Salona Capital LLC : ACP2

Year-to-Date: N / A
Dec Performance: 0.58%

Min Investment: $ 25k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 2.30%
Sharpe (RFR=1%): 2.47
CAROR: 6.85%

Assets: $ 340k
Worst DD: -1.96
S&P Correlation: -0.02

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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	Dec	Qtr	YTD	1yr	3yr	5yr	10yr	Since 11/2014
ACP2	0.58	1.66	-	7.95	19.94	-	-	23.33
S&P 500	3.43	5.21	-	18.21	28.55	-	-	28.01
+/- S&P 500	-2.85	-3.55	-	-10.26	-8.61	-	-	-4.68

Strategy Description

Summary

Salona Capital develops innovative alternative investment strategies that aim to complement and supplement an investor’s traditional portfolio. The Salona Capital methodology strives to provide enhanced investment returns in all three market stages. The potential to create investor... Read More

Account & Fees

Type: Managed Account
Minimum Investment: $ 25k
Trading Level Incremental Increase: $ 200k
CTA Max Funding Factor
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $25.00
Available to US Investors: Yes

Subscriptions

High Water Mark: Yes
Subscription Frequency: Daily
Redemption Frequency: Daily
Investor Requirements: Any Investor
Lock-up Period: 0

Trading

Trading Frequency: 3500 RT/YR/$M
Avg. Margin-to-Equity: 60%
Targeted Worst DD: -12.00%
Worst Peak-to-Trough: 0%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 5.00%
1-3 Months: 40.00%
1-30 Days: 50.00%
Intraday: 5.00%

Summary

Investment Strategy

The All Commodity Program 2(“ACP2”) takes the Salona Capital methodology and applies it not only to the stock indices but to over thirty different financial future and commodity markets; including but not limited to Currency, Metal, Energy, Grain, Meat, Soft and Interest Rate products. Due to an abundance of prospective trades at any given time, investment opportunities are thoroughly vetted, accounting for not only individual risk and reward but overall portfolio risk. World economies and markets are becoming more interdependent and connected by the day and a change in one can have a profound ripple effect. This provides sophisticated investors with substantial opportunities to add above average value to their portfolio, along with the corresponding risk associated with futures and options trading. The All Commodity Program primarily utilizes the writing of naked futures options but will also purchase options and open outright futures positions. It will at times engage in spread trading, day trading and intermediate term trend following in addition to writing options that normally expire within 150 days. The program is technical with a discretionary override.

Risk Management

The Advisor employs a top down multi-tiered risk management strategy that is intended to minimize drawdowns by gauging market risk, overall portfolio risk, and each individual trade's risk reward and its impact on the overall risk profile of the portfolio. Proper money management and constant risk assessment are vital due to the constant flux and rapid state of change in the world’s economies 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.

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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
-1.96	1	2	3/1/2015	4/1/2015
-0.63	2	2	1/1/2016	3/1/2016
-0.43	1	2	8/1/2016	9/1/2016
-0.30	1	1	7/1/2015	8/1/2015
-0.05	1	1	6/1/2017	7/1/2017

Consecutive Gains

Run-up	Length (Mos.)	Start	End
6.86	5	11/1/2014	3/1/2015
6.33	9	10/1/2016	6/1/2017
3.24	3	5/1/2015	7/1/2015
3.04	5	4/1/2016	8/1/2016
2.75	5	8/1/2017	12/1/2017
2.74	5	9/1/2015	1/1/2016

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-1.96	1	4/1/2015	4/1/2015
-0.63	2	2/1/2016	3/1/2016
-0.43	1	9/1/2016	9/1/2016
-0.30	1	8/1/2015	8/1/2015
-0.05	1	7/1/2017	7/1/2017

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year
Number of Periods	38.00	36.00	33.00	27.00	21.00	15.00
Percent Profitable	84.21	94.44	100.00	100.00	100.00	100.00
Average Period Return	0.56	1.59	2.98	5.88	8.56	11.66
Average Gain	0.77	1.71	2.98	5.88	8.56	11.66
Average Loss	-0.56	-0.30
Best Period	1.81	4.26	5.11	8.99	10.58	13.28
Worst Period	-1.96	-0.35	1.10	3.02	5.70	9.62
Standard Deviation	0.66	1.11	1.05	1.61	1.32	0.99
Gain Standard Deviation	0.40	1.04	1.05	1.61	1.32	0.99
Loss Standard Deviation	0.70	0.07
Sharpe Ratio (1%)	0.71	1.21	2.37	3.03	5.35	9.74
Average Gain / Average Loss	1.36	5.62
Profit / Loss Ratio	7.26	95.46
Downside Deviation (10%)	0.47	0.52	0.43	0.63	0.50	0.16
Downside Deviation (5%)	0.36	0.14
Downside Deviation (0%)	0.34	0.07
Sortino Ratio (10%)	0.32	0.71	1.19	1.39	1.95	8.62
Sortino Ratio (5%)	1.31	9.83
Sortino Ratio (0%)	1.65	22.00

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Option Strategy Index	Month	9	0.65	11/2016

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

^#9

Top Performer

OPTION STRATEGY INDEX

NOVEMBER
2016

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Salona Capital LLC : ACP2

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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