Mehnert Capital Management, LLC : DTP (Client)

Year-to-Date: N / A
May Performance: -2.03%

Min Investment: $ 1,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 13.51%
Sharpe (RFR=1%): -0.01
CAROR: -0.02%

Assets: $ 877k
Worst DD: -17.36
S&P Correlation: -0.26

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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	May	Qtr	2019	1yr	3yr	5yr	10yr	Since 3/2012
DTP (Client)	-2.03	2.40	-	-14.88	16.86	4.74	-	-0.08
S&P 500	1.16	2.04	-	15.01	25.38	84.06	-	69.28
+/- S&P 500	-3.19	0.37	-	-29.89	-8.52	-79.32	-	-69.36

Strategy Description

Summary

Diversified Trading Program (“DTP”) is a trading program that takes positions across a diversified portfolio of domestic futures markets with a primary focus on currencies, equity indices, interest rates and commodities. ... Read More

Account & Fees

Type: Managed Account
Minimum Investment: $ 1,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 3.00
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $3.00
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: 1800 RT/YR/$M
Avg. Margin-to-Equity: 9%
Targeted Worst DD
Worst Peak-to-Trough: -14.89%
Sector Focus: Diversified Traders

Holding Periods

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

Decision-Making

Discretionary: 2.00%
Systematic: 98.00%

Strategy

Composition

Summary

Investment Strategy

Trading Approach

In broad terms, the different trading approaches that make up the trading program attempt to generate trading profits in (i) trending, (ii) non-trending, and (iii) reversal phases of any major market trend. All trades taken are actively managed, with the view of locking in as much of the prevailing market thrust as possible, while at the same time allowing each trade sufficient room to move in order to meet its return objectives.

Risk Management

The trading strategy involves strict risk management procedures that are used in order to achieve trading returns with the least possible risk. The Advisor believes that the leverage offered by futures contracts can work for and against an Advisor, and the understanding of risk is essential in trading mechanical systems over a wide range of futures markets. Risk is analyzed on a market basis and used to regularly balance the portfolio of contracts being traded at any given time.

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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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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
-17.36	10	-	4/1/2016	2/1/2017
-14.89	28	3	1/1/0001	6/1/2014
-12.41	9	6	1/1/2015	10/1/2015
-1.41	1	1	11/1/2014	12/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
28.15	5	7/1/2014	11/1/2014
11.57	1	4/1/2016	4/1/2016
9.85	1	1/1/2016	1/1/2016
9.18	3	10/1/2016	12/1/2016
5.20	1	11/1/2015	11/1/2015
4.53	2	3/1/2017	4/1/2017
4.26	1	1/1/2015	1/1/2015
2.78	1	11/1/2013	11/1/2013
2.72	2	7/1/2015	8/1/2015
2.47	1	1/1/2014	1/1/2014
1.93	2	7/1/2013	8/1/2013

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-16.48	5	5/1/2016	9/1/2016
-12.11	5	2/1/2014	6/1/2014
-9.38	2	1/1/2017	2/1/2017
-8.16	5	2/1/2015	6/1/2015
-7.16	2	9/1/2015	10/1/2015
-4.61	16	3/1/2012	6/1/2013
-4.07	1	12/1/2013	12/1/2013
-3.94	2	2/1/2016	3/1/2016
-2.91	1	12/1/2015	12/1/2015
-2.03	1	5/1/2017	5/1/2017
-1.43	2	9/1/2013	10/1/2013
-1.41	1	12/1/2014	12/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	63.00	61.00	58.00	52.00	46.00	40.00	28.00	16.00
Percent Profitable	31.75	39.34	39.66	50.00	63.04	62.50	100.00	100.00
Average Period Return	0.07	0.39	0.98	2.25	4.31	6.15	10.84	10.69
Average Gain	4.02	6.35	9.27	9.89	9.71	13.79	10.84	10.69
Average Loss	-2.62	-5.15	-6.02	-6.11	-4.89	-6.59
Best Period	15.79	24.07	27.56	23.38	21.85	37.28	23.77	23.77
Worst Period	-7.23	-12.82	-13.98	-14.88	-10.78	-10.78	2.00	2.28
Standard Deviation	3.90	6.88	9.58	9.68	8.86	12.65	5.73	6.62
Gain Standard Deviation	4.13	6.28	9.76	7.14	6.18	9.67	5.73	6.62
Loss Standard Deviation	1.86	3.59	3.32	4.06	3.37	2.68
Sharpe Ratio (1%)	0.01	0.04	0.08	0.18	0.40	0.41	1.63	1.31
Average Gain / Average Loss	1.54	1.23	1.54	1.62	1.99	2.09
Profit / Loss Ratio	1.06	1.18	1.36	1.83	3.39	3.49
Downside Deviation (10%)	2.41	4.70	6.20	8.05	8.18	10.77	7.16	12.59
Downside Deviation (5%)	2.19	4.06	4.73	5.13	3.96	4.91
Downside Deviation (0%)	2.17	3.99	4.58	4.85	3.57	4.33
Sortino Ratio (10%)	-0.14	-0.18	-0.24	-0.34	-0.40	-0.38	-0.69	-0.86
Sortino Ratio (5%)	0.01	0.06	0.15	0.34	0.90	1.05
Sortino Ratio (0%)	0.03	0.10	0.21	0.46	1.21	1.42

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Systematic Trader Index	Month	5	2.99	10/2016
Diversified Trader Index	Month	6	2.99	10/2016
IASG CTA Index	Month	3	11.57	4/2016
Systematic Trader Index	Month	4	11.57	4/2016
Diversified Trader Index	Month	4	11.57	4/2016
Systematic Trader Index	Month	10	9.85	1/2016
IASG CTA Index	Month	8	9.85	1/2016
Diversified Trader Index	Month	9	9.85	1/2016
Trend Following Strategy Index	Month	10	15.79	9/2014

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

^#5

Top Performer

SYSTEMATIC TRADER INDEX

OCTOBER
2016

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Mehnert Capital Management, LLC : DTP (Client)

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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