ReSolve Asset Management Inc. : Resolve Acorn Diversified Program

Year-to-Date: 10.46%
Oct Performance: -0.03%

Min Investment: $ 10k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 15.01%
Sharpe (RFR=1%): 0.21
CAROR: 3.09%

Assets: $ 21.3M
Worst DD: -50.29
S&P Correlation: -0.05

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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	Oct	Qtr	YTD	1yr	3yr	5yr	10yr	Since 7/2005
Resolve Acorn Diversified Program	-0.03	-0.36	10.46	10.77	-32.99	-33.18	-11.46	54.78
S&P 500	2.04	1.92	21.16	12.01	41.41	48.99	190.12	143.58
+/- S&P 500	-2.07	-2.28	-10.70	-1.24	-74.40	-82.17	-201.58	-88.80

Strategy Description

Summary

Account & Fees

Type: Fund
Minimum Investment: $ 10k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor
Management Fee: 1.00%
Performance Fee: 20.00%
Average Commission: $0
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: 4000 RT/YR/$M
Avg. Margin-to-Equity: 15%
Targeted Worst DD
Worst Peak-to-Trough: 0%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 1.00%
1-3 Months: 20.00%
1-30 Days: 79.00%
Intraday: 0%

Summary

The objective of the Acorn Diversified Program is to deliver long‐term capital appreciation as well as a diversification benefit through low correlation to equity, bond and real estate investments. Acorn Global Investments, founded in 2005, is an alternative investment manager that identifies early stage opportunities in global futures markets. With institutional infrastructure and extensive experience, we serve institutions, advisors and individuals from around the world. Acorn has two offices in Canada, located in Oakville, Ontario, and in Montreal, Quebec.

Investment Strategy

Please visit www.acorn.ca for further details. The Acorn Diversified Program is available through a Canadian Trust, U.S. LLC, and Managed Accounts.

Risk Management

Please visit www.acorn.ca for further details.

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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
-50.29	35	-	2/1/2016	1/1/2019
-22.96	4	15	4/1/2006	8/1/2006
-18.41	21	12	7/1/2008	4/1/2010
-16.93	12	12	4/1/2011	4/1/2012
-11.76	7	4	3/1/2015	10/1/2015
-11.03	4	3	2/1/2014	6/1/2014
-7.19	4	5	5/1/2013	9/1/2013
-7.02	1	2	9/1/2005	10/1/2005
-5.51	2	1	3/1/2008	5/1/2008
-0.44	1	1	11/1/2007	12/1/2007
-0.40	1	1	9/1/2014	10/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
38.41	6	11/1/2005	4/1/2006
30.27	3	1/1/2008	3/1/2008
23.58	4	8/1/2007	11/1/2007
17.26	5	9/1/2006	1/1/2007
16.72	5	11/1/2014	3/1/2015
16.22	5	10/1/2013	2/1/2014
13.89	2	1/1/2016	2/1/2016
12.58	3	7/1/2014	9/1/2014
12.00	3	8/1/2010	10/1/2010
10.71	3	3/1/2013	5/1/2013
10.03	1	5/1/2012	5/1/2012
9.90	3	6/1/2019	8/1/2019
9.89	1	9/1/2012	9/1/2012
9.24	2	6/1/2008	7/1/2008
8.36	3	7/1/2005	9/1/2005
8.24	3	4/1/2007	6/1/2007
7.92	3	2/1/2019	4/1/2019
7.56	1	12/1/2010	12/1/2010
7.51	1	1/1/2013	1/1/2013
7.46	2	7/1/2011	8/1/2011
6.18	1	4/1/2011	4/1/2011
5.25	1	10/1/2008	10/1/2008
4.72	2	7/1/2015	8/1/2015
4.56	1	11/1/2015	11/1/2015
4.41	2	5/1/2010	6/1/2010
3.92	2	8/1/2009	9/1/2009
3.80	1	8/1/2018	8/1/2018
3.76	1	6/1/2016	6/1/2016
2.97	1	11/1/2016	11/1/2016
2.65	1	3/1/2010	3/1/2010
2.62	1	2/1/2011	2/1/2011
2.32	1	1/1/2018	1/1/2018
2.30	1	12/1/2018	12/1/2018
2.21	1	12/1/2009	12/1/2009
1.59	1	7/1/2012	7/1/2012
1.06	1	3/1/2012	3/1/2012
0.72	1	11/1/2011	11/1/2011
0.21	2	7/1/2013	8/1/2013
0.17	1	4/1/2018	4/1/2018
0.12	1	5/1/2015	5/1/2015

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-34.93	13	12/1/2016	12/1/2017
-22.96	4	5/1/2006	8/1/2006
-13.24	2	8/1/2008	9/1/2008
-12.24	4	7/1/2016	10/1/2016
-11.03	4	3/1/2014	6/1/2014
-9.59	2	9/1/2015	10/1/2015
-9.57	2	5/1/2011	6/1/2011
-9.51	3	9/1/2018	11/1/2018
-8.52	2	2/1/2007	3/1/2007
-7.66	3	12/1/2011	2/1/2012
-7.63	3	3/1/2016	5/1/2016
-7.47	2	10/1/2009	11/1/2009
-7.19	1	9/1/2013	9/1/2013
-7.02	1	10/1/2005	10/1/2005
-6.18	2	9/1/2011	10/1/2011
-5.51	2	4/1/2008	5/1/2008
-4.90	3	10/1/2012	12/1/2012
-4.86	3	5/1/2018	7/1/2018
-4.68	9	11/1/2008	7/1/2009
-4.50	1	2/1/2013	2/1/2013
-4.39	2	1/1/2010	2/1/2010
-4.35	1	7/1/2007	7/1/2007
-3.96	1	6/1/2015	6/1/2015
-3.38	2	9/1/2019	10/1/2019
-3.36	2	2/1/2018	3/1/2018
-3.34	1	12/1/2015	12/1/2015
-3.07	1	4/1/2015	4/1/2015
-3.06	1	4/1/2012	4/1/2012
-2.82	1	4/1/2010	4/1/2010
-2.58	1	1/1/2019	1/1/2019
-2.57	1	8/1/2012	8/1/2012
-2.38	1	11/1/2010	11/1/2010
-2.21	1	6/1/2012	6/1/2012
-2.09	1	1/1/2011	1/1/2011
-1.68	1	3/1/2011	3/1/2011
-1.25	1	7/1/2010	7/1/2010
-1.05	1	5/1/2019	5/1/2019
-0.44	1	12/1/2007	12/1/2007
-0.40	1	10/1/2014	10/1/2014
-0.21	1	6/1/2013	6/1/2013

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	172.00	170.00	167.00	161.00	155.00	149.00	137.00	125.00	113.00
Percent Profitable	48.26	48.82	50.30	55.28	60.65	67.79	72.26	69.60	73.45
Average Period Return	0.35	1.07	2.16	3.45	5.57	7.73	11.99	16.31	22.16
Average Gain	3.85	7.56	11.79	15.77	20.01	22.70	28.53	35.41	39.26
Average Loss	-3.16	-5.44	-7.78	-11.77	-16.67	-23.75	-31.11	-27.44	-25.15
Best Period	12.10	30.27	51.34	65.93	72.91	82.15	93.47	79.55	85.27
Worst Period	-13.80	-22.29	-24.06	-34.54	-41.20	-44.18	-49.22	-47.68	-39.95
Standard Deviation	4.33	8.20	12.72	18.74	23.68	27.10	32.79	33.83	33.72
Gain Standard Deviation	2.96	5.88	10.05	14.78	16.89	16.79	20.20	18.68	20.06
Loss Standard Deviation	2.40	4.37	5.78	9.76	12.93	14.80	15.22	14.15	10.06
Sharpe Ratio (1%)	0.06	0.10	0.13	0.13	0.17	0.21	0.27	0.36	0.51
Average Gain / Average Loss	1.22	1.39	1.52	1.34	1.20	0.96	0.92	1.29	1.56
Profit / Loss Ratio	1.23	1.41	1.57	1.66	1.85	2.01	2.39	2.95	4.32
Downside Deviation (10%)	2.97	5.53	8.19	13.01	17.30	21.11	26.25	28.38	28.29
Downside Deviation (5%)	2.78	4.97	7.02	10.72	13.96	16.82	19.65	19.00	16.40
Downside Deviation (0%)	2.74	4.83	6.73	10.20	13.20	15.84	18.19	16.97	13.92
Sortino Ratio (10%)	-0.02	-0.03	-0.04	-0.12	-0.12	-0.12	-0.14	-0.18	-0.19
Sortino Ratio (5%)	0.09	0.16	0.24	0.23	0.29	0.34	0.46	0.64	1.04
Sortino Ratio (0%)	0.13	0.22	0.32	0.34	0.42	0.49	0.66	0.96	1.59

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	4	11.60	2/2014
Systematic Trader Index	Month	5	11.60	2/2014
IASG CTA Index	Month	7	11.60	2/2014
Diversified Trader Index	Month	7	11.60	2/2014
Diversified Trader Index	Month	4	9.96	9/2012
IASG CTA Index	Month	2	9.96	9/2012
Trend Following Strategy Index	Month	2	9.96	9/2012
Systematic Trader Index	Month	3	9.96	9/2012
Trend Following Strategy Index	Month	8	2.21	12/2009
Trend Following Strategy Index	Month	5	2.02	7/2008
Trend Following Strategy Index	Month	10	1.85	8/2007

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

FEBRUARY
2014

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Program Name	CAROR
Resolve Acorn Diversified Program	3.09%

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Watchlists 44

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ReSolve Asset Management Inc. : Resolve Acorn 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

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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