Tactical Investment Management : Tactical Institutional Commodity Program

Year-to-Date
7.19%
Jul Performance
0.62%
Min Investment
$ 10,000k
Mgmt. Fee
2.00%
Perf. Fee
20.00%
Annualized Vol
23.85%
Sharpe (RFR=1%)
0.67
CAROR
15.23%
Assets
$ 65.3M
Worst DD
-41.53
S&P Correlation
-0.09

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 Jul Qtr YTD 1yr 3yr 5yr 10yr Since
4/1993
Tactical Institutional Commodity Program 0.62 6.11 7.19 13.09 3.46 48.28 118.88 4,079.02
S&P 500 1.31 1.17 18.88 5.82 35.72 52.80 198.70 570.07
+/- S&P 500 -0.69 4.94 -11.69 7.27 -32.26 -4.52 -79.81 3,508.95

Strategy Description

Summary

Current Investment Program Tactical offers a single managed account program, its bellwhether Institutional Futures Program. The Program trades a globally diversified portfolio of commodities and currencies seeking above average long-term growth unrelated to stocks and bonds. It is... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 10,000k
Trading Level Incremental Increase
$ 0k
CTA Max Funding Factor
Management Fee
2.00%
Performance Fee
20.00%
Average Commission
$10.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
15-30 Days
Redemption Frequency
15-30 Days
Investor Requirements
Accredited Investors
Lock-up Period
0

Trading

Trading Frequency
1250 RT/YR/$M
Avg. Margin-to-Equity
25%
Targeted Worst DD
Worst Peak-to-Trough
30.74%
Sector Focus
Diversified Traders

Holding Periods

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

Decision-Making

Discretionary
10.00%
Systematic
90.00%

Strategy

Trend-following
100.00%
Strategy Pie Chart

Composition

Currency FX
25.00%
Interest Rates
25.00%
Industrial Metals
10.00%
Precious Metals
10.00%
Energy
10.00%
Grains
10.00%
Softs
10.00%
Composition Pie Chart

Summary

Current Investment Program Tactical offers a single managed account program, its bellwhether Institutional Futures Program. The Program trades a globally diversified portfolio of commodities and currencies seeking above average long-term growth unrelated to stocks and bonds. It is managed via the Tactical Trading System described below. Trading Objective The Tactical Trading System (the "System") has been used to trade all of the Advisor's futures funds and managed accounts since inception in 1981, including the currently offered Institutional Futures Program. Its objectives are to achieve above-average growth during any 5 to 15 year holding period with low correlation to global stocks and bonds and to provide clients with a potential inflation hedge. The System trades a widely diversified portfolio of global commodity futures and currency forwards and benefits from long, broad price trends in the markets it trades. The System's trading strategies are all highly robust. Robust methods are those that Tactical expects to remain valid over the years. Highly robust techniques are based on very general, successful trading principles and as such are non-optimized and rarely exactly fit to any specific market situation. This lack of exact market-fit contributes to significant volatility in this investment. Tactical expects robust trading strategies to remain valid and thus increase the System's potential for above-average long-term growth. Portfolio managers and their trading programs are classified as either "systematic" or "discretionary" or a varying combination to the two. Systematic managers trade by following non-emotional sets of trading rules, often based on mathematical models of market behavior. Systematic managers use their judgment and intuition in designing their market models and trading systems. Discretionary managers, on the other hand, apply judgment and intuition in making every trading decision. Tactical's System is so fully systematic that virtually no day to day discretion is used. The System incorporates mathematical market models that integrate key elements of modern portfolio theory, chaos theory, and proprietary money management concepts. It is an exclusively technical system in that its inputs are data intrinsic to the markets: price and liquidity data, current positions, account equities, and previous outputs. It is to be distinguished from a fundamental system which weighs factors extrinsic to the markets such as supply and demand, governmental actions, and market sentiment. The System's outputs are precise buy and sell orders, including quantities to buy and sell, and markets to trade. It is computerized to reduce human error and emotional input. It has an elegantly small number of parameters whose values are identical across all markets. The Advisor believes that futures are a zero-sum game: for every winner there is a loser. Commercial hedgers trade in futures primarily to transfer risk and receive insurance against adverse price moves. Tactical believes that this economic benefit cannot possibly be obtained for free and that hedgers must therefore be net losers in futures over the long run, paying a "risk premium" for the insurance they receive. The Tactical Trading System is based upon capturing hedgers' risk premium. It is designed to trade opposite hedgers as much as possible and attempts to fade them at technically determined price levels. By doing so in a consistent, disciplined manner, the Advisor believes the System obtains a positive mathematical edge in the market place. Hedgers tend to sell when prices are strong and buy when prices are weak. By acting in opposition to this, the System buys strength and sells weakness, actually losing money on the majority of trades. The winning trades, less frequent but larger on average, occur when prices strengthen or weaken well beyond expectations, forming trends. By trading opposite hedgers, the System becomes a trend-follower in practice, but not by fundamental design. In contrast to trading systems that are designed specifically to capture trends, trendfollowing is an entirely natural result of this System designed to capture hedgers' risk premium. Certain aspects of the Tactical Trading System are based on nonlinear mathematical models described in chaos theory. Among other things, these models suggest that markets are fractal and that markets should intermittently exhibit unpredictable trending behavior over multiple time scales. The Tactical Trading System targets extra longterm trends, not uncommonly holding positions (with rolls) for over a year. This frequently requires riding out significant counter-trend price moves during which equity is lost. This contributes to the nearterm volatility in the System. Yet Tactical believes that targeting extra long-term trends is a highly robust trading strategy well worth the resultant volatility. The System trades commodities and currencies throughout the world, mostly on futures exchanges and in the interbank foreign exchange markets. Its portfolio is extremely well diversified and balanced in approximately 50 global markets. Physical commodities such as grain, food & fiber, metal, and petroleum futures make up about half of the portfolio. Currencies and global interest rate futures, the financial commodities, make up the rest. Stock index futures are rarely traded. As much as half or more of the trading may occur in non-U.S. markets. The System places great emphasis on portfolio composition. Markets are selected primarily on the basis of modified covariance analysis. The techniques identify the markets that are as distinctly different from each other as possible. Dr. Druz makes the final decision as to which markets comprise the portfolio and their respective weightings. Selecting diverse markets reduces volatility in the portfolio while increasing stability and robustness of the trading system. Tactical feels that a globally balanced and diversified portfolio with meaningful exposure to both physical and financial commodities is the most robust and most desirable futures portfolio. Money management deals with all aspects of equity management and risk control. It is vital to the System and is integrated from the ground up. The System uses proprietary, advanced money management and risk control strategies. Instead of trying to reduce near-term volatility at the cost of decreased potential long-term gain, the System occasionally employs sizable leverage in its money management techniques in efforts to transform high near-term volatility into increased potential long-term gain. Some examples of the money management strategies used by the System are: Overall portfolio risk exposure is constantly reassessed; stop-loss orders are placed whenever a trade is entered and once placed, never retreat from the market; a sophisticated variation of constant percentage risking is used which results in an initial average risk of less than 1.0% of account equity per trade. Additionally, internal statistical boundary limits are established as stop-loss protection for the overall trading program. The System adopts an aggressive investment posture. In efforts to make above average returns over any 5 to 15-year holding period, the System accepts relatively high near-term volatility and uncertainty as the tradeoff.

The System is fully expected to be volatile in the nearterm because
(1) it employs only robust trading strategies which are non-optimized and never exactly fit to any market situation;
(2) it occasionally uses sizable leverage in its advanced money management strategies;
(3) it rides out significant intermediate counter-trends when holding trades in extra long-term trends.

As an example of the System's near-term volatility, Tactical expects an investment in the Institutional Futures Program to decline 18% on average from its most recent peak at some time during each year. In rare years the Trading Advisor expects this drawdown to be 33% or more, and further expects the investment to show a loss during some fiscal years. It should be emphasized that this near-term volatility is completely within the envelope of expected drawdowns of the System's aggressive money management style and will, in the Trading Advisor's opinion, actually improve the potential for above average long-term gains. In the Institutional Futures Program, between zero and 50% (average under 20%) of a client's account may be committed to margin and approximately 2% of a client's assets may be spent on brokerage commissions annually at institutional commission rates given the leverage employed and the frequency of trading. A systematic technical trading system has the tremendous advantage that it can be tested on historical data to gain substantial statistical confidence in its validity and stability. Tactical has written or cowritten state-of-the-art computer software for evaluating trading systems, and maintains a huge database for historical testing. Based on its real time trading and extensive historical testing, the Advisor has developed tremendous confidence in its Tactical Trading System. The System is the result of over 20 years of ongoing research, evolving very slowly over the years as new discoveries have been implemented. Since inception in 1981 the System's design objective has always been to achieve above-average long-term growth in a diversified portfolio of commodities and currencies. To accomplish this, it has consistently targeted capturing hedgers' risk premium by using quantitative methods based on robust characteristics of freemarket price behavior, implemented only after rigorous computerized historical testing. Tactical plans to continue its research and, therefore, retains the discretion to revise any method or strategy, including the technical trading factors used, the markets traded, and/or the money management principles applied. Such revisions, unless deemed material, will not usually be made known to its investors.

Principals of Tactical
David S. Druz, MD, 52, is the President, the founder, the sole director and shareholder of Tactical Investment Management Corporation. He began managing his own personal commodity interest accounts in August 1975. He has been registered with the National Futures Association as a principal since March 1983. Dr. Druz was employed by Stotler & Company, a former Futures Commission Merchant, beginning in June, 1977 and worked intermittently on a contractual basis until June, 1980 to perform commodity market research for its research department while concurrently attending medical school. He founded Tactical in February 1980 and beginning in June, 1980 to the present he has performed commodity market research for the company. Dr. Druz received a bachelor's degree in electrical engineering with emphasis in computer science from the University of Illinois in May, 1975 where he graduated first in his class with a 5.0 grade average. He received a medical doctor degree from Johns Hopkins School of Medicine in May, 1979 and subsequently pursued a dual career in futures investment analysis and in medicine. From July, 1979 through June, 1982 he did an emergency medicine residency and from July, 1982 through June, 1991 he worked as a board certified practicing emergency physician, all the while concurrently running Tactical Investment Management. In July, 1991, Dr. Druz left the practice of Emergency Medicine to devote his energies fully to Tactical Investment Management Corporation and his futures investment career.

   

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

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
-41.53 31 31 4/1/2011 11/1/2013
-30.75 3 19 3/1/2004 6/1/2004
-24.91 14 14 8/1/1998 10/1/1999
-22.94 6 13 8/1/1993 2/1/1994
-22.23 10 7 5/1/2006 3/1/2007
-15.97 6 2 10/1/2001 4/1/2002
-14.73 3 1 6/1/2008 9/1/2008
-12.97 2 3 5/1/2003 7/1/2003
-12.29 3 3 6/1/1995 9/1/1995
-11.82 3 1 1/1/2009 4/1/2009
-10.74 3 3 4/1/1996 7/1/1996
-10.39 11 11 8/1/2017 7/1/2018
-9.90 2 2 12/1/1995 2/1/1996
-9.41 4 1 2/1/1997 6/1/1997
-9.35 4 4 12/1/1997 4/1/1998
-9.15 10 3 7/1/2016 5/1/2017
-8.39 1 1 12/1/2010 1/1/2011
-7.74 1 5 3/1/2001 4/1/2001
-7.71 1 1 2/1/2011 3/1/2011
-7.52 1 2 10/1/2007 11/1/2007
-7.41 1 2 2/1/2003 3/1/2003
-7.18 1 3 2/1/2008 3/1/2008
-6.69 3 2 11/1/2009 2/1/2010
-6.33 1 1 11/1/1996 12/1/1996
-6.10 1 1 1/1/2006 2/1/2006
-4.17 2 1 6/1/2010 8/1/2010
-3.45 2 1 8/1/2009 10/1/2009
-3.40 1 1 5/1/2009 6/1/2009
-3.01 1 2 9/1/2002 10/1/2002
-2.40 1 1 4/1/2010 5/1/2010
-2.05 1 2 9/1/1997 10/1/1997
-2.04 1 1 10/1/2003 11/1/2003
-1.79 1 1 12/1/2000 1/1/2001
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Consecutive Gains

Run-up Length (Mos.) Start End
71.43 4 9/1/2010 12/1/2010
40.01 4 6/1/2014 9/1/2014
35.37 5 5/1/2002 9/1/2002
35.06 3 10/1/1995 12/1/1995
35.04 4 11/1/2002 2/1/2003
34.75 5 2/1/1995 6/1/1995
33.72 3 12/1/2007 2/1/2008
33.57 3 11/1/2005 1/1/2006
32.24 4 8/1/1996 11/1/1996
31.63 2 3/1/1996 4/1/1996
31.30 4 10/1/2008 1/1/2009
31.26 5 4/1/1993 8/1/1993
30.68 2 9/1/2007 10/1/2007
30.01 3 11/1/2014 1/1/2015
29.44 4 12/1/2003 3/1/2004
25.11 3 3/1/2006 5/1/2006
24.76 4 9/1/2004 12/1/2004
24.59 3 10/1/2000 12/1/2000
23.11 4 9/1/1994 12/1/1994
22.65 2 7/1/2012 8/1/2012
21.27 3 7/1/1997 9/1/1997
18.41 2 1/1/1997 2/1/1997
16.69 2 2/1/2001 3/1/2001
16.37 1 8/1/1998 8/1/1998
16.17 2 7/1/2009 8/1/2009
16.12 3 8/1/2001 10/1/2001
15.67 1 5/1/2009 5/1/2009
15.01 3 8/1/2003 10/1/2003
14.21 3 7/1/2015 9/1/2015
13.53 1 4/1/2011 4/1/2011
12.56 4 3/1/1994 6/1/1994
12.38 3 6/1/2017 8/1/2017
10.96 4 4/1/2016 7/1/2016
10.68 2 4/1/2003 5/1/2003
10.46 1 11/1/2009 11/1/2009
10.21 3 11/1/1999 1/1/2000
9.82 2 4/1/2000 5/1/2000
9.45 1 2/1/2011 2/1/2011
9.12 3 4/1/2008 6/1/2008
8.74 1 12/1/1998 12/1/1998
8.58 1 4/1/2007 4/1/2007
8.27 3 2/1/2014 4/1/2014
8.09 2 5/1/1998 6/1/1998
8.04 3 7/1/1999 9/1/1999
8.02 1 11/1/2006 11/1/2006
7.76 2 11/1/1993 12/1/1993
7.66 2 8/1/2005 9/1/2005
7.25 2 3/1/2010 4/1/2010
6.96 2 1/1/2016 2/1/2016
6.84 1 5/1/1997 5/1/1997
6.76 1 6/1/2007 6/1/2007
6.76 2 5/1/2001 6/1/2001
6.66 4 4/1/2019 7/1/2019
6.49 1 7/1/2004 7/1/2004
5.39 3 7/1/2011 9/1/2011
4.82 2 12/1/2017 1/1/2018
4.52 1 8/1/2006 8/1/2006
4.52 2 8/1/2018 9/1/2018
4.16 1 5/1/2005 5/1/2005
4.07 2 11/1/1997 12/1/1997
3.90 1 4/1/1999 4/1/1999
3.78 1 2/1/2019 2/1/2019
3.56 1 11/1/2018 11/1/2018
3.46 1 8/1/2000 8/1/2000
3.33 1 11/1/2016 11/1/2016
3.24 1 6/1/2010 6/1/2010
2.82 2 4/1/2018 5/1/2018
2.34 1 11/1/2015 11/1/2015
1.98 1 1/1/2017 1/1/2017
1.90 1 10/1/2017 10/1/2017
1.84 1 2/1/1999 2/1/1999
1.55 1 12/1/2001 12/1/2001
1.41 1 1/1/2013 1/1/2013
1.29 1 12/1/2013 12/1/2013
1.12 1 2/1/2005 2/1/2005
1.00 1 4/1/2012 4/1/2012
0.90 1 2/1/2002 2/1/2002
0.59 1 5/1/2013 5/1/2013
0.56 1 3/1/2015 3/1/2015
0.52 1 6/1/1996 6/1/1996
0.45 1 2/1/2012 2/1/2012
0.31 1 3/1/2017 3/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-30.75 3 4/1/2004 6/1/2004
-21.60 2 5/1/2011 6/1/2011
-20.96 2 1/1/1994 2/1/1994
-18.83 4 10/1/2011 1/1/2012
-17.73 4 12/1/2006 3/1/2007
-14.73 3 7/1/2008 9/1/2008
-12.97 2 6/1/2003 7/1/2003
-12.91 1 10/1/1999 10/1/1999
-12.78 1 10/1/2014 10/1/2014
-12.69 3 4/1/2015 6/1/2015
-12.41 2 6/1/2006 7/1/2006
-12.29 3 7/1/1995 9/1/1995
-11.98 2 7/1/2007 8/1/2007
-11.82 3 2/1/2009 4/1/2009
-10.98 4 9/1/2012 12/1/2012
-10.22 6 6/1/2013 11/1/2013
-10.01 2 5/1/1999 6/1/1999
-9.90 2 1/1/1996 2/1/1996
-9.62 1 11/1/2001 11/1/2001
-9.53 2 9/1/1993 10/1/1993
-9.36 1 6/1/1997 6/1/1997
-9.35 4 1/1/1998 4/1/1998
-9.34 1 1/1/1999 1/1/1999
-9.03 2 7/1/1994 8/1/1994
-8.39 1 1/1/2011 1/1/2011
-8.39 3 8/1/2016 10/1/2016
-8.13 3 9/1/1998 11/1/1998
-7.90 3 2/1/2013 4/1/2013
-7.74 1 4/1/2001 4/1/2001
-7.71 1 3/1/2011 3/1/2011
-7.52 1 11/1/2007 11/1/2007
-7.46 1 3/1/1999 3/1/1999
-7.41 1 3/1/2003 3/1/2003
-7.22 2 2/1/2018 3/1/2018
-7.18 1 3/1/2008 3/1/2008
-6.70 2 3/1/2005 4/1/2005
-6.69 3 12/1/2009 2/1/2010
-6.45 2 3/1/1997 4/1/1997
-6.38 1 7/1/1996 7/1/1996
-6.33 1 12/1/1996 12/1/1996
-6.10 1 2/1/2006 2/1/2006
-5.92 1 1/1/1995 1/1/1995
-5.52 1 1/1/2002 1/1/2002
-5.43 1 3/1/2012 3/1/2012
-5.41 1 9/1/2017 9/1/2017
-5.15 1 5/1/1996 5/1/1996
-4.75 2 6/1/2000 7/1/2000
-4.58 1 10/1/2015 10/1/2015
-4.42 2 9/1/2006 10/1/2006
-4.25 2 6/1/2005 7/1/2005
-4.22 2 2/1/2000 3/1/2000
-4.20 1 1/1/2005 1/1/2005
-4.17 2 7/1/2010 8/1/2010
-4.17 1 2/1/2015 2/1/2015
-4.01 1 10/1/2005 10/1/2005
-3.97 2 6/1/2018 7/1/2018
-3.96 2 3/1/2002 4/1/2002
-3.45 2 9/1/2009 10/1/2009
-3.40 1 6/1/2009 6/1/2009
-3.37 1 7/1/2001 7/1/2001
-3.25 2 4/1/2017 5/1/2017
-3.18 1 11/1/2017 11/1/2017
-3.17 1 8/1/2004 8/1/2004
-3.16 1 5/1/2014 5/1/2014
-3.01 1 10/1/2002 10/1/2002
-2.47 1 3/1/2016 3/1/2016
-2.40 1 5/1/2010 5/1/2010
-2.33 1 3/1/2019 3/1/2019
-2.28 1 10/1/2018 10/1/2018
-2.24 1 12/1/2015 12/1/2015
-2.10 1 2/1/2017 2/1/2017
-2.05 1 10/1/1997 10/1/1997
-2.04 1 11/1/2003 11/1/2003
-1.79 1 1/1/2001 1/1/2001
-1.34 2 5/1/2012 6/1/2012
-1.26 1 1/1/2014 1/1/2014
-1.10 2 12/1/2018 1/1/2019
-1.01 1 9/1/2000 9/1/2000
-0.96 1 12/1/2016 12/1/2016
-0.84 1 7/1/1998 7/1/1998
-0.61 1 5/1/2007 5/1/2007
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods316.00314.00311.00305.00299.00293.00281.00269.00257.00
Percent Profitable56.0161.1565.9277.0579.6086.3595.3798.1499.22
Average Period Return1.424.248.3717.2127.1138.2762.6188.08114.08
Average Gain5.8411.0416.8725.5136.6546.2266.8289.86115.00
Average Loss-4.22-6.47-8.07-10.64-10.13-12.04-24.21-5.95-3.87
Best Period26.6255.0071.8978.01106.30143.87204.74263.63299.34
Worst Period-18.94-30.75-27.56-35.66-33.31-35.26-37.78-9.80-6.19
Standard Deviation6.8911.8716.6223.3529.1036.2150.1660.8659.85
Gain Standard Deviation5.569.6713.6619.6624.5432.2547.4060.0359.16
Loss Standard Deviation3.445.296.228.437.589.3712.292.733.29
Sharpe Ratio (1%)0.190.340.470.690.881.001.191.381.82
Average Gain / Average Loss1.381.712.092.403.623.842.7615.1129.73
Profit / Loss Ratio1.762.684.048.0514.1224.2956.88797.773791.01
Downside Deviation (10%)3.825.827.148.578.849.159.595.454.33
Downside Deviation (5%)3.645.326.176.876.266.226.391.420.88
Downside Deviation (0%)3.605.205.946.485.705.615.790.880.40
Sortino Ratio (10%)0.260.520.831.422.213.064.8912.2119.95
Sortino Ratio (5%)0.370.751.282.364.095.839.3259.19124.02
Sortino Ratio (0%)0.390.811.412.654.766.8210.80100.48286.56

Top Performer Badges

Index Award Type Rank Performance Period
Trend Following Strategy Index Month 3 6.99 8/2015
Diversified Trader Index Month 5 6.99 8/2015
IASG CTA Index Month 7 6.99 8/2015
Systematic Trader Index Month 7 6.99 8/2015
Trend Following Strategy Index Month 9 9.92 12/2014
Trend Following Strategy Index Month 9 16.31 9/2014
IASG CTA Index Month 5 14.42 7/2014
Diversified Trader Index Month 3 14.42 7/2014
Systematic Trader Index Month 1 14.42 7/2014
Trend Following Strategy Index Month 1 14.42 7/2014
Trend Following Strategy Index Month 5 5.38 4/2014
Systematic Trader Index Month 6 5.38 4/2014
Diversified Trader Index Month 7 5.38 4/2014
IASG CTA Index Month 8 5.38 4/2014
IASG CTA Index Month 6 21.17 7/2012
Diversified Trader Index Month 3 21.17 7/2012
Trend Following Strategy Index Month 1 21.17 7/2012
Systematic Trader Index Month 3 21.17 7/2012
Trend Following Strategy Index Month 10 13.53 4/2011
Systematic Trader Index Month 10 13.53 4/2011
Systematic Trader Index Month 10 9.45 2/2011
Diversified Trader Index Month 10 9.45 2/2011
Trend Following Strategy Index Month 9 9.45 2/2011
IASG CTA Index Year Rolling 5 69.00 2009 - 2010
IASG CTA Index 5 Year Rolling 5 299.34 2005 - 2010
IASG CTA Index 3 Year Rolling 6 200.89 2007 - 2010
Systematic Trader Index Month 3 9.23 11/2010
Diversified Trader Index Month 2 9.23 11/2010
IASG CTA Index Month 3 9.23 11/2010
Trend Following Strategy Index Month 2 9.23 11/2010
Trend Following Strategy Index Month 5 18.27 10/2010
Diversified Trader Index Month 6 18.27 10/2010
Systematic Trader Index Month 7 18.27 10/2010
IASG CTA Index Month 7 19.98 9/2010
Diversified Trader Index Month 4 19.98 9/2010
Trend Following Strategy Index Month 2 19.98 9/2010
Systematic Trader Index Month 2 19.98 9/2010
Trend Following Strategy Index Month 5 10.29 8/2009
Diversified Trader Index Month 5 10.29 8/2009
Systematic Trader Index Month 4 10.29 8/2009
IASG CTA Index Month 9 10.29 8/2009
Trend Following Strategy Index Month 8 5.33 7/2009
Trend Following Strategy Index Month 10 26.62 10/2008
IASG CTA Index Month 10 26.62 10/2008
Systematic Trader Index Month 10 26.62 10/2008
Diversified Trader Index Month 10 26.62 10/2008
Systematic Trader Index Month 4 26.03 9/2007
IASG CTA Index Month 5 26.03 9/2007
Diversified Trader Index Month 5 26.03 9/2007
Trend Following Strategy Index Month 3 26.03 9/2007
IASG CTA Index 5 Year Rolling 10 150.03 2001 - 2006
Diversified Trader Index Month 8 8.02 11/2006
Systematic Trader Index Month 7 8.02 11/2006
Trend Following Strategy Index Month 6 8.02 11/2006
Diversified Trader Index Month 3 16.31 1/2006
Systematic Trader Index Month 3 16.31 1/2006
Trend Following Strategy Index Month 3 16.31 1/2006
IASG CTA Index Month 3 16.31 1/2006
IASG CTA Index 5 Year Rolling 9 133.90 2000 - 2005
Trend Following Strategy Index Month 9 6.90 8/2005
Diversified Trader Index Month 10 6.90 8/2005
IASG CTA Index 5 Year Rolling 9 190.20 1999 - 2004
Diversified Trader Index Month 10 12.75 11/2004
Trend Following Strategy Index Month 9 12.75 11/2004
Systematic Trader Index Month 9 12.75 11/2004
Trend Following Strategy Index Month 10 5.98 9/2004
IASG CTA Index Month 8 6.49 7/2004
Diversified Trader Index Month 6 6.49 7/2004
Systematic Trader Index Month 7 6.49 7/2004
Trend Following Strategy Index Month 5 6.49 7/2004
Trend Following Strategy Index Month 8 14.38 2/2004
Systematic Trader Index Month 9 14.38 2/2004
Diversified Trader Index Month 9 14.38 2/2004
Systematic Trader Index Month 9 4.51 1/2004
Diversified Trader Index Month 10 4.51 1/2004
Trend Following Strategy Index Month 6 4.51 1/2004
IASG CTA Index 3 Year Rolling 9 102.40 2000 - 2003
Diversified Trader Index Month 10 12.69 10/2003
Trend Following Strategy Index Month 8 12.69 10/2003
Systematic Trader Index Month 9 12.69 10/2003
IASG CTA Index 3 Year Rolling 7 107.84 1999 - 2002
Systematic Trader Index Month 7 2.27 11/2002
Diversified Trader Index Month 5 2.27 11/2002
Trend Following Strategy Index Month 4 2.27 11/2002
Trend Following Strategy Index Month 5 9.92 5/2002
Systematic Trader Index Month 5 9.92 5/2002
IASG CTA Index Month 9 9.92 5/2002
Diversified Trader Index Month 7 9.92 5/2002
Diversified Trader Index Month 7 0.90 2/2002
Trend Following Strategy Index Month 5 0.90 2/2002
Systematic Trader Index Month 9 0.90 2/2002
Systematic Trader Index Month 8 3.61 6/2001
Diversified Trader Index Month 8 3.61 6/2001
Trend Following Strategy Index Month 6 3.61 6/2001
Trend Following Strategy Index Month 9 13.89 3/2001
Diversified Trader Index Month 10 13.89 3/2001
Systematic Trader Index Month 9 4.57 10/2000
Trend Following Strategy Index Month 7 4.57 10/2000
Trend Following Strategy Index Month 8 8.37 5/2000
Trend Following Strategy Index Month 8 1.34 4/2000

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