Wharton Capital Management : Wharton AG Futures Program

Year-to-Date: 3.68%
Nov Performance: -2.35%

Min Investment: $ 100k
Mgmt. Fee: 2.00%
Perf. Fee: 20.00%

Annualized Vol: 11.60%
Sharpe (RFR=1%): 0.70
CAROR: 8.75%

Assets: $ 7.1M
Worst DD: -12.00
S&P Correlation: -0.05

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Growth of 1,000 - VAMI

Monthly Performance

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	Nov	Qtr	2019	1yr	3yr	5yr	10yr	Since 9/2011
Wharton AG Futures Program	-2.35	-4.84	3.68	2.62	6.97	13.91	-	99.79
S&P 500	3.40	7.33	25.29	13.79	41.40	50.37	-	174.76
+/- S&P 500	-5.75	-12.17	-21.61	-11.17	-34.43	-36.46	-	-74.97

Strategy Description

Investment Strategy

Account & Fees

Type: Managed Account
Minimum Investment: $ 100k
Trading Level Incremental Increase: $ 100k
CTA Max Funding Factor: 1.00
Management Fee: 2.00%
Performance Fee: 20.00%
Average Commission: $15.00
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: 10%
Targeted Worst DD
Worst Peak-to-Trough
Sector Focus: Agricultural Traders

Holding Periods

Over 12 Months: 0%
4-12 Months: 15.00%
1-3 Months: 30.00%
1-30 Days: 50.00%
Intraday: 5.00%

Decision-Making

Discretionary: 100.00%
Systematic: 0%

Strategy

Fundamental: 70.00%
Technical: 30.00%

Composition

Livestock: 80.00%
Grains: 20.00%

Investment Strategy

The Program primarily involves the speculative trading of futures contracts on grains and meat products. However, the Program is not limited to those markets. In implementing the Program, the Advisor may speculate or trade in any futures or options contract traded on a U.S. futures exchange, either now or in the future (collectively, “Commodity Interests”). Such instruments may include, without limitation, futures contracts (and options thereon) on any of the following: physical commodities in addition to grain and meat products, interest-rate sensitive products, financial instruments, and stock indices.

Risk Management

Technical entry and exit points are used to Manage risk.

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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:

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Sharpe Ratio: (RF=1%)
Skewness:
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Reward
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Standard Deviation:
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Sharpe Ratio: (RF=1%)
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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
-12.00	7	7	11/1/2012	6/1/2013
-10.15	2	9	8/1/2014	10/1/2014
-10.00	18	6	8/1/2017	2/1/2019
-5.51	8	9	2/1/2016	10/1/2016
-4.84	3	-	8/1/2019	11/1/2019
-2.11	1	5	7/1/2015	8/1/2015
-1.45	1	2	12/1/2011	1/1/2012
-1.20	1	2	7/1/2012	8/1/2012
-1.12	1	3	1/1/0001	9/1/2011
-0.47	1	1	1/1/2014	2/1/2014
-0.03	1	1	3/1/2014	4/1/2014

Consecutive Gains

Run-up	Length (Mos.)	Start	End
54.32	4	5/1/2014	8/1/2014
20.24	6	2/1/2012	7/1/2012
14.48	3	11/1/2013	1/1/2014
12.36	2	7/1/2019	8/1/2019
10.12	7	1/1/2015	7/1/2015
5.66	4	5/1/2017	8/1/2017
4.41	4	5/1/2018	8/1/2018
4.24	2	11/1/2017	12/1/2017
3.98	3	12/1/2015	2/1/2016
3.83	5	11/1/2016	3/1/2017
3.63	1	5/1/2019	5/1/2019
3.40	1	7/1/2013	7/1/2013
2.52	1	11/1/2014	11/1/2014
2.48	3	9/1/2012	11/1/2012
2.08	1	5/1/2013	5/1/2013
1.99	1	2/1/2013	2/1/2013
1.72	3	7/1/2016	9/1/2016
1.36	1	12/1/2011	12/1/2011
1.07	2	9/1/2015	10/1/2015
1.01	1	3/1/2018	3/1/2018
0.98	1	9/1/2013	9/1/2013
0.94	1	3/1/2014	3/1/2014
0.78	1	10/1/2011	10/1/2011
0.75	1	3/1/2019	3/1/2019
0.49	1	5/1/2016	5/1/2016

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-10.15	2	9/1/2014	10/1/2014
-9.98	6	9/1/2018	2/1/2019
-9.15	2	12/1/2012	1/1/2013
-5.17	2	9/1/2017	10/1/2017
-5.02	1	6/1/2013	6/1/2013
-4.84	3	9/1/2019	11/1/2019
-4.11	2	3/1/2016	4/1/2016
-3.65	2	1/1/2018	2/1/2018
-2.42	1	8/1/2013	8/1/2013
-2.25	1	10/1/2016	10/1/2016
-2.11	1	8/1/2015	8/1/2015
-2.04	2	3/1/2013	4/1/2013
-1.74	1	6/1/2019	6/1/2019
-1.45	1	1/1/2012	1/1/2012
-1.38	1	6/1/2016	6/1/2016
-1.20	1	8/1/2012	8/1/2012
-1.12	1	9/1/2011	9/1/2011
-0.91	1	10/1/2013	10/1/2013
-0.72	1	4/1/2017	4/1/2017
-0.47	1	4/1/2018	4/1/2018
-0.47	1	2/1/2014	2/1/2014
-0.40	1	12/1/2014	12/1/2014
-0.37	1	4/1/2019	4/1/2019
-0.33	1	11/1/2011	11/1/2011
-0.27	1	11/1/2015	11/1/2015
-0.03	1	4/1/2014	4/1/2014

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	99.00	97.00	94.00	88.00	82.00	76.00	64.00	52.00	40.00
Percent Profitable	60.61	62.89	67.02	70.45	89.02	88.16	90.63	98.08	100.00
Average Period Return	0.76	2.51	5.15	10.25	15.84	22.94	39.37	51.21	65.67
Average Gain	2.46	5.79	9.71	16.26	18.38	26.41	43.75	52.24	65.67
Average Loss	-1.86	-3.05	-4.13	-4.07	-4.80	-2.89	-2.92	-1.15
Best Period	15.12	43.45	55.72	77.55	70.14	77.84	90.41	96.96	93.74
Worst Period	-8.76	-8.69	-11.62	-10.70	-10.00	-5.08	-7.37	-1.15	9.64
Standard Deviation	3.35	7.83	11.88	18.82	23.31	26.36	32.42	33.94	25.61
Gain Standard Deviation	2.99	8.08	11.97	19.43	23.46	26.19	30.88	33.45	25.61
Loss Standard Deviation	1.84	2.31	2.99	2.98	3.23	1.85	2.80
Sharpe Ratio (1%)	0.20	0.29	0.39	0.49	0.61	0.79	1.12	1.39	2.37
Average Gain / Average Loss	1.32	1.90	2.35	4.00	3.83	9.13	14.98	45.46
Profit / Loss Ratio	2.03	3.22	4.78	9.54	31.07	67.98	144.82	2318.24
Downside Deviation (10%)	1.82	2.97	4.21	5.40	5.25	5.91	7.79	8.76	5.28
Downside Deviation (5%)	1.67	2.44	3.15	3.18	2.33	1.81	2.01	0.90
Downside Deviation (0%)	1.63	2.32	2.91	2.72	1.88	1.16	1.19	0.16
Sortino Ratio (10%)	0.19	0.43	0.64	0.97	1.57	2.15	3.03	3.39	7.20
Sortino Ratio (5%)	0.40	0.93	1.48	2.91	6.16	11.59	18.06	52.49
Sortino Ratio (0%)	0.46	1.08	1.77	3.77	8.41	19.73	33.15	321.34

Top Performer Badges

Index	Award Type	Rank	Performance	Period
Discretionary Trader Index	Month	1	8.19	8/2019
Agricultural Trader Index	Month	1	8.19	8/2019
IASG CTA Index	Month	8	8.19	8/2019
Agricultural Trader Index	Month	1	3.85	7/2019
Discretionary Trader Index	Month	1	3.85	7/2019
Discretionary Trader Index	Month	8	3.63	5/2019
Agricultural Trader Index	Month	6	3.63	5/2019
Agricultural Trader Index	Month	6	0.00	11/2018
Agricultural Trader Index	Month	7	1.83	7/2018
Agricultural Trader Index	Month	8	0.45	6/2018
Agricultural Trader Index	Month	5	1.51	5/2018
Agricultural Trader Index	Month	8	1.01	3/2018
Agricultural Trader Index	Month	8	1.00	12/2017
IASG CTA Index	Month	9	3.21	11/2017
Agricultural Trader Index	Month	4	3.21	11/2017
Discretionary Trader Index	Month	5	3.21	11/2017
Agricultural Trader Index	Month	3	2.78	8/2017
Discretionary Trader Index	Month	9	2.78	8/2017
Agricultural Trader Index	Month	6	0.97	1/2017
IASG CTA Index	5 Year Rolling	10	87.89	2011 - 2016
Agricultural Trader Index	Month	3	1.42	12/2016
Agricultural Trader Index	Month	6	2.08	2/2016
Agricultural Trader Index	Month	8	0.56	1/2016
IASG CTA Index	3 Year Rolling	9	60.09	2012 - 2015
Agricultural Trader Index	Month	5	1.13	12/2015
Agricultural Trader Index	Month	6	0.29	10/2015
Agricultural Trader Index	Month	3	0.84	9/2015
Agricultural Trader Index	Month	9	1.78	7/2015
Agricultural Trader Index	Month	7	1.92	6/2015
Agricultural Trader Index	Month	2	3.89	5/2015
Discretionary Trader Index	Month	6	3.89	5/2015
Agricultural Trader Index	Month	6	0.04	2/2015
Agricultural Trader Index	Month	3	2.52	11/2014

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

^#1

Top Performer

DISCRETIONARY TRADER INDEX

AUGUST
2019

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Program Name	CAROR
Wharton AG Futures Program	8.75%

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Watchlists 37

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Wharton Capital Management : Wharton AG Futures Program

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

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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