Persistent Capital Management : Global Diversified Program

Year-to-Date: N / A
Dec Performance: 7.48%

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

Annualized Vol: 14.95%
Sharpe (RFR=1%): 0.50
CAROR: 7.61%

Assets: $ 3.0M
Worst DD: -25.71
S&P Correlation: -0.33

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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	YTD	1yr	3yr	5yr	10yr	Since 1/2003
Global Diversified Program	7.48	7.48	-	-0.45	68.03	29.29	84.58	274.44
S&P 500	3.71	11.69	-	16.26	40.48	81.90	195.57	355.09
+/- S&P 500	3.77	-4.21	-	-16.71	27.55	-52.60	-110.99	-80.65

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	QEP
Lock-up Period	0

Trading

Trading Frequency	2000 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%

Decision-Making

Discretionary	5.00%
Systematic	95.00%

Strategy

Technical: 50.00%
Trend-following: 50.00%

Composition

Currency Futures: 20.00%
Interest Rates: 20.00%
Stock Indices: 15.00%
Softs: 13.00%
Energy: 10.00%
Grains: 10.00%
Industrial Metals: 7.00%
Other: 5.00%

Summary

The trading model incorporates 7 trend-following time-frames into one model. The model was designed to capitalize on long-term trends while avoiding whipsaws. Positions are adjusted in response to volatility. As a market's volatility increases, the position in that market is reduced. When a market's volatility decreases, the position in that market is increased. The portfolio is made up of 7 sectors: interest rates, currencies, stock indices, softs, energies, grains, and metals. No one market makes up more than 2.5% of the portfolio and no one sector makes up more than 25% of the portfolio.

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
-25.71	23	10	2/1/2016	1/1/2018
-19.70	34	9	2/1/2011	12/1/2013
-17.48	4	3	8/1/2019	12/1/2019
-16.47	7	-	4/1/2020	11/1/2020
-15.41	6	19	2/1/2004	8/1/2004
-13.63	2	5	6/1/2007	8/1/2007
-10.98	2	2	6/1/2008	8/1/2008
-10.00	2	3	12/1/2018	2/1/2019
-8.87	8	1	11/1/2009	7/1/2010
-8.03	5	2	1/1/2015	6/1/2015
-7.37	5	3	2/1/2003	7/1/2003
-4.79	3	1	3/1/2009	6/1/2009
-4.71	1	1	10/1/2010	11/1/2010
-4.20	3	4	4/1/2006	7/1/2006
-4.19	2	2	2/1/2008	4/1/2008
-4.04	1	3	9/1/2015	10/1/2015
-2.70	1	2	1/1/2007	2/1/2007
-2.56	1	2	5/1/2019	6/1/2019
-2.37	1	1	8/1/2010	9/1/2010
-1.08	1	1	9/1/2009	10/1/2009
-0.22	1	1	12/1/2010	1/1/2011

Consecutive Gains

Run-up	Length (Mos.)	Start	End
43.40	10	4/1/2014	1/1/2015
33.10	3	10/1/2018	12/1/2018
31.04	4	1/1/2020	4/1/2020
25.48	7	9/1/2008	3/1/2009
24.76	6	9/1/2007	2/1/2008
20.93	7	8/1/2003	2/1/2004
15.62	3	7/1/2015	9/1/2015
15.56	4	1/1/2006	4/1/2006
15.00	4	11/1/2015	2/1/2016
14.93	4	5/1/2018	8/1/2018
14.92	2	7/1/2019	8/1/2019
14.20	1	5/1/2019	5/1/2019
12.60	4	3/1/2007	6/1/2007
12.16	4	9/1/2004	12/1/2004
10.11	2	1/1/2003	2/1/2003
10.08	3	7/1/2009	9/1/2009
10.00	1	8/1/2010	8/1/2010
8.77	2	3/1/2013	4/1/2013
8.34	6	8/1/2006	1/1/2007
8.26	2	11/1/2011	12/1/2011
7.99	1	1/1/2014	1/1/2014
7.48	1	12/1/2020	12/1/2020
7.00	2	2/1/2018	3/1/2018
6.52	1	12/1/2010	12/1/2010
6.43	1	3/1/2019	3/1/2019
6.14	3	2/1/2010	4/1/2010
5.23	1	7/1/2011	7/1/2011
5.15	1	11/1/2005	11/1/2005
5.06	3	5/1/2016	7/1/2016
4.95	3	11/1/2012	1/1/2013
4.71	2	5/1/2008	6/1/2008
4.62	2	4/1/2012	5/1/2012
4.60	4	2/1/2017	5/1/2017
4.48	2	10/1/2013	11/1/2013
4.00	1	3/1/2015	3/1/2015
3.51	1	9/1/2011	9/1/2011
3.39	2	8/1/2005	9/1/2005
3.36	1	5/1/2003	5/1/2003
3.31	1	11/1/2009	11/1/2009
2.99	1	8/1/2017	8/1/2017
2.92	1	10/1/2010	10/1/2010
2.92	1	6/1/2005	6/1/2005
2.90	1	7/1/2012	7/1/2012
2.63	1	10/1/2020	10/1/2020
2.32	1	2/1/2011	2/1/2011
1.80	1	5/1/2015	5/1/2015
1.76	1	4/1/2011	4/1/2011
0.67	1	2/1/2005	2/1/2005
0.25	1	6/1/2010	6/1/2010
0.12	1	5/1/2009	5/1/2009

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-17.48	4	9/1/2019	12/1/2019
-15.76	5	5/1/2020	9/1/2020
-15.41	6	3/1/2004	8/1/2004
-14.41	5	5/1/2013	9/1/2013
-14.06	5	9/1/2017	1/1/2018
-13.63	2	7/1/2007	8/1/2007
-10.98	2	7/1/2008	8/1/2008
-10.96	6	8/1/2016	1/1/2017
-10.00	2	1/1/2019	2/1/2019
-8.94	3	8/1/2012	10/1/2012
-8.39	2	3/1/2016	4/1/2016
-8.38	2	5/1/2011	6/1/2011
-7.75	1	10/1/2011	10/1/2011
-6.99	1	4/1/2015	4/1/2015
-6.49	2	6/1/2003	7/1/2003
-6.45	1	12/1/2013	12/1/2013
-6.38	2	6/1/2017	7/1/2017
-6.23	3	1/1/2012	3/1/2012
-6.12	2	12/1/2009	1/1/2010
-5.64	3	3/1/2005	5/1/2005
-5.19	1	7/1/2010	7/1/2010
-4.92	1	6/1/2012	6/1/2012
-4.71	1	11/1/2010	11/1/2010
-4.33	1	6/1/2009	6/1/2009
-4.20	3	5/1/2006	7/1/2006
-4.19	2	3/1/2008	4/1/2008
-4.16	2	3/1/2003	4/1/2003
-4.04	1	10/1/2015	10/1/2015
-3.91	1	10/1/2005	10/1/2005
-3.88	1	4/1/2019	4/1/2019
-3.85	1	2/1/2015	2/1/2015
-3.77	1	5/1/2010	5/1/2010
-3.67	1	4/1/2018	4/1/2018
-3.43	1	9/1/2018	9/1/2018
-3.39	1	11/1/2020	11/1/2020
-2.86	1	6/1/2015	6/1/2015
-2.70	1	2/1/2007	2/1/2007
-2.56	1	6/1/2019	6/1/2019
-2.48	1	3/1/2011	3/1/2011
-2.37	1	9/1/2010	9/1/2010
-2.17	2	2/1/2014	3/1/2014
-2.12	1	7/1/2005	7/1/2005
-1.62	1	8/1/2011	8/1/2011
-1.36	1	12/1/2005	12/1/2005
-1.11	1	2/1/2013	2/1/2013
-1.08	1	10/1/2009	10/1/2009
-0.91	1	1/1/2005	1/1/2005
-0.60	1	4/1/2009	4/1/2009
-0.22	1	1/1/2011	1/1/2011

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	216.00	214.00	211.00	205.00	199.00	193.00	181.00	169.00	157.00
Percent Profitable	56.94	56.07	62.09	67.80	74.37	76.17	85.08	90.53	95.54
Average Period Return	0.70	2.00	4.00	8.54	12.97	17.50	24.81	32.37	42.56
Average Gain	3.62	6.93	9.52	15.25	20.14	25.50	30.51	36.40	44.74
Average Loss	-3.16	-4.31	-5.04	-5.59	-7.85	-8.09	-7.69	-6.17	-4.01
Best Period	14.77	33.10	34.72	51.34	73.08	88.08	65.57	70.64	101.11
Worst Period	-9.35	-13.74	-15.41	-14.41	-22.82	-23.05	-18.02	-14.75	-9.54
Standard Deviation	4.32	7.32	9.61	14.01	18.40	21.42	20.95	18.91	22.23
Gain Standard Deviation	3.11	5.64	7.70	11.94	15.66	17.98	17.13	14.83	20.25
Loss Standard Deviation	2.06	3.20	3.84	3.85	5.11	5.50	4.84	5.03	2.74
Sharpe Ratio (1%)	0.14	0.24	0.36	0.54	0.62	0.72	1.04	1.50	1.69
Average Gain / Average Loss	1.15	1.61	1.89	2.73	2.57	3.15	3.97	5.90	11.15
Profit / Loss Ratio	1.52	2.06	3.10	5.75	7.45	10.08	22.63	56.42	238.93
Downside Deviation (10%)	2.70	4.24	5.21	6.48	8.44	9.60	10.16	9.62	8.75
Downside Deviation (5%)	2.52	3.68	4.14	4.32	5.38	5.60	4.55	3.51	2.02
Downside Deviation (0%)	2.47	3.55	3.89	3.84	4.73	4.76	3.49	2.42	1.00
Sortino Ratio (10%)	0.11	0.18	0.29	0.55	0.64	0.75	0.89	1.12	1.71
Sortino Ratio (5%)	0.25	0.47	0.85	1.74	2.13	2.77	4.78	8.06	18.58
Sortino Ratio (0%)	0.29	0.56	1.03	2.22	2.74	3.68	7.11	13.39	42.48

Top Performer Badges

Index	Award Type	Rank	Performance	Period

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

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Global Diversified Program	7.61%

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Persistent Capital Management : Global 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

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Persistent Capital Management : Global 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

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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