/1/2010
18.22	5	4/1/2001	8/1/2001
17.21	7	11/1/2015	5/1/2016
14.83	8	3/1/2017	10/1/2017
13.70	5	7/1/2016	11/1/2016
11.94	4	3/1/2014	6/1/2014
11.64	1	9/1/2015	9/1/2015
11.19	3	6/1/2013	8/1/2013
11.11	4	11/1/2008	2/1/2009
10.27	2	8/1/2009	9/1/2009
8.91	3	11/1/2013	1/1/2014
8.72	2	8/1/2014	9/1/2014
8.67	5	10/1/2012	2/1/2013
6.90	1	8/1/2012	8/1/2012
4.77	1	6/1/2007	6/1/2007
4.53	1	11/1/2014	11/1/2014
2.85	1	1/1/2017	1/1/2017
1.21	1	12/1/2017	12/1/2017
0.07	1	3/1/2007	3/1/2007

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-63.83	2	9/1/2008	10/1/2008
-46.54	2	6/1/2002	7/1/2002
-40.84	2	3/1/2000	4/1/2000
-39.67	2	7/1/2011	8/1/2011
-38.11	2	7/1/1998	8/1/1998
-24.25	1	9/1/2001	9/1/2001
-19.61	1	10/1/2014	10/1/2014
-18.14	1	10/1/1999	10/1/1999
-15.69	3	3/1/2013	5/1/2013
-14.14	1	8/1/2015	8/1/2015
-12.39	1	1/1/2008	1/1/2008
-12.15	2	4/1/2007	5/1/2007
-7.79	1	1/1/2018	1/1/2018
-7.31	2	4/1/2010	5/1/2010
-6.72	1	7/1/2009	7/1/2009
-5.42	1	7/1/2007	7/1/2007
-4.64	2	9/1/2013	10/1/2013
-4.64	1	11/1/2000	11/1/2000
-3.09	1	3/1/2009	3/1/2009
-2.98	1	2/1/2007	2/1/2007
-2.63	2	2/1/2001	3/1/2001
-2.48	1	12/1/2003	12/1/2003
-2.20	1	6/1/2016	6/1/2016
-1.93	1	7/1/2014	7/1/2014
-1.90	2	10/1/2004	11/1/2004
-1.86	1	5/1/2006	5/1/2006
-1.47	1	2/1/2017	2/1/2017
-1.36	1	2/1/2014	2/1/2014
-1.20	1	10/1/2015	10/1/2015
-1.18	2	11/1/1998	12/1/1998
-0.94	1	7/1/2012	7/1/2012
-0.72	1	9/1/2012	9/1/2012
-0.58	1	11/1/2005	11/1/2005
-0.52	1	10/1/2009	10/1/2009
-0.50	1	12/1/2014	12/1/2014
-0.50	1	9/1/2010	9/1/2010
-0.13	1	11/1/2017	11/1/2017
-0.09	1	12/1/2016	12/1/2016

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	235.00	233.00	230.00	224.00	218.00	212.00	200.00	188.00	176.00
Percent Profitable	78.30	81.55	79.13	79.02	86.70	84.91	89.00	97.34	100.00
Average Period Return	1.85	5.87	11.87	23.67	35.11	49.03	81.79	121.14	171.93
Average Gain	4.68	11.13	20.58	34.90	44.44	61.33	93.71	124.52	171.93
Average Loss	-8.37	-17.33	-21.16	-18.62	-25.71	-20.14	-14.59	-2.47
Best Period	41.73	45.48	65.47	123.94	160.07	231.85	346.12	525.75	571.05
Worst Period	-57.15	-63.62	-59.81	-53.39	-40.63	-38.07	-43.85	-4.18	2.11
Standard Deviation	8.76	14.77	21.48	31.51	39.04	50.05	76.04	110.51	141.97
Gain Standard Deviation	4.00	6.92	11.78	23.77	32.82	43.80	72.08	110.08	141.97
Loss Standard Deviation	12.82	17.73	17.51	18.40	12.84	12.59	8.09	1.78
Sharpe Ratio (1%)	0.20	0.38	0.53	0.72	0.86	0.94	1.04	1.06	1.18
Average Gain / Average Loss	0.56	0.64	0.97	1.87	1.73	3.05	6.42	50.48
Profit / Loss Ratio	2.02	2.84	3.69	7.06	11.27	17.13	51.96	1847.67
Downside Deviation (10%)	7.19	10.97	13.39	13.68	13.01	12.80	10.79	5.12	4.55
Downside Deviation (5%)	7.10	10.66	12.67	12.26	10.94	9.86	6.41	1.13	0.29
Downside Deviation (0%)	7.08	10.59	12.49	11.93	10.44	9.19	5.50	0.48
Sortino Ratio (10%)	0.20	0.42	0.70	1.36	2.12	3.03	6.12	19.44	31.70
Sortino Ratio (5%)	0.25	0.53	0.90	1.85	3.07	4.77	12.28	104.07	582.96
Sortino Ratio (0%)	0.26	0.55	0.95	1.98	3.36	5.34	14.86	253.12

Top Performer Badges

Index	Award Type	Rank	Performance	Period
IASG CTA Index	Month	1	11.64	9/2015
Discretionary Trader Index	Month	1	11.64	9/2015
Stock Index Trader Index	Month	1	11.64	9/2015
Option Strategy Index	Month	1	11.64	9/2015
Option Strategy Index	Month	3	5.14	7/2015
Stock Index Trader Index	Month	5	5.14	7/2015
Discretionary Trader Index	Month	10	5.14	7/2015
Option Strategy Index	Month	10	1.47	6/2015
Discretionary Trader Index	Month	7	3.60	5/2015
Stock Index Trader Index	Month	4	3.60	5/2015
Option Strategy Index	Month	2	3.60	5/2015
Option Strategy Index	Month	4	2.67	4/2015
Stock Index Trader Index	Month	6	2.67	4/2015
Discretionary Trader Index	Month	10	2.67	4/2015
Discretionary Trader Index	Month	8	4.41	3/2015
Option Strategy Index	Month	3	4.41	3/2015
Stock Index Trader Index	Month	3	4.41	3/2015
Discretionary Trader Index	Month	4	6.36	2/2015
Option Strategy Index	Month	2	6.36	2/2015
Stock Index Trader Index	Month	6	6.36	2/2015
Option Strategy Index	Month	6	2.52	1/2015
Stock Index Trader Index	Month	8	2.52	1/2015
Stock Index Trader Index	Month	5	4.53	11/2014
Option Strategy Index	Month	4	4.53	11/2014
Discretionary Trader Index	Month	5	4.53	11/2014
Stock Index Trader Index	Month	5	4.09	9/2014
Option Strategy Index	Month	2	4.09	9/2014
Option Strategy Index	Month	7	4.50	8/2014
Stock Index Trader Index	Month	10	4.50	8/2014
Stock Index Trader Index	Month	8	2.45	6/2014
Option Strategy Index	Month	7	2.45	6/2014
Stock Index Trader Index	Month	8	2.05	5/2014
Option Strategy Index	Month	9	2.05	5/2014
IASG CTA Index	Month	9	5.36	3/2014
Option Strategy Index	Month	3	5.36	3/2014
Stock Index Trader Index	Month	3	5.36	3/2014
Discretionary Trader Index	Month	4	5.36	3/2014
Option Strategy Index	Month	4	3.71	1/2014
Stock Index Trader Index	Month	5	3.71	1/2014
Discretionary Trader Index	Month	7	3.71	1/2014
Discretionary Trader Index	Month	8	3.89	12/2013
Option Strategy Index	Month	5	3.89	12/2013
Stock Index Trader Index	Month	6	3.89	12/2013
Option Strategy Index	Month	5	3.14	8/2013
Stock Index Trader Index	Month	7	3.14	8/2013
Discretionary Trader Index	Month	10	3.14	8/2013
Option Strategy Index	Month	7	2.22	7/2013
Discretionary Trader Index	Month	6	5.46	6/2013
Stock Index Trader Index	Month	4	5.46	6/2013
Option Strategy Index	Month	2	5.46	6/2013
Option Strategy Index	Month	8	1.56	2/2013
Option Strategy Index	Month	7	1.84	12/2012
IASG CTA Index	Year Rolling	9	45.75	2011 - 2012
Stock Index Trader Index	Month	6	1.84	12/2012
Stock Index Trader Index	Month	3	4.62	10/2012
Option Strategy Index	Month	3	4.62	10/2012
Discretionary Trader Index	Month	8	4.62	10/2012
Discretionary Trader Index	Month	9	6.90	8/2012
Option Strategy Index	Month	3	6.90	8/2012
Stock Index Trader Index	Month	2	6.90	8/2012
Option Strategy Index	Month	1	6.96	5/2012
Stock Index Trader Index	Month	1	6.96	5/2012
Discretionary Trader Index	Month	5	6.96	5/2012
Discretionary Trader Index	Month	6	7.73	4/2012
Stock Index Trader Index	Month	2	7.73	4/2012
Option Strategy Index	Month	3	7.73	4/2012
IASG CTA Index	Month	9	7.73	4/2012
Option Strategy Index	Month	9	3.10	2/2012
Stock Index Trader Index	Month	10	3.10	2/2012
Stock Index Trader Index	Month	3	5.56	1/2012
Option Strategy Index	Month	4	5.56	1/2012
IASG CTA Index	Month	6	8.72	12/2011
Option Strategy Index	Month	2	8.72	12/2011
Stock Index Trader Index	Month	2	8.72	12/2011
Discretionary Trader Index	Month	2	8.72	12/2011
Option Strategy Index	Month	2	9.72	11/2011
Stock Index Trader Index	Month	3	9.72	11/2011
Discretionary Trader Index	Month	4	9.72	11/2011
Option Strategy Index	Month	8	3.48	10/2011
Discretionary Trader Index	Month	9	6.95	9/2011
Option Strategy Index	Month	5	6.95	9/2011
Stock Index Trader Index	Month	6	6.95	9/2011
Stock Index Trader Index	Month	8	1.66	6/2011
IASG CTA Index	Month	10	6.71	5/2011
Discretionary Trader Index	Month	5	6.71	5/2011
Stock Index Trader Index	Month	4	6.71	5/2011
Option Strategy Index	Month	2	6.71	5/2011
Option Strategy Index	Month	3	4.33	3/2011
Stock Index Trader Index	Month	5	4.33	3/2011
Option Strategy Index	Month	4	3.94	1/2011
Stock Index Trader Index	Month	5	3.94	1/2011
Option Strategy Index	Month	4	3.39	12/2010
Stock Index Trader Index	Month	7	3.39	12/2010
Stock Index Trader Index	Month	5	2.89	11/2010
Discretionary Trader Index	Month	5	2.89	11/2010
Option Strategy Index	Month	2	2.89	11/2010
Option Strategy Index	Month	2	5.62	10/2010
Stock Index Trader Index	Month	4	5.62	10/2010
Discretionary Trader Index	Month	6	8.19	8/2010
Stock Index Trader Index	Month	3	8.19	8/2010

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

^#1

Top Performer

IASG CTA INDEX

SEPTEMBER
2015

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LJM Partners : LJM Aggressive Strategy

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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