Scully Capital Management, LLC : Poniente Program

Year-to-Date: N / A
Aug Performance: 5.05%

Min Investment: $ 2,500k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 20.16%
Sharpe (RFR=1%): 0.61
CAROR: 11.90%

Assets: $ 18.0M
Worst DD: -24.04
S&P Correlation: -0.13

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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	Aug	Qtr	YTD	1yr	3yr	5yr	10yr	Since 1/1999
Poniente Program	5.05	-	-	-	-	-	-1.58	315.67
S&P 500	-5.68	-	-	-	-	-	7.52	152.90
+/- S&P 500	10.73	-	-	-	-	-	-9.10	162.77

Strategy Description

Summary

The Poniente Program seeks to exploit behavior-induced market inefficiencies in global futures and foreign exchange markets. We believe that superior long-term results can be achieved by systematically exploiting the tendency of investors to under-react, over-react or become complacent... Read More

Account & Fees

Type	Managed Account
Minimum Investment	$ 2,500k
Trading Level Incremental Increase	$ 100k
CTA Max Funding Factor
Management Fee	2.00%
Performance Fee	20.00%
Average Commission	$6.00
Available to US Investors	Yes

Subscriptions

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

Trading

Trading Frequency	1000 RT/YR/$M
Avg. Margin-to-Equity	15%
Targeted Worst DD	-35.00%
Worst Peak-to-Trough	24.04%
Sector Focus	Diversified Traders

Holding Periods

Over 12 Months	1.00%
4-12 Months	38.00%
1-3 Months	61.00%
1-30 Days	0%
Intraday	0%

Decision-Making

Discretionary	5.00%
Systematic	95.00%

Strategy

Trend-following: 100.00%

Composition

Summary

Investment Strategy

The Program employs a highly disciplined, rule-based trading approach that leads to consistent, rational trading decisions despite often irrational market conditions. The Poniente Program emphasizes medium to long term trading across a diverse spectrum of markets.

Risk Management

Long or short positions are initiated where risk is determined to be low relative to potential returns. The Poniente Program employs sophisticated market-specific and inter-market risk management strategies in an effort to mitigate portfolio volatility and drawdown.

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
-24.04	5	6	11/1/2009	4/1/2010
-22.04	21	31	5/1/2003	2/1/2005
-18.13	10	15	4/1/2001	2/1/2002
-16.15	3	-	4/1/2011	7/1/2011
-14.85	5	3	2/1/2008	7/1/2008
-12.49	4	1	12/1/2008	4/1/2009
-10.23	4	2	5/1/2009	9/1/2009
-9.26	1	3	12/1/2010	1/1/2011
-4.52	5	2	7/1/1999	12/1/1999
-3.17	1	4	6/1/2000	7/1/2000
-2.62	1	1	10/1/2010	11/1/2010
-0.91	1	1	2/1/1999	3/1/1999
-0.54	1	1	5/1/1999	6/1/1999
-0.38	1	1	1/1/2001	2/1/2001

Consecutive Gains

Run-up	Length (Mos.)	Start	End
83.74	6	9/1/2007	2/1/2008
65.03	5	8/1/2008	12/1/2008
27.54	3	8/1/2010	10/1/2010
20.36	2	4/1/2003	5/1/2003
18.70	6	1/1/2000	6/1/2000
16.50	2	10/1/2009	11/1/2009
15.81	1	5/1/2009	5/1/2009
15.17	3	11/1/2000	1/1/2001
12.61	1	4/1/2011	4/1/2011
12.46	1	2/1/2003	2/1/2003
12.42	4	3/1/2002	6/1/2002
11.21	4	8/1/2005	11/1/2005
9.25	4	3/1/2005	6/1/2005
9.17	1	12/1/2010	12/1/2010
9.07	4	11/1/2006	2/1/2007
7.59	4	4/1/2007	7/1/2007
7.45	2	10/1/2004	11/1/2004
7.06	2	3/1/2001	4/1/2001
6.52	2	5/1/2010	6/1/2010
6.23	2	11/1/2002	12/1/2002
6.22	1	4/1/2006	4/1/2006
5.10	1	10/1/2001	10/1/2001
5.05	1	8/1/2011	8/1/2011
4.99	2	4/1/1999	5/1/1999
4.47	1	2/1/2004	2/1/2004
4.20	2	1/1/1999	2/1/1999
4.19	1	8/1/2001	8/1/2001
3.31	1	2/1/2011	2/1/2011
3.26	1	5/1/2008	5/1/2008
2.99	1	8/1/2000	8/1/2000
2.74	1	8/1/2002	8/1/2002
2.59	1	7/1/1999	7/1/1999
2.54	1	7/1/2004	7/1/2004
2.27	1	2/1/2006	2/1/2006
1.88	1	6/1/2001	6/1/2001
1.70	1	2/1/2009	2/1/2009
1.66	1	7/1/2009	7/1/2009
1.61	1	9/1/2003	9/1/2003
1.19	1	12/1/2003	12/1/2003
0.97	2	8/1/2006	9/1/2006
0.85	1	5/1/2004	5/1/2004
0.65	1	11/1/1999	11/1/1999

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-24.04	5	12/1/2009	4/1/2010
-16.15	3	5/1/2011	7/1/2011
-15.04	4	11/1/2001	2/1/2002
-11.40	3	12/1/2004	2/1/2005
-10.28	2	3/1/2008	4/1/2008
-10.13	2	9/1/2002	10/1/2002
-9.91	2	3/1/2009	4/1/2009
-9.35	3	6/1/2003	8/1/2003
-9.26	1	1/1/2011	1/1/2011
-8.09	2	6/1/2008	7/1/2008
-7.67	2	8/1/2009	9/1/2009
-6.77	3	5/1/2006	7/1/2006
-6.48	1	8/1/2007	8/1/2007
-6.44	2	10/1/2003	11/1/2003
-6.30	1	7/1/2001	7/1/2001
-4.99	1	3/1/2003	3/1/2003
-4.49	1	1/1/2009	1/1/2009
-4.36	1	6/1/2009	6/1/2009
-4.32	1	3/1/2006	3/1/2006
-4.05	2	3/1/2004	4/1/2004
-4.03	1	5/1/2001	5/1/2001
-3.95	1	1/1/2004	1/1/2004
-3.95	1	9/1/2001	9/1/2001
-3.58	2	12/1/2005	1/1/2006
-3.17	1	7/1/2000	7/1/2000
-3.09	1	3/1/2007	3/1/2007
-3.05	1	6/1/2004	6/1/2004
-3.04	3	8/1/1999	10/1/1999
-2.81	2	9/1/2000	10/1/2000
-2.72	2	8/1/2004	9/1/2004
-2.62	1	11/1/2010	11/1/2010
-2.51	1	1/1/2003	1/1/2003
-2.39	1	7/1/2005	7/1/2005
-2.16	1	12/1/1999	12/1/1999
-2.08	1	7/1/2002	7/1/2002
-1.35	1	10/1/2006	10/1/2006
-1.19	1	7/1/2010	7/1/2010
-0.91	1	3/1/1999	3/1/1999
-0.54	1	6/1/1999	6/1/1999
-0.43	1	3/1/2011	3/1/2011
-0.38	1	2/1/2001	2/1/2001

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	152.00	150.00	147.00	141.00	135.00	129.00	117.00	105.00	93.00
Percent Profitable	55.26	62.00	62.59	70.21	80.74	88.37	88.03	93.33	97.85
Average Period Return	1.10	3.30	6.88	14.45	22.13	30.83	50.16	69.59	80.23
Average Gain	4.79	8.60	14.33	23.48	29.26	35.67	57.57	75.00	82.00
Average Loss	-3.46	-5.35	-5.57	-6.85	-7.77	-6.00	-4.32	-6.13	-0.60
Best Period	26.15	46.38	83.74	93.35	150.80	165.90	182.74	205.46	207.94
Worst Period	-9.87	-19.75	-23.19	-19.67	-16.79	-15.20	-9.44	-9.95	-1.04
Standard Deviation	5.82	10.59	15.59	23.30	34.18	42.64	55.27	69.28	71.05
Gain Standard Deviation	5.08	9.77	15.13	22.09	34.30	43.06	54.86	68.57	70.79
Loss Standard Deviation	2.49	4.30	4.36	5.00	5.15	3.91	2.61	2.83	0.63
Sharpe Ratio (1%)	0.17	0.29	0.41	0.58	0.60	0.68	0.85	0.95	1.06
Average Gain / Average Loss	1.39	1.61	2.57	3.43	3.76	5.95	13.32	12.23	137.06
Profit / Loss Ratio	1.71	2.62	4.30	8.08	15.78	45.21	97.98	171.20	6236.18
Downside Deviation (10%)	3.07	4.83	5.59	7.05	7.37	6.55	8.57	10.26	10.34
Downside Deviation (5%)	2.89	4.34	4.56	5.07	4.64	3.03	2.70	2.80	1.07
Downside Deviation (0%)	2.84	4.21	4.31	4.61	4.07	2.42	1.73	1.72	0.11
Sortino Ratio (10%)	0.23	0.43	0.79	1.34	1.97	3.14	4.01	4.68	5.09
Sortino Ratio (5%)	0.35	0.70	1.40	2.65	4.45	9.51	17.43	23.42	69.98
Sortino Ratio (0%)	0.39	0.78	1.60	3.13	5.44	12.75	29.01	40.41	734.57

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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Scully Capital Management, LLC : Poniente 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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Scully Capital Management, LLC : Poniente 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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