Taaffeite Capital Management LLC : TCM Global Index Fund (Growth)

Year-to-Date: N / A
May Performance: -4.20%

Min Investment: $ 250k
Mgmt. Fee: 1.00%
Perf. Fee: 25.00%

Annualized Vol: 35.27%
Sharpe (RFR=1%): 1.07
CAROR: 38.55%

Assets: $ 17.0M
Worst DD: -21.51
S&P Correlation: -0.10

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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	May	Qtr	YTD	1yr	3yr	5yr	10yr	Since 8/2015
TCM Global Index Fund (Growth)	-4.20	-9.99	-	1.83	-	-	-	151.88
S&P 500	2.16	-0.32	-	11.04	-	-	-	35.79
+/- S&P 500	-6.36	-9.67	-	-9.21	-	-	-	116.09

Strategy Description

Investment Strategy

Account & Fees

Type: Fund
Minimum Investment: $ 250k
Trading Level Incremental Increase: $ 100k
CTA Max Funding Factor: 1.00
Management Fee: 1.00%
Performance Fee: 25.00%
Average Commission: $0
Available to US Investors: Yes

Subscriptions

High Water Mark: Yes
Subscription Frequency: 7-14 Days
Redemption Frequency: 7-14 Days
Investor Requirements: QEP
Lock-up Period: 0

Trading

Trading Frequency: 7000 RT/YR/$M
Avg. Margin-to-Equity: 20%
Targeted Worst DD: -15.00%
Worst Peak-to-Trough: 30.00%
Sector Focus: Stock Index Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 0%
1-3 Months: 0%
1-30 Days: 100.00%
Intraday: 0%

Investment Strategy

TCM proprietary algorithms trade the daily price movement of highly liquid global indices using advanced artificial intelligence techniques. Professor Desmond Lun has a PhD from MIT and has been an academic/professor at MIT/Harvard/Rutgers for 15 years. He is one of the leading authorities in mathematical models that predict the behaviour of biological systems. His scientific accomplishments includes several patents (US Patent Nos. 7414978, 8126235, and (pending) PCT/US2014/59503, PCT/US2012/27219), the book Network Coding, over 30 academic papers, and over 4,000 academic citations. For the last 10 years, he has designed and traded systematic strategies to profit from his theories in data science.

Predicting the daily movement of global indices using quantitative techniques derived from modelling biological systems is unique and challenging. To manage risk, long and short positions are negatively correlated, and a diversified suite of highly liquid global indices are traded. The TCM strategy is differentiated from traditional quantitative strategies by its learning capabilities, which allow it to continually evolve.

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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
-21.51	3	2	1/1/2016	4/1/2016
-13.78	2	-	3/1/2018	5/1/2018
-9.02	1	1	12/1/2017	1/1/2018
-7.64	3	1	9/1/2016	12/1/2016
-5.44	3	1	2/1/2017	5/1/2017
-3.01	2	1	8/1/2017	10/1/2017
-2.60	1	1	10/1/2015	11/1/2015
-2.28	1	1	6/1/2017	7/1/2017

Consecutive Gains

Run-up	Length (Mos.)	Start	End
81.94	5	5/1/2016	9/1/2016
59.60	3	8/1/2015	10/1/2015
17.76	2	2/1/2018	3/1/2018
15.22	2	1/1/2017	2/1/2017
10.73	2	12/1/2015	1/1/2016
6.86	1	6/1/2017	6/1/2017
6.18	2	11/1/2017	12/1/2017
2.50	1	8/1/2017	8/1/2017
1.92	1	11/1/2016	11/1/2016
0.87	1	4/1/2017	4/1/2017

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-21.51	3	2/1/2016	4/1/2016
-13.78	2	4/1/2018	5/1/2018
-9.02	1	1/1/2018	1/1/2018
-4.82	1	12/1/2016	12/1/2016
-4.79	1	10/1/2016	10/1/2016
-3.97	1	3/1/2017	3/1/2017
-3.01	2	9/1/2017	10/1/2017
-2.60	1	11/1/2015	11/1/2015
-2.38	1	5/1/2017	5/1/2017
-2.28	1	7/1/2017	7/1/2017

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month
Number of Periods	34.00	32.00	29.00	23.00	17.00
Percent Profitable	58.82	71.88	86.21	95.65	100.00
Average Period Return	3.22	9.81	17.32	40.79	62.39
Average Gain	8.94	16.93	21.31	42.69	62.39
Average Loss	-4.96	-8.37	-7.61	-1.09
Best Period	36.91	59.60	75.69	106.09	150.81
Worst Period	-17.97	-21.51	-15.35	-1.09	5.59
Standard Deviation	10.18	19.40	25.08	34.35	40.50
Gain Standard Deviation	9.05	18.04	24.70	33.90	40.50
Loss Standard Deviation	4.60	6.83	5.25
Sharpe Ratio (1%)	0.31	0.49	0.67	1.16	1.50
Average Gain / Average Loss	1.80	2.02	2.80	39.09
Profit / Loss Ratio	2.58	5.17	17.50	859.88
Downside Deviation (10%)	4.46	6.13	4.12	1.46	0.48
Downside Deviation (5%)	4.31	5.70	3.45	0.44
Downside Deviation (0%)	4.27	5.60	3.29	0.23
Sortino Ratio (10%)	0.63	1.40	3.61	24.58	113.02
Sortino Ratio (5%)	0.73	1.68	4.87	91.20
Sortino Ratio (0%)	0.75	1.75	5.26	179.09

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Systematic Trader Index	Month	6	4.40	3/2018
Stock Index Trader Index	Month	6	4.40	3/2018
Stock Index Trader Index	Month	2	12.80	2/2018
Systematic Trader Index	Month	4	12.80	2/2018
Stock Index Trader Index	Month	9	1.46	12/2017
Systematic Trader Index	Month	1	4.65	11/2017
Stock Index Trader Index	Month	1	4.65	11/2017
Stock Index Trader Index	Month	4	2.50	8/2017
Stock Index Trader Index	Month	1	6.86	6/2017
Systematic Trader Index	Month	1	6.86	6/2017

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

^#6

Top Performer

SYSTEMATIC TRADER INDEX

MARCH
2018

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Taaffeite Capital Management LLC : TCM Global Index Fund (Growth)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Investment Strategy

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Investment Strategy

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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