London Systematic Advisors : Futures Statistical Arbitrage

Year-to-Date: N / A
Jun Performance: 1.93%

Min Investment: $ 2,500k
Mgmt. Fee: 1.00%
Perf. Fee: 25.00%

Annualized Vol: 7.04%
Sharpe (RFR=1%): -0.81
CAROR: -4.83%

Assets: $ 7.8M
Worst DD: -20.85
S&P Correlation: 0.04

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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	Jun	Qtr	YTD	1yr	3yr	5yr	10yr	Since 4/2011
Futures Statistical Arbitrage	1.93	3.67	-	-0.42	-12.03	-	-	-14.86
S&P 500	1.91	4.69	-	22.04	48.40	-	-	43.72
+/- S&P 500	0.02	-1.02	-	-22.45	-60.43	-	-	-58.58

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 2,500k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 4.00
Management Fee: 1.00%
Performance Fee: 25.00%
Average Commission: $4.50
Available to US Investors: Yes

Subscriptions

High Water Mark: Yes
Subscription Frequency: 1-7 Days
Redemption Frequency: 1-7 Days
Investor Requirements: QEP
Lock-up Period: 0

Trading

Trading Frequency: 1800 RT/YR/$M
Avg. Margin-to-Equity: 10%
Targeted Worst DD: -12.00%
Worst Peak-to-Trough: 10.00%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 15.00%
1-30 Days: 85.00%
Intraday: 0%

Summary

The Futures Statistical-Arbitrage Strategy has an investment objective to achieve positive absolute returns, with low correlation to any major bond, equity, currency, or broad market hedge fund index and other CTAs over intermediate term holding periods. To achieve this, the Strategy employs a fully systematic, algorithmic trading approach that utilizes a number of human-understandable trading sub-strategies. As such, while the sub-strategies are computerized they are not “black-boxes” and many of the concepts come from applications that aren’t commonly applied to managed futures. The focus is to trade only highly liquid exchange traded futures and spot foreign exchange to allow for liquidity and transparency. At present 34 futures markets and five cash currencies are traded (currently for hedging only). Overall average holding periods are around 7 days, but vary from sub-strategy between 3-30 days.

Investment Strategy

There are a number of sub-strategies that are generally sector specific and range from mean-reversion to momentum on both an outright and relative basis. The sub-strategies are intended to have low correlation to each other to achieve a smoother return profile than the typical CTA. The sub-strategies are derived from approaches not typically used to trade managed futures. The volatility target is 10% annualized based on daily gross returns. The combination of relatively uncorrelated strategies and and systematic risk allocation should result in draw-downs which are much better behaved than typical managed futures programs.

Risk Management

Risk is re-sized daily at three levels based on both volatility and correlation as it emerges cross-market and cross-strategy: Market, sub-strategy and inter-strategy, so that the absolute exposure is within the specified limits. As well strategies which take outright market positions have intra-day stops, while those that take relative positions have daily stops on the relative exposure.

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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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Index:

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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
-20.85	35	-	4/1/2011	3/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
3.80	1	7/1/2011	7/1/2011
3.76	1	4/1/2011	4/1/2011
3.67	3	4/1/2014	6/1/2014
2.80	1	6/1/2013	6/1/2013
1.97	2	10/1/2012	11/1/2012
1.21	2	11/1/2011	12/1/2011
1.15	1	4/1/2012	4/1/2012
0.83	1	1/1/2014	1/1/2014
0.53	1	8/1/2013	8/1/2013
0.05	1	7/1/2012	7/1/2012
0.05	1	1/1/2013	1/1/2013

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-7.84	2	8/1/2012	9/1/2012
-6.73	2	5/1/2011	6/1/2011
-5.92	3	8/1/2011	10/1/2011
-3.82	4	2/1/2013	5/1/2013
-3.36	4	9/1/2013	12/1/2013
-2.99	2	5/1/2012	6/1/2012
-1.85	1	12/1/2012	12/1/2012
-1.00	1	7/1/2013	7/1/2013
-0.95	2	2/1/2014	3/1/2014
-0.23	3	1/1/2012	3/1/2012

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year
Number of Periods	39.00	37.00	34.00	28.00	22.00	16.00
Percent Profitable	38.46	27.03	14.71	3.57	0.00	0.00
Average Period Return	-0.39	-1.55	-3.21	-6.56	-11.00	-13.96
Average Gain	1.32	1.30	1.72	0.43
Average Loss	-1.46	-2.61	-4.06	-6.81	-11.00	-13.96
Best Period	3.80	3.67	3.54	0.43	-1.49	-9.09
Worst Period	-6.14	-7.79	-10.09	-13.70	-16.35	-19.71
Standard Deviation	2.03	2.58	3.47	3.91	3.80	2.75
Gain Standard Deviation	1.23	1.18	1.15
Loss Standard Deviation	1.68	2.11	2.99	3.74	3.80	2.75
Sharpe Ratio (1%)	-0.23	-0.70	-1.07	-1.93	-3.29	-5.81
Average Gain / Average Loss	0.90	0.50	0.42	0.06
Profit / Loss Ratio	0.56	0.18	0.07	0.00
Downside Deviation (10%)	1.95	3.74	6.62	12.18	18.96	24.35
Downside Deviation (5%)	1.77	3.01	5.01	8.48	13.05	16.19
Downside Deviation (0%)	1.72	2.84	4.63	7.60	11.61	14.21
Sortino Ratio (10%)	-0.41	-0.74	-0.86	-0.95	-0.98	-0.99
Sortino Ratio (5%)	-0.27	-0.60	-0.74	-0.89	-0.96	-0.99
Sortino Ratio (0%)	-0.23	-0.55	-0.69	-0.86	-0.95	-0.98

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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London Systematic Advisors : Futures Statistical Arbitrage

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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