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

Year-to-Date: 7.77%
Jun Performance: -2.44%

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

Annualized Vol: 8.10%
Sharpe (RFR=1%): 0.32
CAROR: 3.32%

Assets: $ 34.0M
Worst DD: -19.85
S&P Correlation: -0.13

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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	Jun	Qtr	YTD	1yr	3yr	5yr	10yr	Since 2/2006
Asian Markets Alpha Program	-2.44	2.05	-7.77	-14.25	-11.74	-5.20	10.90	54.96
S&P 500	6.89	3.78	17.34	8.21	38.73	48.55	216.69	127.33
+/- S&P 500	-9.33	-1.73	-25.11	-22.46	-50.47	-53.75	-205.79	-72.37

Strategy Description

Summary

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

The ASIAN MARKETS ALPHA STRATEGY has been designed and is managed by three long-term industry professionals. The objective is to identify potential medium and long-term moves in emerging market currency pairs using a series of predetermined parameters. Positions are established when all the parameters match. Once trades are constructed, strict stop loss levels and profit objectives are entered. Positions are protected by strict stop losses. The system is designed to perform in trendless as well as trending markets, and in both bullish and bearish Emerging Market conditions. The process is systematic in nature, but unlike the Developed Markets Strategy, it employs additional elements that tailor the strategy to the emerging markets. Hammond Black Limited manages the currency strategies and employs a fundamental macro overlay on top of the systematic system to rank and weight emerging market currency attractiveness. Additionally we employ a proprietary global volatility indicator that provides a forward looking measurement of potential risk aversion, a significant leading indicator of emerging market performance. This indicator is used to proactively weight the portfolio accordingly.

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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:

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Average Gain:
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Risk
Standard Deviation:
Worst Loss:
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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
-19.85	43	-	8/1/2015	3/1/2019
-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
3.59	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
-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	161.00	159.00	156.00	150.00	144.00	138.00	126.00	114.00	102.00
Percent Profitable	53.42	62.26	66.67	74.00	75.00	84.06	84.92	92.11	92.16
Average Period Return	0.30	0.90	1.81	4.10	6.40	8.28	11.89	16.35	21.09
Average Gain	1.84	3.19	4.74	7.12	10.01	11.30	15.44	18.53	23.24
Average Loss	-1.47	-2.89	-4.07	-4.50	-4.41	-7.69	-8.11	-9.11	-4.12
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	-12.41	-16.18	-17.11	-15.54	-7.47
Standard Deviation	2.34	4.00	5.74	7.75	9.77	11.34	12.70	13.05	15.29
Gain Standard Deviation	1.97	2.84	4.08	6.35	8.45	9.52	10.07	11.03	13.93
Loss Standard Deviation	1.19	2.44	3.72	4.06	3.37	5.10	5.07	5.71	2.28
Sharpe Ratio (1%)	0.09	0.16	0.23	0.40	0.50	0.55	0.70	0.94	1.05
Average Gain / Average Loss	1.25	1.10	1.17	1.58	2.27	1.47	1.90	2.03	5.64
Profit / Loss Ratio	1.44	1.82	2.33	4.50	6.81	7.75	10.72	23.72	66.27
Downside Deviation (10%)	1.52	2.95	4.39	5.53	6.71	8.48	10.85	12.05	14.25
Downside Deviation (5%)	1.33	2.44	3.39	3.47	3.40	4.37	4.75	4.04	2.68
Downside Deviation (0%)	1.29	2.32	3.17	3.07	2.76	3.66	3.69	2.97	1.30
Sortino Ratio (10%)	-0.07	-0.11	-0.15	-0.16	-0.18	-0.23	-0.36	-0.43	-0.46
Sortino Ratio (5%)	0.16	0.27	0.39	0.89	1.44	1.44	1.87	3.04	5.97
Sortino Ratio (0%)	0.23	0.39	0.57	1.33	2.32	2.26	3.22	5.50	16.23

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 Alpha Programme	5.48%
Extended Markets Alpha Program	3.58%
Asian Markets Alpha Program	3.32%

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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

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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