Saxon Investment Corporation : Diversified Program

Year-to-Date: N / A
Sep Performance: -0.50%

Min Investment: $ 3,000k
Mgmt. Fee: 0%
Perf. Fee: 25.00%

Annualized Vol: 22.24%
Sharpe (RFR=1%): 0.54
CAROR: 11.06%

Assets: $ 4.3M
Worst DD: -41.55
S&P Correlation: -0.03

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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	Sep	Qtr	2019	1yr	3yr	5yr	10yr	Since 9/1988
Diversified Program	-0.50	-2.63	-	-2.14	-13.35	-17.04	46.46	1,803.63
S&P 500	-0.12	3.31	-	12.93	28.94	91.62	62.29	681.80
+/- S&P 500	-0.38	-5.94	-	-15.06	-42.29	-108.66	-15.83	1,121.83

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 3,000k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor
Management Fee: 0%
Performance Fee: 25.00%
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: 4%
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

Saxon currently offers two trading programs, the Diversified and Aggressive Diversified Programs, which trade the same diversified portfolio of commodity interests using the same trading strategies, but at different levels of capital utilization and risk. The Diversified Program commenced trading in September 1988. The programs differ with respect to a component of Saxon's money management strategy. This money management plan incorporates a fixed fractional strategy: the amount risked on any particular trade is a fixed percentage of the account's equity as adjusted for a) gross realized profits and losses to date and b) amounts already at risk. Specific Commodity Interests to be traded will be selected from time to time by Saxon. Examples of Commodity Interests currently traded include, but are not limited to, U.S. and foreign interest rates, foreign currencies, precious and industrial metals, grains and soybean products, energy products, coffee, sugar, cotton, 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
-41.55	15	8	12/1/1994	3/1/1996
-39.66	17	12	12/1/1990	5/1/1992
-24.90	4	2	12/1/1993	4/1/1994
-21.44	11	2	7/1/1997	6/1/1998
-19.32	18	25	3/1/2004	9/1/2005
-18.65	65	-	4/1/2011	9/1/2016
-17.06	3	2	7/1/1993	10/1/1993
-15.98	2	3	9/1/2002	11/1/2002
-13.92	6	2	10/1/2001	4/1/2002
-11.53	1	2	11/1/1996	12/1/1996
-10.90	3	4	7/1/1989	10/1/1989
-9.86	1	1	3/1/1989	4/1/1989
-8.43	1	3	4/1/1999	5/1/1999
-7.67	2	2	3/1/1997	5/1/1997
-6.92	1	2	2/1/2003	3/1/2003
-6.41	1	2	7/1/1994	8/1/1994
-5.30	1	1	10/1/2003	11/1/2003
-5.25	2	1	8/1/2000	10/1/2000
-4.80	1	2	12/1/1988	1/1/1989
-4.77	5	2	12/1/2000	5/1/2001
-4.40	2	4	10/1/1998	12/1/1998
-4.05	3	8	6/1/2008	9/1/2008
-3.88	1	2	9/1/1990	10/1/1990
-3.59	1	4	4/1/2010	5/1/2010
-3.51	1	1	3/1/2000	4/1/2000
-3.47	1	2	4/1/1990	5/1/1990
-3.26	1	2	9/1/1999	10/1/1999
-2.73	1	1	5/1/1993	6/1/1993
-2.46	1	3	5/1/2003	6/1/2003
-1.51	1	2	7/1/2001	8/1/2001
-1.16	2	2	11/1/2009	1/1/2010
-0.83	1	1	10/1/2010	11/1/2010
-0.43	1	1	5/1/2009	6/1/2009
-0.42	1	1	12/1/1999	1/1/2000
-0.33	1	1	9/1/2009	10/1/2009
-0.06	1	1	2/1/2011	3/1/2011

Consecutive Gains

Run-up	Length (Mos.)	Start	End
69.16	6	6/1/1996	11/1/1996
60.56	3	5/1/1994	7/1/1994
52.42	10	9/1/2007	6/1/2008
50.16	5	5/1/2002	9/1/2002
44.68	4	9/1/1994	12/1/1994
42.49	4	2/1/1993	5/1/1993
39.57	4	7/1/1998	10/1/1998
38.92	3	5/1/1989	7/1/1989
37.13	3	10/1/1992	12/1/1992
28.02	1	4/1/1996	4/1/1996
24.84	2	11/1/1993	12/1/1993
22.78	2	3/1/1995	4/1/1995
22.70	4	7/1/2003	10/1/2003
22.46	6	11/1/1989	4/1/1990
21.61	3	1/1/1997	3/1/1997
20.92	3	6/1/1992	8/1/1992
20.50	1	7/1/1993	7/1/1993
19.28	3	12/1/2002	2/1/2003
19.18	4	9/1/1988	12/1/1988
17.94	2	11/1/2000	12/1/2000
17.74	4	12/1/2003	3/1/2004
17.17	2	11/1/1995	12/1/1995
15.62	2	4/1/2003	5/1/2003
15.42	2	8/1/1999	9/1/1999
12.71	4	10/1/2005	1/1/2006
11.70	2	9/1/2001	10/1/2001
11.33	1	12/1/1991	12/1/1991
10.85	1	9/1/1997	9/1/1997
10.27	2	4/1/2006	5/1/2006
10.09	2	2/1/1989	3/1/1989
9.73	2	6/1/1997	7/1/1997
8.76	4	6/1/1990	9/1/1990
8.61	4	5/1/2000	8/1/2000
7.69	2	6/1/2001	7/1/2001
7.15	5	6/1/2010	10/1/2010
7.06	2	11/1/1990	12/1/1990
6.65	2	6/1/2007	7/1/2007
5.51	1	4/1/1999	4/1/1999
5.27	1	11/1/2004	11/1/2004
5.15	3	7/1/2009	9/1/2009
5.00	2	2/1/2000	3/1/2000
4.62	3	12/1/2010	2/1/2011
4.32	1	3/1/1994	3/1/1994
4.09	5	10/1/2008	2/1/2009
3.95	1	12/1/2001	12/1/2001
3.77	2	12/1/1997	1/1/1998
3.76	1	3/1/2002	3/1/2002
3.75	2	11/1/1999	12/1/1999
3.39	1	5/1/2005	5/1/2005
3.38	3	2/1/2010	4/1/2010
3.37	1	11/1/2006	11/1/2006
3.33	2	4/1/2009	5/1/2009
2.89	2	8/1/2004	9/1/2004
2.47	1	3/1/2005	3/1/2005
2.46	1	6/1/1999	6/1/1999
2.39	1	1/1/1999	1/1/1999
2.38	1	11/1/2009	11/1/2009
2.32	1	4/1/2011	4/1/2011
2.31	1	6/1/1995	6/1/1995
2.20	1	6/1/1991	6/1/1991
2.12	1	6/1/2016	6/1/2016
1.59	3	4/1/2014	6/1/2014
1.38	2	6/1/2013	7/1/2013
1.34	1	2/1/2014	2/1/2014
1.15	1	2/1/2007	2/1/2007
1.12	3	7/1/2012	9/1/2012
1.12	1	1/1/2013	1/1/2013
1.03	2	7/1/2011	8/1/2011
0.83	1	12/1/2013	12/1/2013
0.77	1	4/1/2007	4/1/2007
0.75	1	4/1/2016	4/1/2016
0.67	2	1/1/2016	2/1/2016
0.47	1	4/1/2015	4/1/2015
0.45	1	8/1/2014	8/1/2014
0.43	1	3/1/2013	3/1/2013
0.29	1	5/1/1998	5/1/1998
0.25	1	9/1/2006	9/1/2006
0.23	1	9/1/2015	9/1/2015
0.14	1	11/1/2014	11/1/2014
0.08	1	5/1/2004	5/1/2004
0.03	1	2/1/2012	2/1/2012

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-31.82	4	7/1/1995	10/1/1995
-25.01	5	1/1/1992	5/1/1992
-22.30	3	1/1/1996	3/1/1996
-21.98	2	1/1/1994	2/1/1994
-18.86	2	1/1/1995	2/1/1995
-18.30	1	5/1/1996	5/1/1996
-17.79	5	1/1/1991	5/1/1991
-17.06	3	8/1/1993	10/1/1993
-15.98	2	10/1/2002	11/1/2002
-13.99	5	7/1/1991	11/1/1991
-13.32	1	8/1/1997	8/1/1997
-12.10	1	9/1/1992	9/1/1992
-11.87	2	10/1/1997	11/1/1997
-11.78	1	1/1/1993	1/1/1993
-11.53	1	12/1/1996	12/1/1996
-10.90	3	8/1/1989	10/1/1989
-9.86	1	4/1/1989	4/1/1989
-9.37	4	6/1/2005	9/1/2005
-8.43	1	4/1/2002	4/1/2002
-8.43	1	5/1/1999	5/1/1999
-7.92	3	2/1/1998	4/1/1998
-7.73	1	4/1/1994	4/1/1994
-7.67	2	4/1/1997	5/1/1997
-7.63	2	12/1/2006	1/1/2007
-7.62	1	5/1/1995	5/1/1995
-7.12	4	5/1/2015	8/1/2015
-6.92	1	3/1/2003	3/1/2003
-6.77	1	11/1/2001	11/1/2001
-6.66	1	4/1/2004	4/1/2004
-6.52	2	1/1/2002	2/1/2002
-6.46	2	6/1/2004	7/1/2004
-6.41	1	8/1/1994	8/1/1994
-5.93	1	8/1/2007	8/1/2007
-5.84	3	6/1/2006	8/1/2006
-5.70	1	4/1/2005	4/1/2005
-5.53	3	12/1/2004	2/1/2005
-5.30	1	11/1/2003	11/1/2003
-5.25	2	9/1/2000	10/1/2000
-4.80	1	1/1/1989	1/1/1989
-4.77	5	1/1/2001	5/1/2001
-4.40	2	11/1/1998	12/1/1998
-4.05	3	7/1/2008	9/1/2008
-3.93	3	7/1/2016	9/1/2016
-3.88	1	10/1/1990	10/1/1990
-3.59	1	5/1/2010	5/1/2010
-3.51	1	4/1/2000	4/1/2000
-3.47	1	5/1/1990	5/1/1990
-3.26	1	10/1/1999	10/1/1999
-3.19	1	6/1/1998	6/1/1998
-3.00	3	10/1/2012	12/1/2012
-2.73	1	6/1/1993	6/1/1993
-2.72	4	12/1/2014	3/1/2015
-2.46	1	6/1/2003	6/1/2003
-2.38	1	7/1/2014	7/1/2014
-2.35	4	8/1/2013	11/1/2013
-2.07	2	2/1/1999	3/1/1999
-1.97	2	5/1/2011	6/1/2011
-1.80	1	2/1/2013	2/1/2013
-1.54	3	10/1/2015	12/1/2015
-1.51	1	8/1/2001	8/1/2001
-1.49	1	10/1/2006	10/1/2006
-1.42	1	3/1/2007	3/1/2007
-1.26	1	5/1/2016	5/1/2016
-1.23	1	1/1/2014	1/1/2014
-1.16	2	12/1/2009	1/1/2010
-1.05	1	3/1/2014	3/1/2014
-1.03	2	2/1/2006	3/1/2006
-1.02	5	9/1/2011	1/1/2012
-0.83	1	11/1/2010	11/1/2010
-0.82	2	4/1/2013	5/1/2013
-0.71	2	9/1/2014	10/1/2014
-0.65	4	3/1/2012	6/1/2012
-0.43	1	6/1/2009	6/1/2009
-0.42	1	3/1/2009	3/1/2009
-0.42	1	1/1/2000	1/1/2000
-0.33	1	10/1/2009	10/1/2009
-0.33	1	10/1/2004	10/1/2004
-0.22	1	5/1/2007	5/1/2007
-0.15	1	3/1/2016	3/1/2016
-0.13	1	7/1/1999	7/1/1999
-0.06	1	3/1/2011	3/1/2011

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	337.00	335.00	332.00	326.00	320.00	314.00	302.00	290.00	278.00
Percent Profitable	54.01	56.12	59.34	65.03	72.19	75.48	82.12	91.72	93.88
Average Period Return	1.08	3.22	6.44	13.11	19.70	26.75	43.25	62.74	87.59
Average Gain	4.89	9.36	14.94	24.88	31.15	38.40	54.60	69.46	94.02
Average Loss	-3.45	-4.63	-5.97	-8.78	-10.03	-9.11	-8.86	-11.69	-11.26
Best Period	28.02	60.56	73.37	116.58	112.59	149.26	234.13	199.07	279.43
Worst Period	-19.22	-30.10	-35.56	-39.02	-37.26	-34.00	-23.93	-17.42	-17.44
Standard Deviation	6.42	11.24	15.89	23.85	28.00	33.59	44.26	45.14	57.66
Gain Standard Deviation	5.61	10.84	14.93	21.02	24.13	30.33	40.72	40.90	53.48
Loss Standard Deviation	3.95	5.28	6.00	8.26	9.04	7.88	5.63	5.00	5.57
Sharpe Ratio (1%)	0.15	0.26	0.37	0.51	0.65	0.74	0.91	1.30	1.43
Average Gain / Average Loss	1.42	2.02	2.50	2.83	3.11	4.22	6.16	5.94	8.35
Profit / Loss Ratio	1.69	2.58	3.65	5.27	8.06	12.97	28.30	65.86	128.24
Downside Deviation (10%)	3.71	5.22	6.61	9.52	10.52	10.52	11.13	10.37	10.96
Downside Deviation (5%)	3.56	4.75	5.62	7.56	7.71	6.74	5.56	4.75	4.28
Downside Deviation (0%)	3.53	4.64	5.39	7.11	7.10	5.95	4.43	3.65	3.09
Sortino Ratio (10%)	0.18	0.38	0.60	0.85	1.15	1.57	2.47	3.97	5.47
Sortino Ratio (5%)	0.28	0.62	1.06	1.60	2.36	3.67	7.23	12.36	19.25
Sortino Ratio (0%)	0.31	0.69	1.20	1.84	2.77	4.50	9.77	17.21	28.36

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	10	1.15	2/2007
IASG CTA Index	5 Year Rolling	8	168.87	1998 - 2003
Trend Following Strategy Index	Month	7	13.07	10/2003
Systematic Trader Index	Month	8	13.07	10/2003
Diversified Trader Index	Month	9	13.07	10/2003
IASG CTA Index	Month	10	7.22	9/2003
Diversified Trader Index	Month	7	7.22	9/2003
Trend Following Strategy Index	Month	6	7.22	9/2003
Systematic Trader Index	Month	5	7.22	9/2003
Trend Following Strategy Index	Month	6	10.88	8/2002
IASG CTA Index	Month	8	10.88	8/2002
Systematic Trader Index	Month	7	10.88	8/2002
Diversified Trader Index	Month	6	10.88	8/2002
Trend Following Strategy Index	Month	9	8.20	5/2002
Systematic Trader Index	Month	10	8.20	5/2002
Diversified Trader Index	Month	10	3.95	12/2001
IASG CTA Index	Month	10	4.50	7/2001
Systematic Trader Index	Month	8	4.50	7/2001
Diversified Trader Index	Month	7	4.50	7/2001
Trend Following Strategy Index	Month	6	4.50	7/2001
Trend Following Strategy Index	Month	7	3.05	6/2001
Systematic Trader Index	Month	9	3.05	6/2001
Diversified Trader Index	Month	9	3.05	6/2001
Trend Following Strategy Index	Month	5	-1.37	4/2001
Trend Following Strategy Index	Month	6	1.08	7/2000
Diversified Trader Index	Month	8	1.08	7/2000
Systematic Trader Index	Month	10	1.08	7/2000
Trend Following Strategy Index	Month	10	1.56	6/2000
Trend Following Strategy Index	Month	9	0.73	3/2000
Systematic Trader Index	Month	10	4.24	2/2000
Trend Following Strategy Index	Month	6	4.24	2/2000
Trend Following Strategy Index	Month	8	-3.26	10/1999
Diversified Trader Index	Month	10	3.93	9/1999
Trend Following Strategy Index	Month	9	3.93	9/1999
Systematic Trader Index	Month	9	3.93	9/1999
IASG CTA Index	Month	2	11.06	8/1999
Trend Following Strategy Index	Month	2	11.06	8/1999
Systematic Trader Index	Month	2	11.06	8/1999
Diversified Trader Index	Month	2	11.06	8/1999
Trend Following Strategy Index	Month	9	5.51	4/1999
IASG CTA Index	Month	9	2.39	1/1999
Trend Following Strategy Index	Month	3	2.39	1/1999
Systematic Trader Index	Month	4	2.39	1/1999
Diversified Trader Index	Month	5	2.39	1/1999
Trend Following Strategy Index	Month	5	1.38	10/1998
Diversified Trader Index	Month	10	1.38	10/1998
Trend Following Strategy Index	Month	8	0.80	7/1998
Trend Following Strategy Index	Month	10	-4.42	4/1998
Systematic Trader Index	Month	4	10.85	9/1997
Diversified Trader Index	Month	4	10.85	9/1997
IASG CTA Index	Month	4	10.85	9/1997
Trend Following Strategy Index	Month	4	10.85	9/1997
Diversified Trader Index	Month	6	5.48	3/1997
IASG CTA Index	Month	7	5.48	3/1997
Trend Following Strategy Index	Month	6	5.48	3/1997
Systematic Trader Index	Month	6	5.48	3/1997
Diversified Trader Index	Month	4	10.73	2/1997
Trend Following Strategy Index	Month	4	10.73	2/1997
Systematic Trader Index	Month	4	10.73	2/1997
IASG CTA Index	Month	4	10.73	2/1997
IASG CTA Index	5 Year Rolling	7	149.08	1991 - 1996
Trend Following Strategy Index	Month	4	23.39	10/1996
IASG CTA Index	Month	4	23.39	10/1996
Diversified Trader Index	Month	4	23.39	10/1996
Systematic Trader Index	Month	4	23.39	10/1996
Diversified Trader Index	Month	6	18.78	9/1996
IASG CTA Index	Month	6	18.78	9/1996
Systematic Trader Index	Month	6	18.78	9/1996
Trend Following Strategy Index	Month	6	18.78	9/1996
Trend Following Strategy Index	Month	6	1.54	8/1996
Systematic Trader Index	Month	8	1.54	8/1996
Diversified Trader Index	Month	10	1.54	8/1996
Diversified Trader Index	Month	9	0.29	7/1996
Systematic Trader Index	Month	9	0.29	7/1996
IASG CTA Index	Month	10	0.29	7/1996
Trend Following Strategy Index	Month	7	0.29	7/1996
IASG CTA Index	Month	7	6.19	6/1996
Diversified Trader Index	Month	6	6.19	6/1996
Trend Following Strategy Index	Month	4	6.19	6/1996
Systematic Trader Index	Month	4	6.19	6/1996
Diversified Trader Index	Month	2	28.02	4/1996
Trend Following Strategy Index	Month	2	28.02	4/1996
Systematic Trader Index	Month	2	28.02	4/1996
IASG CTA Index	Month	2	28.02	4/1996
IASG CTA Index	5 Year Rolling	10	64.78	1990 - 1995
Trend Following Strategy Index	Month	5	2.31	6/1995
Diversified Trader Index	Month	5	2.31	6/1995
IASG CTA Index	Month	6	2.31	6/1995
Systematic Trader Index	Month	6	2.31	6/1995
Trend Following Strategy Index	Month	10	3.95	4/1995
Trend Following Strategy Index	Month	10	18.11	3/1995
Systematic Trader Index	Month	10	18.11	3/1995
IASG CTA Index	5 Year Rolling	6	161.68	1989 - 1994
IASG CTA Index	Year Rolling	2	63.27	1993 - 1994
IASG CTA Index	3 Year Rolling	2	172.27	1991 - 1994
Systematic Trader Index	Month	2	14.61	12/1994
Trend Following Strategy Index	Month	2	14.61	12/1994
Diversified Trader Index	Month	2	14.61	12/1994
IASG CTA Index	Month	3	14.61	12/1994
Trend Following Strategy Index	Month	9	9.41	11/1994

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

FEBRUARY
2007

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Program Name	CAROR

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Saxon Investment Corporation : Diversified Program

Growth of 1,000 - VAMI

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