Parizek Capital : Futures Trading Program

Year-to-Date: 6.49%
Dec Performance: 2.35%

Min Investment: $ 500k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 21.93%
Sharpe (RFR=1%): 0.25
CAROR: 4.27%

Assets: $ 1.2M
Worst DD: -47.49
S&P Correlation: -0.26

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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 4/2000
Futures Trading Program	2.35	4.43	6.49	6.49	1.71	-27.78	-18.42	128.44
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	186.74	120.14
+/- S&P 500	-0.51	-4.10	-22.38	-22.38	-41.13	-83.10	-205.16	8.30

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 500k
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: Any Investor
Lock-up Period: 0

Trading

Trading Frequency: 1500 RT/YR/$M
Avg. Margin-to-Equity: 20%
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%

Summary

The Futures Trading Program is a proprietary systematic long-term trend following system developed by Scot Lowry. Mr. Lowry converted his knowledge and research of the markets into a mechanical trading approach. The Program looks for specific turning points which signal new trends, and attempts to enter trades earlier than most long-term technical systems. The Program is 99% mechanical, based on technical data, using price information to signal entry and exit points. The only discretion used is to add or delete markets traded due to liquidity issues. The Futures Trading Program employs its own built in risk management procedures to limit risk to individual trades and provide overall portfolio protection.

Investment Strategy

MARKETS TRADED - FUTURES PROGRAM The Manager intends to trade a diverse group of futures in a variety of approximately 35 markets, including but not limited to grain, currency, metal, energy, financial, stock index, fiber, and softs (coffee, cocoa, sugar, lumber, and orange juice).

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
-47.49	80	-	1/1/2011	9/1/2017
-46.08	17	37	3/1/2004	8/1/2005
-18.47	4	18	12/1/2008	4/1/2009
-15.49	4	5	10/1/2001	2/1/2002
-14.60	6	7	9/1/2002	3/1/2003
-7.32	1	1	10/1/2010	11/1/2010
-6.86	6	3	1/1/0001	9/1/2000
-5.26	1	1	10/1/2003	11/1/2003
-4.46	1	1	1/1/2001	2/1/2001

Consecutive Gains

Run-up	Length (Mos.)	Start	End
87.32	5	8/1/2008	12/1/2008
39.47	8	3/1/2001	10/1/2001
33.78	7	3/1/2002	9/1/2002
32.45	2	1/1/2008	2/1/2008
30.52	3	7/1/2011	9/1/2011
30.32	4	7/1/2010	10/1/2010
24.77	4	11/1/2014	2/1/2015
21.26	5	9/1/2005	1/1/2006
19.73	1	11/1/2011	11/1/2011
19.45	4	12/1/2003	3/1/2004
18.32	4	10/1/2000	1/1/2001
17.34	2	12/1/2010	1/1/2011
16.99	3	7/1/2014	9/1/2014
16.45	2	4/1/2003	5/1/2003
16.17	1	5/1/2012	5/1/2012
13.61	3	12/1/2002	2/1/2003
13.37	1	11/1/2015	11/1/2015
13.36	1	5/1/2009	5/1/2009
10.36	2	6/1/2016	7/1/2016
9.88	2	7/1/2003	8/1/2003
9.35	1	3/1/2010	3/1/2010
9.10	2	5/1/2008	6/1/2008
8.83	1	10/1/2003	10/1/2003
8.74	4	2/1/2019	5/1/2019
8.35	2	1/1/2016	2/1/2016
7.97	1	9/1/2007	9/1/2007
7.66	1	8/1/2019	8/1/2019
7.55	2	6/1/2007	7/1/2007
7.35	1	11/1/2009	11/1/2009
7.02	1	9/1/2015	9/1/2015
6.89	2	3/1/2007	4/1/2007
6.87	1	11/1/2007	11/1/2007
5.82	2	6/1/2018	7/1/2018
5.36	2	11/1/2019	12/1/2019
5.35	1	2/1/2014	2/1/2014
5.35	1	3/1/2013	3/1/2013
5.16	3	7/1/2009	9/1/2009
4.20	3	3/1/2006	5/1/2006
3.97	2	12/1/2017	1/1/2018
3.89	2	1/1/2012	2/1/2012
3.88	1	2/1/2005	2/1/2005
3.73	2	4/1/2014	5/1/2014
3.61	3	11/1/2006	1/1/2007
2.92	1	5/1/2010	5/1/2010
2.87	1	12/1/2018	12/1/2018
2.54	1	9/1/2004	9/1/2004
2.45	1	9/1/2006	9/1/2006
2.39	2	9/1/2018	10/1/2018
1.97	2	6/1/2017	7/1/2017
1.78	1	1/1/2002	1/1/2002
1.44	1	12/1/2013	12/1/2013
1.41	3	7/1/2012	9/1/2012
1.22	1	3/1/2018	3/1/2018
0.97	1	10/1/2017	10/1/2017
0.70	2	5/1/2005	6/1/2005
0.54	1	8/1/2000	8/1/2000
0.47	1	12/1/2012	12/1/2012

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-33.66	5	4/1/2004	8/1/2004
-26.42	8	4/1/2013	11/1/2013
-25.90	10	8/1/2016	5/1/2017
-25.15	5	2/1/2011	6/1/2011
-18.47	4	1/1/2009	4/1/2009
-18.09	3	3/1/2016	5/1/2016
-15.44	6	3/1/2015	8/1/2015
-15.05	1	10/1/2011	10/1/2011
-14.48	2	10/1/2002	11/1/2002
-13.38	2	3/1/2008	4/1/2008
-12.49	2	3/1/2012	4/1/2012
-12.10	1	3/1/2003	3/1/2003
-12.09	1	6/1/2003	6/1/2003
-12.06	3	6/1/2006	8/1/2006
-11.76	1	10/1/2015	10/1/2015
-11.61	1	12/1/2015	12/1/2015
-10.94	2	11/1/2001	12/1/2001
-10.73	1	12/1/2011	12/1/2011
-10.39	4	10/1/2004	1/1/2005
-10.17	3	12/1/2009	2/1/2010
-9.86	2	7/1/2005	8/1/2005
-7.32	1	11/1/2010	11/1/2010
-6.77	1	2/1/2002	2/1/2002
-6.58	1	6/1/2009	6/1/2009
-6.18	2	3/1/2005	4/1/2005
-6.09	2	9/1/2019	10/1/2019
-5.85	1	7/1/2008	7/1/2008
-5.79	1	6/1/2012	6/1/2012
-5.52	1	10/1/2009	10/1/2009
-5.26	1	11/1/2003	11/1/2003
-5.03	1	6/1/2014	6/1/2014
-4.90	4	4/1/2000	7/1/2000
-4.86	2	4/1/2018	5/1/2018
-4.59	1	1/1/2019	1/1/2019
-4.59	1	4/1/2010	4/1/2010
-4.47	2	10/1/2012	11/1/2012
-4.46	1	2/1/2001	2/1/2001
-4.45	1	8/1/2007	8/1/2007
-4.30	2	8/1/2017	9/1/2017
-3.68	1	1/1/2014	1/1/2014
-3.66	1	6/1/2010	6/1/2010
-3.64	2	6/1/2019	7/1/2019
-2.67	1	3/1/2014	3/1/2014
-2.59	1	5/1/2007	5/1/2007
-2.59	1	9/1/2000	9/1/2000
-2.25	1	12/1/2007	12/1/2007
-2.22	1	2/1/2007	2/1/2007
-2.08	1	2/1/2006	2/1/2006
-1.89	1	10/1/2014	10/1/2014
-1.80	1	8/1/2018	8/1/2018
-1.58	2	1/1/2013	2/1/2013
-1.18	1	9/1/2003	9/1/2003
-1.08	1	10/1/2007	10/1/2007
-0.96	1	2/1/2018	2/1/2018
-0.72	1	11/1/2018	11/1/2018
-0.50	1	10/1/2006	10/1/2006
-0.10	1	11/1/2017	11/1/2017

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	237.00	235.00	232.00	226.00	220.00	214.00	202.00	190.00	178.00
Percent Profitable	52.32	53.19	51.72	57.52	59.09	58.41	46.04	43.68	54.49
Average Period Return	0.54	1.63	3.42	6.96	10.32	13.50	20.46	28.39	37.85
Average Gain	4.93	8.84	14.82	22.38	29.84	37.63	66.95	88.82	85.96
Average Loss	-4.28	-6.57	-8.79	-13.93	-17.87	-20.38	-19.21	-18.48	-19.77
Best Period	34.13	65.86	80.70	120.73	140.51	159.02	159.10	212.95	216.01
Worst Period	-15.05	-24.21	-33.18	-37.94	-45.69	-38.53	-41.13	-39.90	-42.56
Standard Deviation	6.33	11.49	17.09	25.34	33.39	40.89	55.29	68.35	73.72
Gain Standard Deviation	5.04	10.60	15.66	22.08	29.46	37.09	49.86	63.85	68.97
Loss Standard Deviation	3.43	5.30	7.35	9.60	11.17	10.95	11.13	9.93	12.13
Sharpe Ratio (1%)	0.07	0.12	0.17	0.24	0.26	0.28	0.32	0.36	0.44
Average Gain / Average Loss	1.15	1.35	1.69	1.61	1.67	1.85	3.48	4.81	4.35
Profit / Loss Ratio	1.27	1.53	1.81	2.18	2.41	2.59	2.97	3.73	5.21
Downside Deviation (10%)	4.00	6.44	9.34	13.85	17.84	21.06	27.07	31.37	33.76
Downside Deviation (5%)	3.82	5.90	8.21	11.55	14.29	16.06	18.25	18.48	18.65
Downside Deviation (0%)	3.78	5.76	7.94	11.01	13.46	14.90	16.29	15.73	15.62
Sortino Ratio (10%)	0.03	0.06	0.10	0.14	0.15	0.15	0.17	0.22	0.30
Sortino Ratio (5%)	0.12	0.23	0.36	0.52	0.62	0.72	0.95	1.32	1.76
Sortino Ratio (0%)	0.14	0.28	0.43	0.63	0.77	0.91	1.26	1.81	2.42

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	7	7.02	9/2015
Systematic Trader Index	Month	8	7.02	9/2015
Diversified Trader Index	Month	10	7.02	9/2015
Diversified Trader Index	Month	8	9.61	7/2014
Systematic Trader Index	Month	7	9.61	7/2014
Trend Following Strategy Index	Month	6	9.61	7/2014
Diversified Trader Index	Month	9	5.35	3/2013
Trend Following Strategy Index	Month	1	19.73	11/2011
Systematic Trader Index	Month	1	19.73	11/2011
Diversified Trader Index	Month	1	19.73	11/2011
IASG CTA Index	Month	3	19.73	11/2011
Trend Following Strategy Index	Month	6	10.43	9/2011
Trend Following Strategy Index	Month	4	5.22	1/2011
Systematic Trader Index	Month	10	5.22	1/2011
IASG CTA Index	3 Year Rolling	7	159.10	2005 - 2008
IASG CTA Index	Year Rolling	5	120.73	2007 - 2008
Trend Following Strategy Index	Month	6	34.13	10/2008
Systematic Trader Index	Month	6	34.13	10/2008
IASG CTA Index	Month	6	34.13	10/2008
Diversified Trader Index	Month	6	34.13	10/2008
Trend Following Strategy Index	Month	4	14.68	9/2008
Systematic Trader Index	Month	4	14.68	9/2008
Diversified Trader Index	Month	4	14.68	9/2008
IASG CTA Index	Month	4	14.68	9/2008
Trend Following Strategy Index	Month	10	7.35	5/2008
Trend Following Strategy Index	Month	9	6.87	11/2007
Diversified Trader Index	Month	10	6.87	11/2007
Systematic Trader Index	Month	8	3.35	3/2007
IASG CTA Index	Month	10	3.35	3/2007
Trend Following Strategy Index	Month	2	3.35	3/2007
Diversified Trader Index	Month	6	3.35	3/2007
Diversified Trader Index	Month	5	5.65	1/2004
IASG CTA Index	Month	6	5.65	1/2004
Trend Following Strategy Index	Month	3	5.65	1/2004
Systematic Trader Index	Month	3	5.65	1/2004
Systematic Trader Index	Month	10	3.60	8/2003
Trend Following Strategy Index	Month	8	3.60	8/2003
IASG CTA Index	Month	9	6.06	7/2003
Trend Following Strategy Index	Month	4	6.06	7/2003
Diversified Trader Index	Month	4	6.06	7/2003
Systematic Trader Index	Month	4	6.06	7/2003
Trend Following Strategy Index	Month	9	0.57	4/2002
Systematic Trader Index	Month	9	1.78	1/2002
Trend Following Strategy Index	Month	6	1.78	1/2002
Diversified Trader Index	Month	7	1.78	1/2002
IASG CTA Index	Year Rolling	7	24.98	2000 - 2001
Trend Following Strategy Index	Month	10	2.22	6/2001
Systematic Trader Index	Month	8	0.44	4/2001
Diversified Trader Index	Month	7	0.44	4/2001
Trend Following Strategy Index	Month	2	0.44	4/2001
Trend Following Strategy Index	Month	8	14.02	3/2001
Diversified Trader Index	Month	9	14.02	3/2001
Systematic Trader Index	Month	10	14.02	3/2001
Trend Following Strategy Index	Month	4	5.32	1/2001
IASG CTA Index	Month	8	5.32	1/2001
Systematic Trader Index	Month	5	5.32	1/2001
Diversified Trader Index	Month	6	5.32	1/2001
Trend Following Strategy Index	Month	10	3.11	10/2000

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

^#7

Top Performer

TREND FOLLOWING STRATEGY INDEX

SEPTEMBER
2015

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Parizek Capital : Futures 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

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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