Prolific Capital Markets, LLC : Prolific Swiss System

Year-to-Date: 9.91%
Dec Performance: 2.78%

Min Investment: $ 10,000k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 10.44%
Sharpe (RFR=1%): 0.62
CAROR: 7.20%

Assets: $ 23.1M
Worst DD: -12.72
S&P Correlation: -0.07

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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 1/2014
Prolific Swiss System	2.78	3.58	9.91	9.91	15.54	28.45	-	51.79
S&P 500	2.86	8.53	28.87	28.87	42.84	55.32	-	79.40
+/- S&P 500	-0.08	-4.95	-18.95	-18.95	-27.29	-26.87	-	-27.61

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 10,000k
Trading Level Incremental Increase: $ 100k
CTA Max Funding Factor: 3.00
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $5.00
Available to US Investors: Yes

Subscriptions

High Water Mark: Yes
Subscription Frequency: 15-30 Days
Redemption Frequency: 15-30 Days
Investor Requirements: QEP
Lock-up Period: 0

Trading

Trading Frequency: 12000 RT/YR/$M
Avg. Margin-to-Equity: 15%
Targeted Worst DD: -20.00%
Worst Peak-to-Trough: 12.70%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 10.00%
1-30 Days: 80.00%
Intraday: 10.00%

Summary

Prolific’s global macro strategy is a short-term algorithmic trading program designed to profit from the greater velocity of trading, increased liquidity, and lower implementation costs, brought about from the electronification of the financial and commodity markets. Prolific employs a number of orthogonal trading models across a broad universe of markets, with a near zero correlation to stocks, bonds, and real-estate, while maintaining a low correlation to industry CTA benchmarks. It is our mission to hold a robust portfolio, to generate crisis alpha during times of market stress, while delivering consistent and superior risk-adjusted returns in most market environments.

Investment Strategy

Multi-Strat program combining Directional Volatility (divergence) and Mean-Reversion (convergence) models.

Risk Management

We use risk-parity parity principles across models, time-frames, sectors and markets.

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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:

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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
-12.72	3	32	7/1/2016	10/1/2016
-5.05	5	2	7/1/2015	12/1/2015
-4.14	1	1	4/1/2016	5/1/2016
-3.24	1	3	3/1/2015	4/1/2015
-3.13	1	1	3/1/2014	4/1/2014
-3.03	1	3	8/1/2019	9/1/2019
-1.51	1	1	2/1/2016	3/1/2016
-1.03	1	1	1/1/0001	1/1/2014
-0.42	1	1	6/1/2019	7/1/2019
-0.28	1	1	5/1/2014	6/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
22.68	9	7/1/2014	3/1/2015
13.31	5	12/1/2017	4/1/2018
12.42	2	6/1/2016	7/1/2016
8.16	2	11/1/2016	12/1/2016
8.06	4	3/1/2019	6/1/2019
7.78	1	8/1/2019	8/1/2019
6.13	3	3/1/2017	5/1/2017
5.43	2	1/1/2016	2/1/2016
4.14	1	5/1/2014	5/1/2014
4.11	1	7/1/2015	7/1/2015
3.58	3	10/1/2019	12/1/2019
3.33	1	10/1/2018	10/1/2018
3.01	1	4/1/2016	4/1/2016
2.56	2	2/1/2014	3/1/2014
2.30	1	8/1/2018	8/1/2018
2.24	1	10/1/2017	10/1/2017
0.92	1	5/1/2015	5/1/2015
0.82	1	7/1/2017	7/1/2017
0.71	2	10/1/2015	11/1/2015
0.65	1	12/1/2018	12/1/2018

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-12.72	3	8/1/2016	10/1/2016
-6.55	1	11/1/2017	11/1/2017
-5.65	2	1/1/2019	2/1/2019
-5.12	3	5/1/2018	7/1/2018
-4.61	2	8/1/2017	9/1/2017
-4.14	1	5/1/2016	5/1/2016
-3.24	1	4/1/2015	4/1/2015
-3.13	1	4/1/2014	4/1/2014
-3.06	2	8/1/2015	9/1/2015
-3.03	1	9/1/2019	9/1/2019
-2.74	1	12/1/2015	12/1/2015
-2.48	1	6/1/2017	6/1/2017
-2.10	2	1/1/2017	2/1/2017
-1.51	1	3/1/2016	3/1/2016
-1.03	1	1/1/2014	1/1/2014
-0.76	1	11/1/2018	11/1/2018
-0.54	1	9/1/2018	9/1/2018
-0.42	1	7/1/2019	7/1/2019
-0.28	1	6/1/2014	6/1/2014
-0.15	1	6/1/2015	6/1/2015

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	72.00	70.00	67.00	61.00	55.00	49.00	37.00	25.00
Percent Profitable	61.11	65.71	65.67	81.97	87.27	91.84	100.00	100.00
Average Period Return	0.63	1.85	3.70	6.24	8.28	10.55	15.10	21.42
Average Gain	2.48	4.66	7.07	8.12	9.89	11.72	15.10	21.42
Average Loss	-2.28	-3.54	-2.75	-2.28	-2.75	-2.56
Best Period	8.90	10.16	15.98	23.41	28.48	33.69	36.47	40.96
Worst Period	-7.23	-12.72	-10.40	-4.87	-7.29	-5.50	0.75	4.66
Standard Deviation	3.01	4.83	6.23	7.38	8.27	9.54	10.20	9.58
Gain Standard Deviation	1.97	2.72	4.71	6.79	7.55	9.06	10.20	9.58
Loss Standard Deviation	1.83	3.06	2.64	1.68	2.56	1.98
Sharpe Ratio (1%)	0.18	0.33	0.51	0.71	0.82	0.90	1.18	1.81
Average Gain / Average Loss	1.08	1.32	2.57	3.56	3.60	4.58
Profit / Loss Ratio	1.70	2.52	4.91	16.17	24.66	51.53
Downside Deviation (10%)	2.02	3.30	3.44	3.66	4.86	5.43	6.66	6.50
Downside Deviation (5%)	1.85	2.83	2.43	1.56	1.76	1.43	0.40
Downside Deviation (0%)	1.81	2.71	2.21	1.18	1.29	0.88
Sortino Ratio (10%)	0.11	0.19	0.36	0.34	0.14	0.06	-0.10	-0.02
Sortino Ratio (5%)	0.29	0.57	1.32	3.35	3.84	5.96	30.23
Sortino Ratio (0%)	0.35	0.68	1.67	5.27	6.40	11.99

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	10	0.27	10/2019
Diversified Trader Index	Month	10	3.62	5/2019
Trend Following Strategy Index	Month	8	3.62	5/2019
Diversified Trader Index	Month	7	3.33	10/2018
Trend Following Strategy Index	Month	2	3.33	10/2018
Trend Following Strategy Index	Month	2	3.58	3/2018
Diversified Trader Index	Month	2	3.58	3/2018
IASG CTA Index	Month	7	3.58	3/2018
Systematic Trader Index	Month	7	3.58	3/2018
Trend Following Strategy Index	Month	8	0.24	2/2018
Trend Following Strategy Index	Month	1	3.93	3/2017
IASG CTA Index	Month	7	3.93	3/2017
Diversified Trader Index	Month	4	3.93	3/2017
Systematic Trader Index	Month	6	3.93	3/2017
Diversified Trader Index	Month	2	6.60	12/2016
IASG CTA Index	Month	3	6.60	12/2016
Trend Following Strategy Index	Month	2	6.60	12/2016
Systematic Trader Index	Month	2	6.60	12/2016
Trend Following Strategy Index	Month	9	3.23	7/2016
Trend Following Strategy Index	Month	10	8.90	6/2016

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

^#10

Top Performer

TREND FOLLOWING STRATEGY INDEX

OCTOBER
2019

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Program Name	CAROR
Prolific Swiss System	7.20%

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Prolific Capital Markets, LLC : Prolific Swiss System

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

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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