Millburn Corporation : Diversified Program

archived programs
Year-to-Date
1.64%
Jun Performance
1.64%
Min Investment
$ 20,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
17.39%
Sharpe (RFR=1%)
0.79
CAROR
14.16%
Assets
$ 4,231.0M
Worst DD
-25.65
S&P Correlation
-0.02

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
2/1977
Diversified Program 1.64 0.36 1.64 7.47 6.91 36.04 46.58 27,415.23
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 2,816.60
+/- S&P 500 -5.25 -3.43 -15.70 -0.74 -31.83 -12.51 -170.11 24,598.63

Strategy Description

Summary

Millburn Diversified Program is a diversified global program designed to capture movements in over 100 global futures and currency markets. MDP, which began trading in 1977, has historically had a higher weighting to financial markets than other Millburn programs. We employ a systematic... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 20,000k
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
1000 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
Worst Peak-to-Trough
0%
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
0%
Systematic
100.00%

Strategy

Composition

Currency Futures
30.00%
Stock Indices
24.00%
Interest Rates
20.00%
Energy
9.00%
Other
9.00%
Precious Metals
8.00%
Composition Pie Chart

Summary

Millburn Diversified Program is a diversified global program designed to capture movements in over 100 global futures and currency markets. MDP, which began trading in 1977, has historically had a higher weighting to financial markets than other Millburn programs. We employ a systematic approach utilizing both long- term and short- term strategies to identify opportunities in both rising and falling market environments. Trading strategies encompass both trend following and non-trend models, including pattern recognition, event, intraday, fundamental and relative value. Our strong commitment to research innovation and risk management is the foundation to achieve an appropriate balance between risk and opportunity.

Investment Strategy

Trading and risk management in each market is controlled by a multi-tiered set of systems. The first stage involves the selection and combination of medium-to long-term directional models. These models are designed to detect changes in trends over different time-frames. The next element of Millburn's trading methodology is the historical volatility overlay. This overlay adjusts the size, but not the direction, of each position. The goal of the historical volatility overlay is to keep overall portfolio risk and risk in each market in the designed range.

Once chosen, these systems work together to signal which markets to trade, how large a position to take, and whether to be long or short the instrument in question. After systems are chosen for use in each market, portfolios of markets are constructed with market allocations determined by analyzing historical profitability, liquidity, and desired degrees of concentration and diversification. Also, risk parameters are reviewed to determine the maximum gearing to be allowed in each portfolio.

   

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

Reward
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:
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
-25.65 5 9 5/1/1989 10/1/1989
-25.36 9 12 3/1/1986 12/1/1986
-22.94 12 17 8/1/2003 8/1/2004
-22.84 28 29 4/1/2011 8/1/2013
-17.28 13 5 6/1/1999 7/1/2000
-16.29 3 5 10/1/1978 1/1/1979
-15.14 13 2 3/1/2001 4/1/2002
-14.81 5 17 2/1/2009 7/1/2009
-13.84 1 3 3/1/1978 4/1/1978
-13.45 2 6 6/1/2007 8/1/2007
-13.26 2 2 7/1/1985 9/1/1985
-10.83 4 2 12/1/1987 4/1/1988
-10.71 4 8 4/1/2006 8/1/2006
-10.58 1 8 1/1/1996 2/1/1996
-10.22 2 3 9/1/2002 11/1/2002
-9.97 4 2 12/1/1991 4/1/1992
-9.93 4 2 7/1/1984 11/1/1984
-9.81 2 3 7/1/1977 9/1/1977
-9.58 2 4 6/1/1991 8/1/1991
-9.26 2 3 12/1/1993 2/1/1994
-8.80 9 5 7/1/1997 4/1/1998
-8.49 4 10 10/1/2017 2/1/2018
-8.32 4 1 2/1/1985 6/1/1985
-8.25 1 2 2/1/2003 3/1/2003
-8.24 1 2 6/1/1982 7/1/1982
-7.69 1 2 11/1/1981 12/1/1981
-7.69 1 4 6/1/1988 7/1/1988
-7.37 2 3 6/1/1994 8/1/1994
-7.34 1 1 2/1/1981 3/1/1981
-7.06 1 4 7/1/1993 8/1/1993
-7.00 2 4 10/1/1983 12/1/1983
-6.97 2 2 6/1/2008 8/1/2008
-5.87 2 1 8/1/1981 10/1/1981
-5.62 1 5 12/1/1990 1/1/1991
-5.46 6 3 1/1/1983 7/1/1983
-4.83 1 2 4/1/1977 5/1/1977
-4.77 2 3 2/1/1997 4/1/1997
-4.61 2 4 4/1/2017 6/1/2017
-4.18 2 1 9/1/1982 11/1/1982
-4.17 3 1 11/1/1988 2/1/1989
-4.13 1 1 5/1/1984 6/1/1984
-3.97 1 2 12/1/1998 1/1/1999
-3.82 4 4 7/1/2016 11/1/2016
-3.68 4 1 9/1/1992 1/1/1993
-3.49 1 2 5/1/2003 6/1/2003
-3.42 2 1 4/1/1993 6/1/1993
-3.24 2 2 2/1/2008 4/1/2008
-2.99 1 1 4/1/1999 5/1/1999
-2.93 1 1 12/1/1994 1/1/1995
-2.55 1 1 2/1/2011 3/1/2011
-2.30 2 1 7/1/1980 9/1/1980
-2.23 4 2 6/1/1995 10/1/1995
-2.21 1 - 4/1/2019 5/1/2019
-2.14 2 2 2/1/2016 4/1/2016
-2.05 1 2 12/1/2018 1/1/2019
-1.98 2 1 9/1/1998 11/1/1998
-1.84 1 1 3/1/1980 4/1/1980
-1.32 1 1 1/1/2001 2/1/2001
-1.28 1 1 12/1/2010 1/1/2011
-1.03 1 1 3/1/1989 4/1/1989
-0.85 1 1 4/1/1995 5/1/1995
-0.82 1 1 1/1/2006 2/1/2006
-0.75 1 1 6/1/1979 7/1/1979
-0.53 1 1 2/1/1993 3/1/1993
-0.30 1 2 3/1/1982 4/1/1982
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Consecutive Gains

Run-up Length (Mos.) Start End
82.16 8 8/1/1979 3/1/1980
55.68 6 10/1/1985 3/1/1986
46.16 5 10/1/1980 2/1/1981
39.27 7 6/1/1990 12/1/1990
38.33 5 4/1/1981 8/1/1981
38.00 4 12/1/1977 3/1/1978
35.95 5 5/1/2002 9/1/2002
34.56 6 9/1/1996 2/1/1997
33.17 5 5/1/1992 9/1/1992
30.18 4 1/1/1987 4/1/1987
29.55 6 11/1/1989 4/1/1990
29.06 4 7/1/1978 10/1/1978
28.34 5 2/1/1979 6/1/1979
27.34 4 10/1/2000 1/1/2001
27.12 3 2/1/1995 4/1/1995
24.61 2 5/1/1988 6/1/1988
24.42 3 1/1/1982 3/1/1982
24.10 3 12/1/1984 2/1/1985
21.09 3 10/1/1987 12/1/1987
20.61 4 9/1/2004 12/1/2004
20.53 4 3/1/2007 6/1/2007
19.07 6 9/1/2008 2/1/2009
18.23 3 12/1/2002 2/1/2003
18.04 2 11/1/1991 12/1/1991
17.62 1 7/1/1984 7/1/1984
15.98 1 5/1/1989 5/1/1989
15.38 3 11/1/1995 1/1/1996
15.26 5 1/1/1984 5/1/1984
14.67 5 5/1/2005 9/1/2005
13.91 4 9/1/1994 12/1/1994
13.07 1 7/1/1985 7/1/1985
12.57 2 9/1/2007 10/1/2007
12.24 3 11/1/2005 1/1/2006
12.10 2 8/1/1998 9/1/1998
12.02 3 2/1/2010 4/1/2010
11.99 2 7/1/1986 8/1/1986
11.79 4 11/1/2015 2/1/2016
11.27 5 9/1/2006 1/1/2007
11.24 2 12/1/1982 1/1/1983
10.44 3 8/1/2010 10/1/2010
10.39 3 5/1/1980 7/1/1980
10.34 3 2/1/1999 4/1/1999
10.26 2 8/1/1982 9/1/1982
10.23 2 5/1/1994 6/1/1994
10.10 1 5/1/1978 5/1/1978
10.04 3 12/1/2007 2/1/2008
9.78 2 11/1/1993 12/1/1993
9.68 3 5/1/1997 7/1/1997
9.35 2 4/1/2003 5/1/2003
9.33 3 2/1/1977 4/1/1977
8.80 1 3/1/2001 3/1/2001
8.75 3 4/1/2014 6/1/2014
8.74 3 5/1/2016 7/1/2016
8.71 2 5/1/1982 6/1/1982
8.66 4 8/1/1988 11/1/1988
8.66 4 8/1/2014 11/1/2014
8.51 5 8/1/2018 12/1/2018
8.22 3 12/1/2003 2/1/2004
7.95 2 5/1/2008 6/1/2008
7.93 1 3/1/1994 3/1/1994
7.76 2 12/1/1997 1/1/1998
7.66 2 6/1/1977 7/1/1977
7.37 1 11/1/1981 11/1/1981
7.16 3 11/1/1999 1/1/2000
7.09 1 3/1/1989 3/1/1989
6.65 2 3/1/2006 4/1/2006
6.64 2 5/1/1998 6/1/1998
6.59 2 3/1/1996 4/1/1996
6.08 1 4/1/2011 4/1/2011
5.89 2 8/1/2009 9/1/2009
5.79 3 1/1/2015 3/1/2015
5.75 1 12/1/2010 12/1/2010
5.65 1 6/1/1999 6/1/1999
5.48 1 2/1/1993 2/1/1993
5.43 1 7/1/2015 7/1/2015
5.38 2 6/1/1996 7/1/1996
5.25 1 8/1/1983 8/1/1983
5.15 1 4/1/1993 4/1/1993
5.07 1 11/1/2009 11/1/2009
4.97 3 2/1/1991 4/1/1991
4.86 3 2/1/2017 4/1/2017
4.77 1 7/1/1993 7/1/1993
4.49 2 3/1/2013 4/1/2013
4.47 1 2/1/2014 2/1/2014
4.46 3 11/1/2012 1/1/2013
4.44 1 10/1/1977 10/1/1977
4.44 3 9/1/2013 11/1/2013
4.40 4 3/1/2018 6/1/2018
4.40 3 2/1/2019 4/1/2019
4.38 2 7/1/2017 8/1/2017
4.37 1 7/1/2012 7/1/2012
4.23 1 9/1/1984 9/1/1984
4.19 2 12/1/2001 1/1/2002
4.06 1 10/1/2001 10/1/2001
3.95 1 7/1/2011 7/1/2011
3.82 2 4/1/2012 5/1/2012
3.79 2 7/1/2003 8/1/2003
3.51 1 8/1/2000 8/1/2000
3.30 1 9/1/2015 9/1/2015
3.29 1 8/1/2001 8/1/2001
3.27 1 10/1/2017 10/1/2017
3.20 1 1/1/1989 1/1/1989
2.63 1 11/1/1992 11/1/1992
2.60 1 12/1/1998 12/1/1998
2.51 1 2/1/2011 2/1/2011
2.10 1 10/1/1983 10/1/1983
1.98 1 6/1/1991 6/1/1991
1.96 2 8/1/1999 9/1/1999
1.87 1 2/1/1988 2/1/1988
1.84 1 5/1/2001 5/1/2001
1.83 2 4/1/1983 5/1/1983
1.64 1 6/1/2019 6/1/2019
1.48 1 8/1/1995 8/1/1995
1.46 1 7/1/1987 7/1/1987
1.17 1 3/1/2002 3/1/2002
1.17 1 3/1/1998 3/1/1998
1.14 1 12/1/2016 12/1/2016
1.11 1 9/1/1993 9/1/1993
1.10 1 9/1/1997 9/1/1997
1.07 1 9/1/1991 9/1/1991
1.02 1 9/1/2016 9/1/2016
1.00 1 6/1/1995 6/1/1995
0.83 1 4/1/2000 4/1/2000
0.57 1 12/1/2011 12/1/2011
0.27 1 2/1/2005 2/1/2005
0.08 1 7/1/2013 7/1/2013
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Consecutive Losses

Run-up Length (Mos.) Start End
-25.65 5 6/1/1989 10/1/1989
-23.22 4 9/1/1986 12/1/1986
-21.12 6 3/1/2004 8/1/2004
-16.29 3 11/1/1978 1/1/1979
-14.81 5 3/1/2009 7/1/2009
-13.84 1 4/1/1978 4/1/1978
-13.45 2 7/1/2007 8/1/2007
-13.26 2 8/1/1985 9/1/1985
-13.19 3 4/1/1986 6/1/1986
-11.27 2 5/1/2013 6/1/2013
-11.10 1 10/1/1999 10/1/1999
-10.71 4 5/1/2006 8/1/2006
-10.58 1 2/1/1996 2/1/1996
-10.22 2 10/1/2002 11/1/2002
-9.97 4 1/1/1992 4/1/1992
-9.81 2 8/1/1977 9/1/1977
-9.73 3 9/1/2003 11/1/2003
-9.58 2 7/1/1991 8/1/1991
-9.53 3 5/1/2010 7/1/2010
-9.26 2 1/1/1994 2/1/1994
-8.49 4 11/1/2017 2/1/2018
-8.44 2 5/1/2011 6/1/2011
-8.32 4 3/1/1985 6/1/1985
-8.25 1 3/1/2003 3/1/2003
-8.24 1 7/1/1982 7/1/1982
-7.99 1 1/1/1988 1/1/1988
-7.76 1 11/1/2001 11/1/2001
-7.69 1 7/1/1988 7/1/1988
-7.69 1 12/1/1981 12/1/1981
-7.62 1 8/1/1984 8/1/1984
-7.53 3 5/1/2000 7/1/2000
-7.53 2 3/1/2005 4/1/2005
-7.37 2 7/1/1994 8/1/1994
-7.34 1 3/1/1981 3/1/1981
-7.09 1 8/1/1997 8/1/1997
-7.06 1 8/1/1993 8/1/1993
-7.02 1 4/1/1998 4/1/1998
-7.00 2 11/1/1983 12/1/1983
-6.97 2 7/1/2008 8/1/2008
-6.93 2 8/1/1987 9/1/1987
-6.88 2 6/1/2001 7/1/2001
-6.81 3 4/1/2015 6/1/2015
-6.57 3 1/1/2012 3/1/2012
-6.52 4 8/1/2011 11/1/2011
-6.45 2 10/1/1984 11/1/1984
-6.12 3 8/1/2012 10/1/2012
-5.87 2 9/1/1981 10/1/1981
-5.62 1 1/1/1991 1/1/1991
-5.60 2 2/1/2000 3/1/2000
-5.50 1 5/1/1996 5/1/1996
-5.38 2 6/1/1983 7/1/1983
-5.21 1 5/1/1990 5/1/1990
-4.94 1 4/1/2001 4/1/2001
-4.94 2 5/1/1987 6/1/1987
-4.86 2 3/1/1988 4/1/1988
-4.83 1 5/1/1977 5/1/1977
-4.77 2 3/1/1997 4/1/1997
-4.63 1 7/1/1998 7/1/1998
-4.61 2 5/1/2017 6/1/2017
-4.26 2 12/1/2009 1/1/2010
-4.20 1 2/1/2002 2/1/2002
-4.18 2 10/1/1982 11/1/1982
-4.13 1 6/1/1984 6/1/1984
-3.97 1 1/1/1999 1/1/1999
-3.83 1 2/1/1989 2/1/1989
-3.81 2 12/1/2013 1/1/2014
-3.55 2 10/1/2016 11/1/2016
-3.49 1 6/1/2003 6/1/2003
-3.48 1 1/1/2005 1/1/2005
-3.44 1 12/1/1988 12/1/1988
-3.42 2 5/1/1993 6/1/1993
-3.41 1 6/1/2012 6/1/2012
-3.38 1 4/1/2002 4/1/2002
-3.25 1 7/1/1999 7/1/1999
-3.25 1 10/1/1992 10/1/1992
-3.24 2 3/1/2008 4/1/2008
-3.23 1 11/1/2007 11/1/2007
-3.17 1 8/1/2015 8/1/2015
-3.00 2 12/1/1992 1/1/1993
-2.99 1 5/1/1999 5/1/1999
-2.93 1 10/1/2009 10/1/2009
-2.93 1 1/1/1995 1/1/1995
-2.84 1 10/1/2005 10/1/2005
-2.81 1 11/1/2010 11/1/2010
-2.73 1 2/1/2007 2/1/2007
-2.70 1 9/1/2000 9/1/2000
-2.69 1 9/1/2001 9/1/2001
-2.55 1 7/1/2018 7/1/2018
-2.55 1 3/1/2011 3/1/2011
-2.47 1 2/1/1998 2/1/1998
-2.32 1 8/1/2013 8/1/2013
-2.30 2 8/1/1980 9/1/1980
-2.21 1 5/1/2019 5/1/2019
-2.20 1 10/1/2015 10/1/2015
-2.14 2 3/1/2016 4/1/2016
-2.12 1 11/1/1977 11/1/1977
-2.06 1 4/1/1994 4/1/1994
-2.05 1 1/1/2019 1/1/2019
-2.04 1 7/1/1995 7/1/1995
-1.98 2 10/1/1998 11/1/1998
-1.88 2 2/1/1983 3/1/1983
-1.84 1 4/1/1980 4/1/1980
-1.79 2 10/1/1997 11/1/1997
-1.65 2 9/1/1995 10/1/1995
-1.45 1 9/1/2017 9/1/2017
-1.32 1 2/1/2001 2/1/2001
-1.30 1 8/1/1996 8/1/1996
-1.29 1 8/1/2016 8/1/2016
-1.28 1 1/1/2011 1/1/2011
-1.21 1 6/1/1978 6/1/1978
-1.12 1 12/1/2014 12/1/2014
-1.04 1 9/1/1983 9/1/1983
-1.03 1 4/1/1989 4/1/1989
-1.00 1 7/1/2014 7/1/2014
-0.85 1 5/1/1995 5/1/1995
-0.82 1 2/1/2006 2/1/2006
-0.80 1 2/1/2013 2/1/2013
-0.80 1 5/1/1991 5/1/1991
-0.75 1 7/1/1979 7/1/1979
-0.53 1 3/1/1993 3/1/1993
-0.38 1 1/1/2017 1/1/2017
-0.30 1 4/1/1982 4/1/1982
-0.27 1 10/1/1993 10/1/1993
-0.10 1 3/1/2014 3/1/2014
-0.10 1 10/1/1991 10/1/1991
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods509.00507.00504.00498.00492.00486.00474.00462.00450.00
Percent Profitable59.3366.2772.6280.5286.7989.9293.0494.5997.56
Average Period Return1.233.737.5715.9325.0335.4560.1786.53113.08
Average Gain4.358.0712.5021.3529.9640.2765.1991.77116.14
Average Loss-3.32-4.80-5.50-6.48-7.36-7.56-6.97-4.94-8.87
Best Period20.4637.2663.05116.74176.05260.25398.99549.84736.65
Worst Period-14.13-22.68-21.71-22.94-22.57-17.75-17.86-10.33-15.90
Standard Deviation5.028.7912.8421.0130.4343.6275.56110.23138.68
Gain Standard Deviation3.697.3211.4219.7929.6643.3975.97111.09139.04
Loss Standard Deviation2.673.754.614.844.395.015.473.284.72
Sharpe Ratio (1%)0.230.400.550.710.770.770.760.750.78
Average Gain / Average Loss1.311.682.273.294.075.329.3518.5913.09
Profit / Loss Ratio1.913.316.0313.6226.7547.49124.98324.94522.47
Downside Deviation (10%)2.924.124.835.575.896.236.977.498.07
Downside Deviation (5%)2.763.653.953.933.593.433.012.252.31
Downside Deviation (0%)2.723.533.753.563.112.872.321.371.55
Sortino Ratio (10%)0.280.611.061.962.964.046.378.6810.59
Sortino Ratio (5%)0.420.951.793.806.559.7619.0136.6646.78
Sortino Ratio (0%)0.451.062.024.478.0512.3425.8963.1772.72

Top Performer Badges

Index Award Type Rank Performance Period
Diversified Trader Index Month 10 2.72 3/2007
Diversified Trader Index Month 6 2.12 1/2002
Systematic Trader Index Month 8 2.12 1/2002
Systematic Trader Index Month 7 4.79 10/2000
IASG CTA Index Month 9 4.79 10/2000
Diversified Trader Index Month 9 4.79 10/2000
IASG CTA Index Month 8 5.65 6/1999
Diversified Trader Index Month 6 5.65 6/1999
Systematic Trader Index Month 4 5.65 6/1999
Systematic Trader Index Month 9 2.37 6/1998
IASG CTA Index 5 Year Rolling 9 128.67 1991 - 1996
Systematic Trader Index Month 4 1.22 12/1996
Diversified Trader Index Month 7 1.22 12/1996
IASG CTA Index Month 8 1.22 12/1996
Systematic Trader Index Month 4 1.19 7/1996
Diversified Trader Index Month 4 1.19 7/1996
IASG CTA Index Month 5 1.19 7/1996
Systematic Trader Index Month 5 4.14 6/1996
Diversified Trader Index Month 7 4.14 6/1996
IASG CTA Index Month 8 4.14 6/1996
Systematic Trader Index Month 7 7.16 1/1996
IASG CTA Index Month 9 7.16 1/1996
Diversified Trader Index Month 9 7.16 1/1996
IASG CTA Index Sharpe 8 1.11 1994 - 1995
IASG CTA Index 5 Year Rolling 5 107.86 1990 - 1995
Diversified Trader Index Month 9 -0.18 10/1995
Systematic Trader Index Month 9 -0.18 10/1995
IASG CTA Index Month 10 -0.18 10/1995
Systematic Trader Index Month 10 -2.04 7/1995
IASG CTA Index Month 10 1.00 6/1995
Systematic Trader Index Month 9 1.00 6/1995
Diversified Trader Index Month 7 1.00 6/1995
IASG CTA Index 5 Year Rolling 7 139.88 1989 - 1994
Diversified Trader Index Month 8 2.29 12/1994
Systematic Trader Index Month 8 2.29 12/1994
IASG CTA Index Sharpe 6 1.09 1993 - 1994
IASG CTA Index Month 10 2.29 12/1994
IASG CTA Index Year Rolling 10 11.55 1993 - 1994
IASG CTA Index 3 Year Rolling 10 47.94 1991 - 1994
Diversified Trader Index Month 6 2.78 10/1994
Systematic Trader Index Month 6 2.78 10/1994
IASG CTA Index Month 8 2.78 10/1994
Systematic Trader Index Month 8 3.57 9/1994
IASG CTA Index Month 9 3.57 9/1994
Diversified Trader Index Month 9 3.57 9/1994
Diversified Trader Index Month 9 -1.64 2/1994
IASG CTA Index Month 10 -1.64 2/1994
Systematic Trader Index Month 9 -1.64 2/1994
Systematic Trader Index Month 9 8.23 12/1993
IASG CTA Index 5 Year Rolling 10 122.22 1988 - 1993
IASG CTA Index 3 Year Rolling 8 43.25 1990 - 1993
Diversified Trader Index Month 7 1.11 9/1993
IASG CTA Index Month 8 1.11 9/1993
Systematic Trader Index Month 6 1.11 9/1993
Systematic Trader Index Month 5 -0.44 12/1992
IASG CTA Index 5 Year Rolling 5 113.74 1987 - 1992
IASG CTA Index Sharpe 4 1.13 1991 - 1992
IASG CTA Index Year Rolling 4 18.52 1991 - 1992
IASG CTA Index 3 Year Rolling 7 92.18 1989 - 1992
IASG CTA Index Month 9 -0.44 12/1992
Diversified Trader Index Month 8 -0.44 12/1992
IASG CTA Index Month 8 2.63 11/1992
Systematic Trader Index Month 7 2.63 11/1992
Diversified Trader Index Month 7 2.63 11/1992
IASG CTA Index Month 8 0.04 9/1992
Diversified Trader Index Month 8 0.04 9/1992
Systematic Trader Index Month 6 0.04 9/1992
Systematic Trader Index Month 10 6.92 8/1992
IASG CTA Index Month 4 13.93 6/1992
Systematic Trader Index Month 4 13.93 6/1992
Diversified Trader Index Month 4 13.93 6/1992
Systematic Trader Index Month 6 1.05 5/1992
Diversified Trader Index Month 6 1.05 5/1992
IASG CTA Index Month 7 1.05 5/1992
IASG CTA Index Month 9 -0.47 4/1992
Systematic Trader Index Month 8 -0.47 4/1992
Diversified Trader Index Month 8 -0.47 4/1992
Systematic Trader Index Month 10 -0.46 3/1992
IASG CTA Index Month 10 -0.46 3/1992
Diversified Trader Index Month 9 -0.46 3/1992
Systematic Trader Index Month 5 -1.05 2/1992
IASG CTA Index Month 6 -1.05 2/1992
Diversified Trader Index Month 4 -1.05 2/1992
Systematic Trader Index Month 10 -8.16 1/1992
Diversified Trader Index Month 10 -8.16 1/1992
IASG CTA Index 3 Year Rolling 10 67.56 1988 - 1991
IASG CTA Index Year Rolling 9 8.01 1990 - 1991
IASG CTA Index 5 Year Rolling 5 155.18 1986 - 1991
IASG CTA Index Sharpe 9 1.14 1990 - 1991
Diversified Trader Index Month 10 -0.10 10/1991
Diversified Trader Index Month 10 -3.84 7/1991
Systematic Trader Index Month 10 1.98 6/1991
IASG CTA Index Month 8 -0.80 5/1991
Systematic Trader Index Month 6 -0.80 5/1991
Diversified Trader Index Month 6 -0.80 5/1991
IASG CTA Index Month 5 0.16 4/1991
Diversified Trader Index Month 4 0.16 4/1991
Systematic Trader Index Month 2 0.16 4/1991
Systematic Trader Index Month 7 3.05 3/1991
IASG CTA Index Month 8 3.05 3/1991

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