Mobius Asset Management : Diversified Program

Year-to-Date: N / A
Feb Performance: -1.20%

Min Investment: $ 250k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 9.00%
Sharpe (RFR=1%): -0.12
CAROR: -0.51%

Assets: $ 1.5M
Worst DD: -33.06
S&P Correlation: -0.07

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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 3/2004
Diversified Program	-1.20	-5.02	-	-16.27	-24.19	-31.97	-10.44	-6.44
S&P 500	3.72	7.50	-	22.33	27.11	73.07	67.99	109.84
+/- S&P 500	-4.92	-12.52	-	-38.60	-51.31	-105.04	-78.43	-116.28

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 250k
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: No
Subscription Frequency: Daily
Redemption Frequency: Daily
Investor Requirements: Any Investor
Lock-up Period: 0

Trading

Trading Frequency: 3000 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: 80.00%
1-30 Days: 10.00%
Intraday: 10.00%

Summary

The Mobius Diversified Trading Program is a diversified trading program both by products and trading methods. The Diversified Trading Program is technical and systematic. The Diversified Trading Program relies on multiple systems combining long term trend following and counter trend methodologies together with short term systems that blends short term trading methodologies of Commodity and Financial sectors. The Program employs a proprietary risk management overlay that monitors position size (number of contracts and commodities) based on market volatility. Each position's risk management parameters are updated daily and intra-day to monitor volatility within the total portfolio. Markets traded: Gold, Silver, Platinum, Copper, Treasury Bonds, Treasury Notes, Eurodollars, Euro Currency, J-Yen, S-Franc, B-Pound, Stock Index - Mini's, Crude Oil, Unleaded Gas, Natural Gas, Soybeans, Soybean Oil, Corn, Wheat, Sugar, Coffee, Cocoa, and Cotton

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%.

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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
-33.06	73	-	1/1/2011	2/1/2017
-12.63	7	8	3/1/2004	10/1/2004
-11.47	3	8	6/1/2005	9/1/2005
-9.12	11	3	7/1/2006	6/1/2007
-4.57	3	6	8/1/2008	11/1/2008
-4.31	2	2	2/1/2008	4/1/2008
-2.66	3	3	12/1/2009	3/1/2010
-1.98	1	6	6/1/2010	7/1/2010
-1.60	1	1	6/1/2008	7/1/2008
-1.43	1	1	5/1/2006	6/1/2006
-0.78	1	1	5/1/2009	6/1/2009
-0.32	1	2	8/1/2009	9/1/2009

Consecutive Gains

Run-up	Length (Mos.)	Start	End
30.26	8	7/1/2007	2/1/2008
15.84	3	3/1/2006	5/1/2006
12.55	3	1/1/2005	3/1/2005
10.21	1	12/1/2005	12/1/2005
9.39	1	6/1/2005	6/1/2005
5.77	3	4/1/2010	6/1/2010
5.66	1	11/1/2004	11/1/2004
5.27	2	5/1/2008	6/1/2008
3.91	1	2/1/2007	2/1/2007
3.63	2	12/1/2008	1/1/2009
3.38	1	10/1/2005	10/1/2005
3.09	2	7/1/2009	8/1/2009
2.66	3	10/1/2009	12/1/2009
2.16	1	5/1/2009	5/1/2009
2.03	1	11/1/2014	11/1/2014
1.94	2	12/1/2010	1/1/2011
1.90	1	12/1/2006	12/1/2006
1.79	1	8/1/2008	8/1/2008
1.78	1	7/1/2006	7/1/2006
1.55	2	7/1/2011	8/1/2011
1.49	1	5/1/2004	5/1/2004
1.20	3	5/1/2014	7/1/2014
1.04	1	5/1/2013	5/1/2013
0.82	1	8/1/2010	8/1/2010
0.78	1	10/1/2010	10/1/2010
0.67	1	3/1/2004	3/1/2004
0.49	2	5/1/2012	6/1/2012
0.43	1	2/1/2013	2/1/2013
0.41	1	3/1/2015	3/1/2015
0.30	1	3/1/2009	3/1/2009
0.25	1	8/1/2012	8/1/2012
0.25	1	11/1/2015	11/1/2015
0.24	1	9/1/2014	9/1/2014
0.21	2	10/1/2012	11/1/2012
0.14	1	2/1/2010	2/1/2010
0.14	1	6/1/2016	6/1/2016
0.07	1	3/1/2012	3/1/2012

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-12.57	11	6/1/2013	4/1/2014
-11.47	3	7/1/2005	9/1/2005
-11.31	8	7/1/2016	2/1/2017
-11.02	5	6/1/2004	10/1/2004
-9.15	2	1/1/2006	2/1/2006
-8.54	6	12/1/2015	5/1/2016
-8.11	4	8/1/2006	11/1/2006
-6.50	4	3/1/2007	6/1/2007
-5.19	1	12/1/2004	12/1/2004
-4.84	7	4/1/2015	10/1/2015
-4.57	3	9/1/2008	11/1/2008
-4.33	2	4/1/2005	5/1/2005
-4.31	2	3/1/2008	4/1/2008
-3.25	1	4/1/2004	4/1/2004
-2.75	1	11/1/2005	11/1/2005
-2.71	3	12/1/2014	2/1/2015
-2.38	5	2/1/2011	6/1/2011
-2.29	1	1/1/2010	1/1/2010
-1.98	1	7/1/2010	7/1/2010
-1.60	1	7/1/2008	7/1/2008
-1.43	1	6/1/2006	6/1/2006
-1.00	1	4/1/2009	4/1/2009
-0.83	1	10/1/2014	10/1/2014
-0.79	2	12/1/2012	1/1/2013
-0.78	1	6/1/2009	6/1/2009
-0.74	6	9/1/2011	2/1/2012
-0.55	2	3/1/2013	4/1/2013
-0.52	1	3/1/2010	3/1/2010
-0.50	1	9/1/2010	9/1/2010
-0.38	1	7/1/2012	7/1/2012
-0.32	1	9/1/2009	9/1/2009
-0.30	1	9/1/2012	9/1/2012
-0.23	1	4/1/2012	4/1/2012
-0.20	1	11/1/2010	11/1/2010
-0.10	1	8/1/2014	8/1/2014
-0.10	1	2/1/2009	2/1/2009
-0.10	1	1/1/2007	1/1/2007

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	156.00	154.00	151.00	145.00	139.00	133.00	121.00	109.00	97.00
Percent Profitable	39.10	42.21	44.37	46.90	53.24	58.65	62.81	60.55	60.82
Average Period Return	-0.01	0.02	0.18	1.01	1.90	3.26	6.23	9.65	12.35
Average Gain	2.12	3.65	4.98	8.15	10.23	12.75	18.57	25.93	30.13
Average Loss	-1.42	-2.64	-3.64	-5.29	-7.58	-10.20	-14.60	-15.35	-15.26
Best Period	10.21	20.48	28.35	31.21	29.23	37.59	43.00	44.53	52.83
Worst Period	-7.07	-11.47	-9.70	-16.47	-19.80	-22.30	-24.67	-31.80	-31.97
Standard Deviation	2.60	4.59	6.50	9.20	11.32	13.90	19.28	23.24	25.79
Gain Standard Deviation	2.60	4.57	6.61	7.78	8.18	9.57	12.67	13.07	15.06
Loss Standard Deviation	1.40	2.13	2.87	4.60	5.31	5.19	5.77	8.24	9.11
Sharpe Ratio (1%)	-0.04	-0.05	-0.05	0.00	0.04	0.09	0.17	0.24	0.28
Average Gain / Average Loss	1.49	1.38	1.37	1.54	1.35	1.25	1.27	1.69	1.97
Profit / Loss Ratio	0.99	1.01	1.09	1.36	1.54	1.77	2.15	2.59	3.07
Downside Deviation (10%)	1.77	3.37	5.09	8.32	11.21	13.93	19.57	24.42	28.63
Downside Deviation (5%)	1.58	2.72	3.75	5.67	7.19	8.53	11.31	13.23	13.95
Downside Deviation (0%)	1.53	2.57	3.45	5.09	6.31	7.35	9.56	10.92	11.08
Sortino Ratio (10%)	-0.24	-0.36	-0.45	-0.48	-0.51	-0.50	-0.49	-0.49	-0.53
Sortino Ratio (5%)	-0.06	-0.09	-0.08	0.00	0.06	0.15	0.28	0.42	0.52
Sortino Ratio (0%)	-0.01	0.01	0.05	0.20	0.30	0.44	0.65	0.88	1.11

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	2	8.99	8/2007
Diversified Trader Index	Month	4	8.99	8/2007
Systematic Trader Index	Month	6	8.99	8/2007
IASG CTA Index	Month	8	8.99	8/2007
Systematic Trader Index	Month	10	3.91	2/2007
Trend Following Strategy Index	Month	3	3.91	2/2007
Trend Following Strategy Index	Month	2	1.78	7/2006
Diversified Trader Index	Month	9	1.78	7/2006
Systematic Trader Index	Month	10	1.78	7/2006
IASG CTA Index	Month	6	6.68	5/2006
Trend Following Strategy Index	Month	4	6.68	5/2006
Systematic Trader Index	Month	5	6.68	5/2006
Diversified Trader Index	Month	5	6.68	5/2006
Diversified Trader Index	Month	5	10.21	12/2005
Trend Following Strategy Index	Month	3	10.21	12/2005
Systematic Trader Index	Month	3	10.21	12/2005
IASG CTA Index	Month	6	10.21	12/2005
Systematic Trader Index	Month	7	3.38	10/2005
IASG CTA Index	Month	8	3.38	10/2005
Trend Following Strategy Index	Month	5	3.38	10/2005
Diversified Trader Index	Month	5	3.38	10/2005
Diversified Trader Index	Month	5	9.39	6/2005
Trend Following Strategy Index	Month	5	9.39	6/2005
Systematic Trader Index	Month	5	9.39	6/2005
IASG CTA Index	Month	8	9.39	6/2005
Diversified Trader Index	Month	8	8.49	2/2005
IASG CTA Index	Month	9	8.49	2/2005
Systematic Trader Index	Month	5	8.49	2/2005
Trend Following Strategy Index	Month	5	8.49	2/2005
Trend Following Strategy Index	Month	3	0.07	1/2005
Diversified Trader Index	Month	9	0.07	1/2005

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

^#2

Top Performer

TREND FOLLOWING STRATEGY INDEX

AUGUST
2007

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Mobius Asset Management : Diversified 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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