Serac, LLC : Diversified Reversal Program

Year-to-Date: N / A
Dec Performance: 6.68%

Min Investment: $ 200k
Mgmt. Fee: 2.00%
Perf. Fee: 30.00%

Annualized Vol: 31.78%
Sharpe (RFR=1%): 0.97
CAROR: 31.52%

Assets: $ 362k
Worst DD: -19.83
S&P Correlation: -0.11

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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 4/2011
Diversified Reversal Program	6.68	12.74	-	7.33	44.15	-	-	179.38
S&P 500	-0.42	4.39	-	11.39	63.72	-	-	51.59
+/- S&P 500	7.10	8.35	-	-4.06	-19.57	-	-	127.78

Strategy Description

Summary

Account & Fees

Type: Managed Account
Minimum Investment: $ 200k
Trading Level Incremental Increase: $ 0k
CTA Max Funding Factor: 3.00
Management Fee: 2.00%
Performance Fee: 30.00%
Average Commission: $6.50
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: 4000 RT/YR/$M
Avg. Margin-to-Equity: 20%
Targeted Worst DD
Worst Peak-to-Trough: 18.00%
Sector Focus: Diversified Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 25.00%
Intraday: 75.00%

Summary

The Diversified Reversal Program trades futures primarily in gold, silver, and crude oil. The majority of the trading is done using fully automated algorithmic trading programs. These proprietary systems will be mainly day trades or very short swing trades. These systems use very different technical indicators such as time, moving averages, ATR, volume, and other tools specific to each system. When discretionary trading takes place it is only after extensive characterization of market conditions and past trade opportunities. We consider these trades discretionary even though we are using rule based systems that, in the future, will most likely by duplicated in an automated environment.

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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
-19.83	5	-	5/1/2014	10/1/2014
-16.37	3	3	5/1/2012	8/1/2012
-8.48	1	2	1/1/2013	2/1/2013
-6.61	2	4	9/1/2013	11/1/2013
-5.80	1	1	7/1/2013	8/1/2013
-3.88	7	2	8/1/2011	3/1/2012
-1.48	1	1	4/1/2013	5/1/2013
-0.29	1	1	3/1/2014	4/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
101.36	5	4/1/2011	8/1/2011
24.82	5	9/1/2012	1/1/2013
21.32	2	3/1/2013	4/1/2013
17.11	2	11/1/2014	12/1/2014
14.32	2	6/1/2013	7/1/2013
8.61	4	12/1/2013	3/1/2014
8.11	2	4/1/2012	5/1/2012
7.20	1	9/1/2013	9/1/2013
6.67	1	5/1/2014	5/1/2014

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-19.83	5	6/1/2014	10/1/2014
-16.37	3	6/1/2012	8/1/2012
-8.48	1	2/1/2013	2/1/2013
-6.61	2	10/1/2013	11/1/2013
-5.80	1	8/1/2013	8/1/2013
-3.88	7	9/1/2011	3/1/2012
-1.48	1	5/1/2013	5/1/2013
-0.29	1	4/1/2014	4/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year
Number of Periods	45.00	43.00	40.00	34.00	28.00	22.00
Percent Profitable	53.33	55.81	67.50	79.41	92.86	100.00
Average Period Return	2.66	6.77	9.88	19.17	30.72	44.40
Average Gain	7.71	16.15	17.54	26.03	33.18	44.40
Average Loss	-4.08	-6.02	-6.02	-7.29	-1.18
Best Period	47.27	81.91	93.81	93.54	81.80	121.56
Worst Period	-10.21	-16.37	-14.49	-13.09	-1.64	25.09
Standard Deviation	9.17	18.87	21.30	24.73	19.95	22.62
Gain Standard Deviation	9.77	20.66	21.99	23.16	18.50	22.62
Loss Standard Deviation	3.00	4.22	4.56	3.51	0.64
Sharpe Ratio (1%)	0.28	0.35	0.44	0.73	1.46	1.87
Average Gain / Average Loss	1.89	2.68	2.91	3.57	28.09
Profit / Loss Ratio	2.83	4.03	6.05	13.77	365.18
Downside Deviation (10%)	3.19	5.09	5.46	5.85	2.49
Downside Deviation (5%)	3.03	4.56	4.48	4.04	0.73
Downside Deviation (0%)	2.99	4.44	4.24	3.62	0.34
Sortino Ratio (10%)	0.71	1.09	1.36	2.42	9.30
Sortino Ratio (5%)	0.85	1.43	2.10	4.50	40.15
Sortino Ratio (0%)	0.89	1.53	2.33	5.29	90.82

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Trend Following Strategy Index	Month	5	6.67	5/2014
Systematic Trader Index	Month	5	6.67	5/2014
Diversified Trader Index	Month	6	6.67	5/2014
IASG CTA Index	Month	8	6.67	5/2014
Systematic Trader Index	Month	7	7.20	9/2013
Diversified Trader Index	Month	5	7.20	9/2013
Trend Following Strategy Index	Month	2	7.20	9/2013
Trend Following Strategy Index	Month	2	8.30	7/2013
Diversified Trader Index	Month	1	8.30	7/2013
Systematic Trader Index	Month	2	8.30	7/2013
IASG CTA Index	Month	3	8.30	7/2013
Trend Following Strategy Index	Month	6	5.56	6/2013
Diversified Trader Index	Month	9	5.56	6/2013
Systematic Trader Index	Month	10	5.56	6/2013
IASG CTA Index	Month	2	21.21	4/2013
Trend Following Strategy Index	Month	2	21.21	4/2013
Systematic Trader Index	Month	2	21.21	4/2013
Diversified Trader Index	Month	2	21.21	4/2013
Systematic Trader Index	Month	2	12.64	11/2012
Diversified Trader Index	Month	2	12.64	11/2012
Trend Following Strategy Index	Month	1	12.64	11/2012
IASG CTA Index	Month	2	12.64	11/2012
Trend Following Strategy Index	Month	4	2.23	10/2012
Trend Following Strategy Index	Month	9	3.89	9/2012
Diversified Trader Index	Month	4	9.26	6/2011
IASG CTA Index	Month	4	9.26	6/2011
Trend Following Strategy Index	Month	2	9.26	6/2011
Systematic Trader Index	Month	2	9.26	6/2011
IASG CTA Index	Month	1	47.27	5/2011
Trend Following Strategy Index	Month	1	47.27	5/2011
Systematic Trader Index	Month	1	47.27	5/2011
Diversified Trader Index	Month	1	47.27	5/2011

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

^#5

Top Performer

TREND FOLLOWING STRATEGY INDEX

MAY
2014

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Serac, LLC : Diversified Reversal Program

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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