Mobius Asset Management : Custom Trading Program

Year-to-Date: N / A
Feb Performance: -0.40%

Min Investment: $ 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 14.71%
Sharpe (RFR=1%): 0.23
CAROR: 3.46%

Assets: $ 250k
Worst DD: -47.54
S&P Correlation: -0.16

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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	Feb	Qtr	2019	1yr	3yr	5yr	10yr	Since 1/2002
Custom Trading Program	-0.40	-0.25	-	-10.46	-29.20	-45.00	-23.10	61.88
S&P 500	-0.41	-7.12	-	-8.19	27.57	45.56	50.85	70.94
+/- S&P 500	0.01	6.87	-	-2.27	-56.77	-90.57	-73.96	-9.05

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 100k
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: Daily
Redemption Frequency: Daily
Investor Requirements: Any Investor
Lock-up Period: 0

Trading

Trading Frequency: 4800 RT/YR/$M
Avg. Margin-to-Equity: 0%
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: 90.00%
1-30 Days: 10.00%
Intraday: 0%

Summary

The Mobius Custom Trading Program is technical in nature and designed to detect early trend development. Markets are traded using a trend following and counter trend approach. Each market traded will generate its own entry and exit signals. From time to time, increases or decreases the total number of markets and contracts traded based on increases or decreases in account equity or market conditions. Each position's risk management parameters are updated daily to monitor volatility within the total portfolio. This program has the ability to add to existing positions and is shorter term in nature. Commodities traded are Gold, Silver Treasury Notes, Euro Currency, Stock Index Minis Crude Oil, Soybeans, Cotton and Sugar.

Risk Management

The Program is committed to adhere to strict money management techniques as an integral part of the trading program. The proprietary risk management utilizes pre-determined stop loss points, which attempt to limit losses and protect gains. Each commodity traded has specific entry and exit points along with stop levels for existing positions. These are updated daily. It should be noted that stop-loss points are not guaranteed to limit loss to the stop-loss point because, in part they are determined by the Advisor’s evaluation of historical market volatility and liquidity.

The Program determines position size as a function of both individual commodity volatility and total portfolio volatility. As volatility increases, position size will tend to decrease and when volatility decreases, position size will increase. The margin to equity ratio will be approximately 20-30%.

Compare to:

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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.

Compare to:

Index:

Monthly Annual

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
-47.54	62	-	12/1/2010	2/1/2016
-19.66	13	6	5/1/2006	6/1/2007
-9.73	4	2	6/1/2008	10/1/2008
-8.78	4	2	6/1/2002	10/1/2002
-7.27	7	11	12/1/2008	7/1/2009
-7.26	9	6	3/1/2004	12/1/2004
-6.77	3	7	5/1/2003	8/1/2003
-6.08	2	4	6/1/2005	8/1/2005
-5.70	1	2	1/1/0001	1/1/2002
-4.25	2	2	1/1/2006	3/1/2006
-3.00	3	1	2/1/2008	5/1/2008
-2.99	1	1	6/1/2010	7/1/2010
-2.39	2	1	2/1/2003	4/1/2003

Consecutive Gains

Run-up	Length (Mos.)	Start	End
58.63	5	2/1/2002	6/1/2002
44.78	8	7/1/2007	2/1/2008
39.69	4	11/1/2002	2/1/2003
16.60	2	11/1/2008	12/1/2008
13.28	5	9/1/2005	1/1/2006
12.10	3	1/1/2004	3/1/2004
11.56	5	8/1/2010	12/1/2010
7.04	2	5/1/2005	6/1/2005
6.89	3	4/1/2010	6/1/2010
6.11	1	6/1/2008	6/1/2008
6.01	4	8/1/2009	11/1/2009
5.84	2	4/1/2006	5/1/2006
5.07	1	8/1/2011	8/1/2011
4.52	1	2/1/2007	2/1/2007
4.42	3	1/1/2005	3/1/2005
4.35	2	8/1/2012	9/1/2012
4.24	1	11/1/2012	11/1/2012
3.33	3	9/1/2003	11/1/2003
3.09	2	4/1/2009	5/1/2009
2.70	1	5/1/2003	5/1/2003
2.30	1	9/1/2002	9/1/2002
2.20	1	11/1/2004	11/1/2004
2.00	1	9/1/2004	9/1/2004
1.71	1	9/1/2014	9/1/2014
1.66	1	2/1/2010	2/1/2010
1.64	1	1/1/2015	1/1/2015
1.42	1	11/1/2006	11/1/2006
1.41	1	7/1/2006	7/1/2006
1.07	1	4/1/2008	4/1/2008
0.55	1	12/1/2015	12/1/2015
0.45	1	6/1/2014	6/1/2014
0.37	1	2/1/2013	2/1/2013
0.31	1	8/1/2013	8/1/2013
0.22	1	1/1/2014	1/1/2014
0.17	1	4/1/2013	4/1/2013

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-19.20	11	9/1/2011	7/1/2012
-16.32	7	1/1/2011	7/1/2011
-12.98	3	10/1/2014	12/1/2014
-12.21	10	2/1/2015	11/1/2015
-9.73	4	7/1/2008	10/1/2008
-9.22	4	3/1/2007	6/1/2007
-8.40	3	8/1/2006	10/1/2006
-7.29	2	12/1/2006	1/1/2007
-6.77	3	6/1/2003	8/1/2003
-6.08	2	7/1/2005	8/1/2005
-6.08	5	4/1/2004	8/1/2004
-5.88	4	2/1/2014	5/1/2014
-5.80	3	1/1/2009	3/1/2009
-5.70	1	1/1/2002	1/1/2002
-5.65	2	7/1/2002	8/1/2002
-5.50	1	10/1/2002	10/1/2002
-4.52	2	6/1/2009	7/1/2009
-4.33	2	12/1/2012	1/1/2013
-4.25	2	2/1/2006	3/1/2006
-3.36	1	12/1/2004	12/1/2004
-3.06	1	6/1/2006	6/1/2006
-2.99	1	7/1/2010	7/1/2010
-2.91	1	3/1/2010	3/1/2010
-2.76	3	5/1/2013	7/1/2013
-2.66	4	9/1/2013	12/1/2013
-2.46	1	3/1/2008	3/1/2008
-2.39	2	3/1/2003	4/1/2003
-2.20	1	12/1/2003	12/1/2003
-1.99	1	10/1/2004	10/1/2004
-1.77	1	4/1/2005	4/1/2005
-1.61	1	5/1/2008	5/1/2008
-1.52	2	12/1/2009	1/1/2010
-0.80	2	1/1/2016	2/1/2016
-0.26	1	3/1/2013	3/1/2013
-0.13	1	10/1/2012	10/1/2012

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	170.00	168.00	165.00	159.00	153.00	147.00	135.00	123.00	111.00
Percent Profitable	42.94	44.05	45.45	53.46	52.29	57.14	56.30	55.28	64.86
Average Period Return	0.37	1.27	2.08	3.79	4.39	5.40	8.24	12.10	15.30
Average Gain	3.52	7.53	11.50	15.82	19.31	20.75	29.28	38.79	37.24
Average Loss	-2.05	-3.67	-5.77	-10.04	-11.96	-15.08	-18.85	-20.89	-25.21
Best Period	28.20	47.00	51.49	101.12	96.37	97.74	102.39	131.80	104.22
Worst Period	-5.90	-12.98	-16.30	-20.70	-27.07	-25.60	-31.84	-41.05	-47.11
Standard Deviation	4.25	8.76	12.54	19.80	21.96	23.88	28.90	35.23	33.79
Gain Standard Deviation	4.66	9.78	12.93	19.80	20.10	20.11	20.46	23.00	16.88
Loss Standard Deviation	1.46	2.60	3.68	5.90	7.50	7.52	7.84	11.91	13.26
Sharpe Ratio (1%)	0.07	0.12	0.13	0.14	0.13	0.14	0.18	0.23	0.30
Average Gain / Average Loss	1.72	2.05	1.99	1.58	1.61	1.38	1.55	1.86	1.48
Profit / Loss Ratio	1.32	1.62	1.66	1.81	1.77	1.84	2.00	2.30	2.73
Downside Deviation (10%)	2.14	4.15	6.67	11.09	14.57	17.49	23.66	29.70	32.44
Downside Deviation (5%)	1.93	3.51	5.36	8.53	10.63	12.21	15.35	18.46	19.57
Downside Deviation (0%)	1.88	3.36	5.05	7.93	9.73	11.01	13.48	16.04	16.84
Sortino Ratio (10%)	-0.02	0.01	-0.06	-0.11	-0.22	-0.28	-0.32	-0.32	-0.38
Sortino Ratio (5%)	0.15	0.29	0.30	0.33	0.27	0.28	0.34	0.44	0.52
Sortino Ratio (0%)	0.20	0.38	0.41	0.48	0.45	0.49	0.61	0.75	0.91

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	4	4.24	11/2012
Trend Following Strategy Index	Month	7	3.57	8/2012
Trend Following Strategy Index	Month	10	1.21	11/2010
Trend Following Strategy Index	Month	9	2.12	10/2009
Trend Following Strategy Index	Month	8	9.15	12/2008
Diversified Trader Index	Month	10	9.15	12/2008
Trend Following Strategy Index	Month	10	7.02	12/2007
Systematic Trader Index	Month	7	4.52	2/2007
Trend Following Strategy Index	Month	2	4.52	2/2007
Trend Following Strategy Index	Month	3	1.41	7/2006
Diversified Trader Index	Month	10	1.41	7/2006
Diversified Trader Index	Month	10	5.00	5/2006
Systematic Trader Index	Month	10	5.00	5/2006
Trend Following Strategy Index	Month	8	5.00	5/2006
Trend Following Strategy Index	Month	6	3.15	10/2005
Diversified Trader Index	Month	6	3.15	10/2005
IASG CTA Index	Month	10	3.15	10/2005
Systematic Trader Index	Month	9	3.15	10/2005
Trend Following Strategy Index	Month	10	6.23	6/2005
IASG CTA Index	Month	8	1.57	1/2005
Systematic Trader Index	Month	5	1.57	1/2005
Trend Following Strategy Index	Month	1	1.57	1/2005
Diversified Trader Index	Month	3	1.57	1/2005
Trend Following Strategy Index	Month	9	-1.81	4/2004
Systematic Trader Index	Month	8	6.31	3/2004
Diversified Trader Index	Month	9	6.31	3/2004
Trend Following Strategy Index	Month	7	6.31	3/2004
Trend Following Strategy Index	Month	5	1.60	11/2003
Systematic Trader Index	Month	9	1.60	11/2003
Trend Following Strategy Index	Month	9	-0.40	6/2003
Systematic Trader Index	Month	4	28.20	12/2002
Diversified Trader Index	Month	4	28.20	12/2002
IASG CTA Index	Sharpe	5	1.65	2001 - 2002
Trend Following Strategy Index	Month	4	28.20	12/2002
IASG CTA Index	Month	4	28.20	12/2002
IASG CTA Index	Year Rolling	4	78.25	2001 - 2002
Trend Following Strategy Index	Month	7	1.90	11/2002
Diversified Trader Index	Month	8	1.90	11/2002
Systematic Trader Index	Month	10	1.90	11/2002
IASG CTA Index	Month	6	12.70	5/2002
Diversified Trader Index	Month	5	12.70	5/2002
Trend Following Strategy Index	Month	3	12.70	5/2002
Systematic Trader Index	Month	3	12.70	5/2002
Trend Following Strategy Index	Month	2	4.10	4/2002
IASG CTA Index	Month	6	4.10	4/2002
Systematic Trader Index	Month	4	4.10	4/2002
Diversified Trader Index	Month	4	4.10	4/2002
IASG CTA Index	Month	1	25.30	3/2002
Trend Following Strategy Index	Month	1	25.30	3/2002
Systematic Trader Index	Month	1	25.30	3/2002
Diversified Trader Index	Month	1	25.30	3/2002
Trend Following Strategy Index	Month	3	1.80	2/2002
Diversified Trader Index	Month	3	1.80	2/2002
Systematic Trader Index	Month	4	1.80	2/2002
IASG CTA Index	Month	8	1.80	2/2002

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

^#4

Top Performer

TREND FOLLOWING STRATEGY INDEX

NOVEMBER
2012

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Mobius Asset Management : Custom Trading Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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