Mesirow Financial Investment Management, Inc. : Asian Markets Alpha Program

Year-to-Date: 13.23%
Dec Performance: -3.26%

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

Annualized Vol: 8.13%
Sharpe (RFR=1%): 0.25
CAROR: 2.75%

Assets: $ 5.6M
Worst DD: -23.05
S&P Correlation: -0.14

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Growth of 1,000 - VAMI

Monthly Performance

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	Dec	Qtr	2019	1yr	3yr	5yr	10yr	Since 2/2006
Asian Markets Alpha Program	-3.26	-7.97	-13.23	-13.23	-16.24	-18.18	2.92	45.78
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	186.74	149.67
+/- S&P 500	-6.12	-16.50	-42.10	-42.10	-59.08	-73.51	-183.82	-103.89

Strategy Description

Investment Strategy

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

Investment Strategy

ASIAN MARKETS CURRENCY ALPHA Strategy commenced trading in February 2006 and aims to profit from short and medium term moves in the Asian markets' currency pairs. Depending on market conditions and volatility, the strategy combines two systematic components, based on technical and fundamental models, with a discretionary component. These comprise our Systematic Technical Strategy, Systematic Fundamental Strategy and our Market Information Strategy, respectively. During periods of increasing or high volatility, our Systematic Technical Strategy uses a series of proprietary trading algorithms operating over multiple time frames. The algorithms combine trend continuation and trend reversal signals. During periods of declining or low volatility, our Systematic Fundamental Strategy reflects a predetermined set of positions designed to reflect 'market' views on the relative attractiveness of currencies versus the US dollar. Our proprietary Global Volatility Indicator2 serves as the regime shifting mechanism within the two systematic strategies. Our Market Information Strategy leverages the experience and global network of our portfolio managers and seeks to capture and exploit the behaviour of market participants that cannot be modeled. It has characteristics often associated with discretionary managers. Mesirow Financial Currency Management believes that long run success is achieved through successful mitigation of downside risk at the portfolio, strategy, and individual trade levels. Daily CVaR limits are enforced at the aggregate portfolio and sub-strategy level. Left hand tail risk is monitored using a proprietary methodology grounded in Extreme Value Theory.

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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%)
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
-23.05	52	-	8/1/2015	12/1/2019
-6.88	11	5	5/1/2013	4/1/2014
-6.41	7	8	1/1/2012	8/1/2012
-4.48	4	1	4/1/2011	8/1/2011
-4.17	3	1	12/1/2010	3/1/2011
-3.13	2	1	9/1/2010	11/1/2010
-2.98	6	7	2/1/2009	8/1/2009
-2.49	1	4	4/1/2008	5/1/2008
-2.47	3	1	5/1/2010	8/1/2010
-2.01	1	2	9/1/2014	10/1/2014
-2.01	1	5	4/1/2006	5/1/2006
-1.76	2	2	9/1/2011	11/1/2011
-1.76	1	1	1/1/2015	2/1/2015
-1.57	2	1	4/1/2015	6/1/2015
-1.14	1	1	11/1/2007	12/1/2007
-0.62	1	1	1/1/2007	2/1/2007
-0.58	1	1	2/1/2008	3/1/2008
-0.15	1	1	3/1/2010	4/1/2010
-0.09	1	1	10/1/2006	11/1/2006

Consecutive Gains

Run-up	Length (Mos.)	Start	End
25.33	9	3/1/2007	11/1/2007
10.44	3	5/1/2018	7/1/2018
9.90	1	9/1/2011	9/1/2011
9.06	1	4/1/2011	4/1/2011
8.49	9	6/1/2008	2/1/2009
7.30	3	12/1/2017	2/1/2018
6.98	1	9/1/2014	9/1/2014
6.90	2	7/1/2015	8/1/2015
6.74	2	4/1/2013	5/1/2013
6.06	5	2/1/2017	6/1/2017
5.11	2	9/1/2012	10/1/2012
4.61	2	4/1/2019	5/1/2019
4.61	3	11/1/2014	1/1/2015
4.03	3	2/1/2006	4/1/2006
3.85	2	7/1/2019	8/1/2019
3.59	1	12/1/2010	12/1/2010
3.27	1	9/1/2010	9/1/2010
3.24	3	1/1/2010	3/1/2010
3.01	1	10/1/2013	10/1/2013
3.01	3	9/1/2009	11/1/2009
2.90	1	5/1/2014	5/1/2014
2.75	2	3/1/2015	4/1/2015
2.68	2	12/1/2006	1/1/2007
2.30	1	7/1/2011	7/1/2011
1.98	2	12/1/2011	1/1/2012
1.95	3	6/1/2006	8/1/2006
1.94	2	1/1/2008	2/1/2008
1.93	1	7/1/2014	7/1/2014
1.86	1	10/1/2006	10/1/2006
1.74	1	11/1/2016	11/1/2016
1.50	1	12/1/2012	12/1/2012
1.28	2	4/1/2012	5/1/2012
1.13	1	3/1/2014	3/1/2014
0.86	2	12/1/2013	1/1/2014
0.85	1	2/1/2013	2/1/2013
0.73	1	11/1/2015	11/1/2015
0.64	1	5/1/2010	5/1/2010
0.59	1	4/1/2008	4/1/2008
0.31	2	6/1/2009	7/1/2009
0.16	1	1/1/2016	1/1/2016
0.15	1	10/1/2018	10/1/2018
0.07	1	4/1/2009	4/1/2009

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-12.96	5	11/1/2018	3/1/2019
-9.91	5	7/1/2017	11/1/2017
-9.41	4	9/1/2019	12/1/2019
-8.13	9	2/1/2016	10/1/2016
-6.92	2	3/1/2018	4/1/2018
-6.53	4	6/1/2013	9/1/2013
-4.90	3	6/1/2012	8/1/2012
-4.73	2	8/1/2018	9/1/2018
-4.17	3	1/1/2011	3/1/2011
-3.37	2	5/1/2011	6/1/2011
-3.37	1	8/1/2011	8/1/2011
-3.13	2	10/1/2010	11/1/2010
-2.83	2	2/1/2012	3/1/2012
-2.49	1	5/1/2008	5/1/2008
-2.47	3	6/1/2010	8/1/2010
-2.44	1	6/1/2019	6/1/2019
-2.37	1	8/1/2014	8/1/2014
-2.01	1	10/1/2014	10/1/2014
-2.01	1	5/1/2006	5/1/2006
-1.88	1	11/1/2013	11/1/2013
-1.79	1	2/1/2014	2/1/2014
-1.76	2	10/1/2011	11/1/2011
-1.76	1	2/1/2015	2/1/2015
-1.61	1	6/1/2014	6/1/2014
-1.61	1	4/1/2014	4/1/2014
-1.61	1	5/1/2009	5/1/2009
-1.57	2	5/1/2015	6/1/2015
-1.34	1	12/1/2015	12/1/2015
-1.17	1	3/1/2009	3/1/2009
-1.14	1	12/1/2009	12/1/2009
-1.14	1	12/1/2007	12/1/2007
-0.85	2	9/1/2015	10/1/2015
-0.73	2	12/1/2016	1/1/2017
-0.62	1	2/1/2007	2/1/2007
-0.60	1	8/1/2009	8/1/2009
-0.60	1	9/1/2006	9/1/2006
-0.58	1	3/1/2008	3/1/2008
-0.56	1	1/1/2013	1/1/2013
-0.37	1	11/1/2012	11/1/2012
-0.24	1	3/1/2013	3/1/2013
-0.15	1	4/1/2010	4/1/2010
-0.09	1	11/1/2006	11/1/2006

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	167.00	165.00	162.00	156.00	150.00	144.00	132.00	120.00	108.00
Percent Profitable	52.69	61.82	66.05	71.15	72.00	80.56	81.06	87.50	87.04
Average Period Return	0.25	0.80	1.72	3.49	5.71	7.51	10.86	14.66	19.41
Average Gain	1.84	3.18	4.70	7.12	10.01	11.30	15.44	18.53	23.24
Average Loss	-1.52	-3.04	-4.07	-5.45	-5.34	-8.20	-8.73	-12.45	-6.31
Best Period	9.90	14.52	19.63	27.89	31.89	35.21	42.47	44.14	57.73
Worst Period	-6.05	-10.09	-13.84	-14.25	-19.33	-16.18	-17.11	-21.91	-18.18
Standard Deviation	2.35	4.05	5.70	8.19	10.19	11.71	13.29	14.73	16.46
Gain Standard Deviation	1.96	2.81	4.04	6.35	8.45	9.52	10.07	11.03	13.93
Loss Standard Deviation	1.19	2.50	3.65	4.53	4.16	4.73	4.82	6.37	4.88
Sharpe Ratio (1%)	0.07	0.14	0.21	0.30	0.41	0.47	0.59	0.72	0.87
Average Gain / Average Loss	1.21	1.05	1.15	1.31	1.87	1.38	1.77	1.49	3.68
Profit / Loss Ratio	1.35	1.69	2.25	3.22	4.82	5.71	7.57	10.42	24.72
Downside Deviation (10%)	1.56	3.06	4.41	6.34	7.58	9.29	12.03	14.65	16.40
Downside Deviation (5%)	1.37	2.55	3.39	4.22	4.22	4.96	5.53	6.26	4.46
Downside Deviation (0%)	1.32	2.42	3.17	3.79	3.56	4.16	4.32	4.91	2.83
Sortino Ratio (10%)	-0.10	-0.14	-0.17	-0.24	-0.25	-0.29	-0.41	-0.47	-0.50
Sortino Ratio (5%)	0.12	0.22	0.36	0.59	1.00	1.11	1.42	1.69	3.21
Sortino Ratio (0%)	0.19	0.33	0.54	0.92	1.60	1.81	2.52	2.98	6.85

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Discretionary Trader Index	Month	1	7.02	6/2018
IASG CTA Index	Month	3	7.02	6/2018
Discretionary Trader Index	Month	6	3.66	8/2015
Discretionary Trader Index	Month	9	3.13	12/2014
Discretionary Trader Index	Month	7	4.58	5/2013
Discretionary Trader Index	Month	3	4.90	9/2012
IASG CTA Index	Month	9	4.90	9/2012
Discretionary Trader Index	Month	5	9.84	9/2011
Discretionary Trader Index	Month	8	7.88	4/2011
Discretionary Trader Index	Month	8	1.87	9/2008
Discretionary Trader Index	Month	8	3.15	11/2007
Discretionary Trader Index	Month	8	3.42	8/2007
Discretionary Trader Index	Month	10	1.13	5/2007
Discretionary Trader Index	Month	8	2.27	4/2007
Discretionary Trader Index	Month	7	1.13	3/2007
Discretionary Trader Index	Month	8	2.48	12/2006
Discretionary Trader Index	Month	9	1.48	7/2006

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

DISCRETIONARY TRADER INDEX

JUNE
2018

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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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Blends 27
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Watchlists 23

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Mesirow Financial Investment Management, Inc. : Asian Markets Alpha Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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