Wizard Trading Inc. : Systematic Program

Year-to-Date: N / A
Jun Performance: -4.08%

Min Investment: $ 1,000k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 15.13%
Sharpe (RFR=1%): 0.16
CAROR: 2.38%

Assets: $ 40.5M
Worst DD: -24.53
S&P Correlation: -0.46

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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	Jun	Qtr	2020	1yr	3yr	5yr	10yr	Since 5/2008
Systematic Program	-4.08	-	-	-	-	-	-17.01	12.94
S&P 500	-1.50	-	-	-	-	-	64.80	165.45
+/- S&P 500	-2.58	-	-	-	-	-	-81.81	-152.50

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 1,000k
Trading Level Incremental Increase	$ 0k
CTA Max Funding Factor
Management Fee	1.00%
Performance Fee	20.00%
Average Commission	$0
Available to US Investors	Yes

Subscriptions

High Water Mark	No
Subscription Frequency	1-7 Days
Redemption Frequency	1-7 Days
Investor Requirements	Accredited Investors
Lock-up Period	0

Trading

Trading Frequency	2100 RT/YR/$M
Avg. Margin-to-Equity	21%
Targeted Worst DD
Worst Peak-to-Trough	0%
Sector Focus	Diversified Traders

Holding Periods

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

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Composition

Other: 34.00%
Interest Rates: 25.00%
Stock Indices: 19.00%
Currency FX: 9.00%
Energy: 7.00%
Precious Metals: 4.00%
Grains: 1.00%
Livestock: 1.00%

Summary

The Wizard Global Systematic Program commenced trading in May 2008 as a Proprietary Account. This program employs computer assisted trading strategies based principally on technical analysis. Technical analysis uses internal market data (e.g., price, volume, open interest, sentiment) to determine price trends. No discretionary intervention has been utilized although Advisor does reserve the right to utilize its discretion in extraordinary circumstances. The program uses a wide spectrum of strategies including trend following, countertrend, and pattern recognition approaches developed and streamlined over many years of research. Additionally, this program incorporates a volatility adjusted portfolio allocation method developed initially by Louis Lukac and Jack Schwager. The program attempts to optimize position size on a daily basis based on the relative volatility of multiple market sectors across previous time period.

Market sector allocations are based on several criteria, including historical profitability, sector balance, and liquidity.

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:
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Average Gain:
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Risk
Standard Deviation:
Worst Loss:
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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
-24.53	21	-	9/1/2011	6/1/2013
-8.79	13	9	12/1/2008	1/1/2010
-8.62	1	3	6/1/2008	7/1/2008
-6.95	2	3	4/1/2011	6/1/2011
-4.65	1	5	10/1/2010	11/1/2010

Consecutive Gains

Run-up	Length (Mos.)	Start	End
43.02	5	8/1/2008	12/1/2008
14.84	3	7/1/2011	9/1/2011
7.23	5	2/1/2010	6/1/2010
5.62	3	11/1/2012	1/1/2013
5.54	1	5/1/2012	5/1/2012
4.98	2	5/1/2008	6/1/2008
4.86	3	12/1/2010	2/1/2011
4.70	1	11/1/2009	11/1/2009
4.03	1	8/1/2010	8/1/2010
3.83	1	7/1/2012	7/1/2012
3.37	1	2/1/2012	2/1/2012
3.13	1	5/1/2009	5/1/2009
2.82	1	10/1/2010	10/1/2010
2.44	1	12/1/2011	12/1/2011
2.42	1	9/1/2009	9/1/2009
1.69	1	4/1/2011	4/1/2011
1.34	1	7/1/2009	7/1/2009
0.46	1	3/1/2013	3/1/2013
0.30	1	2/1/2009	2/1/2009

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-14.59	2	10/1/2011	11/1/2011
-8.62	1	7/1/2008	7/1/2008
-7.61	3	8/1/2012	10/1/2012
-6.99	3	4/1/2013	6/1/2013
-6.95	2	5/1/2011	6/1/2011
-6.66	2	12/1/2009	1/1/2010
-6.45	2	3/1/2009	4/1/2009
-6.05	1	6/1/2012	6/1/2012
-5.49	2	3/1/2012	4/1/2012
-4.65	1	11/1/2010	11/1/2010
-3.98	1	2/1/2013	2/1/2013
-3.98	1	6/1/2009	6/1/2009
-3.62	1	7/1/2010	7/1/2010
-2.08	1	10/1/2009	10/1/2009
-2.05	1	1/1/2012	1/1/2012
-0.61	1	8/1/2009	8/1/2009
-0.56	1	1/1/2009	1/1/2009
-0.24	1	3/1/2011	3/1/2011
-0.19	1	9/1/2010	9/1/2010

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year
Number of Periods	62.00	60.00	57.00	51.00	45.00	39.00	27.00	15.00
Percent Profitable	54.84	41.67	49.12	47.06	46.67	51.28	37.04	40.00
Average Period Return	0.29	0.98	2.37	1.76	1.96	3.26	5.00	5.11
Average Gain	3.25	7.39	9.17	10.82	12.17	13.31	23.15	25.80
Average Loss	-3.30	-3.59	-4.19	-6.30	-6.98	-7.31	-5.68	-8.68
Best Period	16.94	36.47	42.22	33.91	30.45	38.15	43.41	34.47
Worst Period	-11.65	-12.51	-14.97	-17.12	-18.86	-13.68	-15.83	-11.67
Standard Deviation	4.37	8.55	11.29	11.55	12.49	14.30	18.32	18.06
Gain Standard Deviation	3.17	9.82	12.64	10.65	10.42	12.94	19.01	6.46
Loss Standard Deviation	2.54	2.66	3.17	3.63	5.03	4.98	3.87	3.11
Sharpe Ratio (1%)	0.05	0.09	0.17	0.07	0.04	0.09	0.11	0.06
Average Gain / Average Loss	0.98	2.06	2.19	1.72	1.74	1.82	4.08	2.97
Profit / Loss Ratio	1.19	1.47	2.11	1.53	1.53	1.92	2.40	1.98
Downside Deviation (10%)	3.00	4.19	5.29	8.71	11.44	13.25	18.08	23.55
Downside Deviation (5%)	2.82	3.55	4.02	5.91	7.17	7.34	7.58	10.13
Downside Deviation (0%)	2.78	3.40	3.72	5.26	6.24	6.12	5.41	7.10
Sortino Ratio (10%)	-0.04	-0.06	-0.02	-0.37	-0.49	-0.53	-0.60	-0.70
Sortino Ratio (5%)	0.07	0.21	0.47	0.13	0.06	0.17	0.26	0.10
Sortino Ratio (0%)	0.10	0.29	0.64	0.33	0.31	0.53	0.92	0.72

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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Wizard Trading Inc. : Systematic 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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Wizard Trading Inc. : Systematic 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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