Mesirow Financial Investment Management, Inc. : Apollo Absolute Return Strategy

Year-to-Date: N / A
Apr Performance: -5.10%

Min Investment: $ 10,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 8.59%
Sharpe (RFR=1%): 0.04
CAROR: 0.99%

Assets: $ 29.0M
Worst DD: -30.49
S&P Correlation: 0.08

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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	Apr	Qtr	2019	1yr	3yr	5yr	10yr	Since 5/2009
Apollo Absolute Return Strategy	-5.10	-12.37	-	-21.98	-28.18	-10.98	-	7.14
S&P 500	0.27	6.45	-	-0.97	29.28	51.43	-	124.66
+/- S&P 500	-5.37	-18.81	-	-21.01	-57.45	-62.40	-	-117.52

Strategy Description

Summary

The Apollo Absolute Return Strategy commenced trading in May 2009 as a managed account for an institutional client to provide a blended exposure to emerging market instruments as offered by The Cambridge Strategy. This managed account was transferred to a vehicle in 2010 that can be... Read More

Account & Fees

Type: Managed Account
Minimum Investment: $ 10,000k
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: 1-7 Days
Redemption Frequency: 1-7 Days
Investor Requirements: QEP
Lock-up Period: 0

Trading

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

Holding Periods

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

Decision-Making

Discretionary: 100.00%
Systematic: 0%

Strategy

Composition

Summary

Investment Strategy

The process is anchored by the belief that by utilising a combination of both top-down and bottom-up approaches in currencies, equities and debt, investment opportunities can be clearly identified and exploited. The first element of the process is to identify the key cyclical and structural factors that we expect to emerge over the short to medium term (and whether these factors are best exploited through rates, equities, currencies, or a combination of them).

Risk Management

A risk management overlay is employed to ensure that the portfolio is not overly concentrated in any type of instrument and allows the portfolio to be calibrated to match a preset threshold of maximum acceptable downside risk.

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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.

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Index:

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Sharpe Ratio: (RF=1%)
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Reward
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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
-30.49	16	-	12/1/2014	4/1/2016
-10.90	7	11	3/1/2013	10/1/2013
-4.40	5	3	4/1/2010	9/1/2010
-4.03	2	2	7/1/2009	9/1/2009
-3.61	1	2	9/1/2014	10/1/2014
-2.07	2	1	2/1/2012	4/1/2012
-0.87	2	2	9/1/2012	11/1/2012
-0.69	1	1	7/1/2011	8/1/2011
-0.26	1	1	11/1/2009	12/1/2009

Consecutive Gains

Run-up	Length (Mos.)	Start	End
15.47	10	10/1/2010	7/1/2011
10.62	5	5/1/2012	9/1/2012
9.75	6	9/1/2011	2/1/2012
8.16	3	7/1/2014	9/1/2014
7.57	4	1/1/2010	4/1/2010
5.91	2	11/1/2013	12/1/2013
5.74	2	11/1/2014	12/1/2014
4.60	4	12/1/2012	3/1/2013
4.32	2	10/1/2009	11/1/2009
4.26	1	1/1/2016	1/1/2016
4.05	3	5/1/2009	7/1/2009
2.32	2	7/1/2010	8/1/2010
1.62	2	4/1/2014	5/1/2014
1.12	1	2/1/2015	2/1/2015
0.83	1	6/1/2015	6/1/2015
0.38	1	8/1/2015	8/1/2015
0.31	1	11/1/2015	11/1/2015
0.16	1	2/1/2014	2/1/2014

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-12.37	3	2/1/2016	4/1/2016
-11.24	3	3/1/2015	5/1/2015
-10.90	7	4/1/2013	10/1/2013
-6.37	1	12/1/2015	12/1/2015
-5.38	2	9/1/2015	10/1/2015
-4.11	2	5/1/2010	6/1/2010
-4.05	1	1/1/2015	1/1/2015
-4.03	2	8/1/2009	9/1/2009
-3.61	1	10/1/2014	10/1/2014
-2.56	1	9/1/2010	9/1/2010
-2.07	2	3/1/2012	4/1/2012
-1.79	1	7/1/2015	7/1/2015
-1.76	1	6/1/2014	6/1/2014
-1.56	1	1/1/2014	1/1/2014
-0.87	2	10/1/2012	11/1/2012
-0.69	1	8/1/2011	8/1/2011
-0.34	1	3/1/2014	3/1/2014
-0.26	1	12/1/2009	12/1/2009

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	84.00	82.00	79.00	73.00	67.00	61.00	49.00	37.00	25.00
Percent Profitable	60.71	57.32	65.82	65.75	68.66	70.49	75.51	81.08	92.00
Average Period Return	0.11	0.49	1.32	3.60	6.92	10.38	16.59	21.81	26.09
Average Gain	1.67	3.54	5.62	10.38	14.01	18.38	26.54	29.15	28.97
Average Loss	-2.29	-3.60	-6.94	-9.43	-8.62	-8.75	-14.10	-9.66	-7.05
Best Period	5.93	8.16	11.83	18.00	25.19	36.34	45.89	49.17	51.45
Worst Period	-7.84	-12.37	-14.19	-24.23	-26.50	-23.58	-28.18	-18.65	-10.98
Standard Deviation	2.48	4.44	6.95	10.91	12.87	15.52	20.46	18.93	17.35
Gain Standard Deviation	1.37	2.04	2.73	4.08	7.36	10.09	10.91	11.91	14.78
Loss Standard Deviation	1.79	3.35	4.74	7.49	7.46	7.00	8.79	6.26	5.56
Sharpe Ratio (1%)	0.01	0.05	0.12	0.24	0.42	0.54	0.66	0.94	1.21
Average Gain / Average Loss	0.73	0.98	0.81	1.10	1.63	2.10	1.88	3.02	4.11
Profit / Loss Ratio	1.13	1.32	1.56	2.11	3.56	5.02	5.80	12.93	47.27
Downside Deviation (10%)	2.02	3.83	6.15	9.49	10.11	11.24	15.48	14.84	13.75
Downside Deviation (5%)	1.85	3.31	5.13	7.46	6.98	6.92	9.44	6.48	3.67
Downside Deviation (0%)	1.81	3.19	4.89	6.99	6.32	6.02	8.12	4.90	2.28
Sortino Ratio (10%)	-0.15	-0.19	-0.19	-0.15	-0.07	0.01	0.05	0.02	-0.11
Sortino Ratio (5%)	0.02	0.07	0.16	0.35	0.78	1.21	1.44	2.74	5.72
Sortino Ratio (0%)	0.06	0.15	0.27	0.51	1.10	1.72	2.04	4.45	11.43

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Discretionary Trader Index	Month	3	4.26	1/2016
Discretionary Trader Index	Month	6	5.15	3/2010

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

^#3

Top Performer

DISCRETIONARY TRADER INDEX

JANUARY
2016

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More Programs by Mesirow Financial Investment Management, Inc.

Program Name	CAROR
Emerging Markets Currency Alpha Programme	5.11%
Extended Markets Alpha Program	3.41%
Asian Markets Alpha Program	2.75%
Systematic Macro Strategy	-

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Mesirow Financial Investment Management, Inc. : Apollo Absolute Return 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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