Zoi Capital, LLC : Telio Program (Proprietary)

Year-to-Date: N / A
Jun Performance: -2.23%

Min Investment: $ 200k
Mgmt. Fee: 1.00%
Perf. Fee: 20.00%

Annualized Vol: 17.41%
Sharpe (RFR=1%): 0.67
CAROR: 11.84%

Assets: $ 1.1M
Worst DD: -28.33
S&P Correlation: 0.14

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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 7/2007
Telio Program (Proprietary)	-2.23	-	-	-	-	6.27	36.51	206.11
S&P 500	0.33	-	-	-	-	77.64	60.93	155.43
+/- S&P 500	-2.56	-	-	-	-	-71.37	-24.41	50.68

Strategy Description

Summary

Account & Fees

Type	Managed Account
Minimum Investment	$ 200k
Trading Level Incremental Increase	$ 50k
CTA Max Funding Factor	2.00
Management Fee	1.00%
Performance Fee	20.00%
Average Commission	$3.50
Available to US Investors	Yes

Subscriptions

High Water Mark	Yes
Subscription Frequency	Daily
Redemption Frequency	1-7 Days
Investor Requirements	Accredited Investors
Lock-up Period	0

Trading

Trading Frequency	1800 RT/YR/$M
Avg. Margin-to-Equity	7%
Targeted Worst DD
Worst Peak-to-Trough	28.33%
Sector Focus	Diversified Traders

Holding Periods

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

Decision-Making

Discretionary	0%
Systematic	100.00%

Strategy

Counter-trend: 100.00%

Composition

Energy: 20.00%
Grains: 20.00%
Stock Indices: 20.00%
Currency Futures: 17.00%
Precious Metals: 12.00%
Industrial Metals: 6.00%
Interest Rates: 5.00%

Summary

The majority of investment portfolios are excessively correlated to the equities and bonds and benefit from diversification into alternative asset classes. Accordingly, the primary investment objective of Zoi Capital’s Telio Program is to provide non-correlated returns in relation to the equity, bond, and commodities markets while seeking positive risk adjusted returns. Zoi Capital utilizes the managed futures model where customers have full transparency, segregation and liquidity of their account while participating in the program.

Investment Strategy

The Telio system employed by Zoi Capital, LLC is designed to provide non-correlated returns by trading futures contracts in the direction of market trends using a short term statistical mean reversion strategy. The indicators that are employed by the system include trend, momentum, and standard deviation calculations on the daily price movements of the futures contracts. All trading is on regulated electronic futures exchanges including equity index futures, currency futures, and interest rate, metal, energy, and agriculture futures.

Risk Management

To manage risk the Telio program utilizes a volatility algorithm for position sizing and volatility based protective stops to exit positions intraday when necessary.

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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

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Standard Deviation:
Worst Loss:
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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
-28.33	9	-	11/1/2014	8/1/2015
-15.83	2	8	4/1/2011	6/1/2011
-13.17	5	10	8/1/2013	1/1/2014
-10.76	3	2	10/1/2007	1/1/2008
-8.94	3	2	6/1/2008	9/1/2008
-7.61	1	3	10/1/2010	11/1/2010
-6.44	3	2	11/1/2008	2/1/2009
-5.92	2	2	5/1/2009	7/1/2009
-5.51	2	3	11/1/2009	1/1/2010
-5.12	1	5	1/1/2013	2/1/2013
-3.16	1	2	1/1/0001	7/1/2007
-2.70	2	1	3/1/2008	5/1/2008
-2.13	1	1	8/1/2012	9/1/2012
-1.36	1	2	4/1/2012	5/1/2012
-1.29	1	1	4/1/2010	5/1/2010

Consecutive Gains

Run-up	Length (Mos.)	Start	End
42.06	5	6/1/2010	10/1/2010
29.74	4	8/1/2009	11/1/2009
23.89	5	11/1/2016	3/1/2017
22.65	3	8/1/2007	10/1/2007
21.23	2	2/1/2008	3/1/2008
19.14	4	1/1/2012	4/1/2012
19.11	5	12/1/2010	4/1/2011
13.06	3	7/1/2011	9/1/2011
12.67	2	7/1/2013	8/1/2013
11.82	2	9/1/2015	10/1/2015
11.62	3	2/1/2014	4/1/2014
11.51	3	3/1/2009	5/1/2009
10.53	2	10/1/2008	11/1/2008
8.70	2	3/1/2016	4/1/2016
7.42	3	2/1/2010	4/1/2010
6.79	3	6/1/2012	8/1/2012
5.94	4	10/1/2012	1/1/2013
5.71	1	6/1/2008	6/1/2008
5.00	2	12/1/2015	1/1/2016
4.79	4	6/1/2014	9/1/2014
4.77	1	11/1/2014	11/1/2014
3.96	1	12/1/2013	12/1/2013
2.68	1	5/1/2017	5/1/2017
2.56	1	1/1/2015	1/1/2015
2.48	1	4/1/2015	4/1/2015
1.79	1	11/1/2011	11/1/2011
1.75	1	5/1/2013	5/1/2013
1.30	1	3/1/2013	3/1/2013
1.03	1	8/1/2008	8/1/2008

Consecutive Losses

Run-up	Length (Mos.)	Start	End
-17.61	6	5/1/2016	10/1/2016
-16.70	2	2/1/2015	3/1/2015
-15.83	2	5/1/2011	6/1/2011
-12.97	3	9/1/2013	11/1/2013
-12.53	4	5/1/2015	8/1/2015
-10.76	3	11/1/2007	1/1/2008
-7.61	1	11/1/2010	11/1/2010
-6.44	3	12/1/2008	2/1/2009
-6.41	1	12/1/2014	12/1/2014
-6.13	1	9/1/2008	9/1/2008
-5.92	2	6/1/2009	7/1/2009
-5.51	2	12/1/2009	1/1/2010
-5.12	1	2/1/2013	2/1/2013
-4.03	1	1/1/2014	1/1/2014
-3.98	1	7/1/2008	7/1/2008
-3.93	1	4/1/2017	4/1/2017
-3.68	1	12/1/2011	12/1/2011
-3.16	1	7/1/2007	7/1/2007
-3.10	1	2/1/2016	2/1/2016
-2.70	2	4/1/2008	5/1/2008
-2.26	1	5/1/2014	5/1/2014
-2.23	1	6/1/2017	6/1/2017
-2.13	1	9/1/2012	9/1/2012
-2.04	1	6/1/2013	6/1/2013
-1.36	1	5/1/2012	5/1/2012
-1.29	1	5/1/2010	5/1/2010
-1.18	1	11/1/2015	11/1/2015
-1.08	1	10/1/2014	10/1/2014
-0.73	1	4/1/2013	4/1/2013
-0.02	1	10/1/2011	10/1/2011

Time Windows Analysis

	1 Month	3 Month	6 Month	12 Month	18 Month	2 Year	3 Year	4 Year	5 Year
Number of Periods	120.00	118.00	115.00	109.00	103.00	97.00	85.00	73.00	61.00
Percent Profitable	59.17	67.80	74.78	80.73	77.67	75.26	69.41	84.93	100.00
Average Period Return	1.06	3.31	6.49	12.43	19.72	28.07	49.31	69.64	92.79
Average Gain	4.22	7.93	11.50	18.11	28.82	41.59	75.02	83.41	92.79
Average Loss	-3.51	-6.41	-8.35	-11.38	-11.91	-13.04	-9.04	-8.00
Best Period	17.35	27.30	40.23	54.32	81.23	99.45	129.85	152.58	211.90
Worst Period	-14.48	-16.36	-25.13	-24.09	-19.97	-26.26	-23.02	-17.55	1.49
Standard Deviation	5.03	8.87	11.92	17.24	23.94	32.28	48.49	59.81	69.15
Gain Standard Deviation	3.49	6.27	8.44	13.61	18.87	24.98	34.52	54.19	69.15
Loss Standard Deviation	2.96	4.67	7.51	7.87	5.60	7.23	5.98	6.15
Sharpe Ratio (1%)	0.20	0.36	0.52	0.69	0.79	0.84	0.99	1.13	1.31
Average Gain / Average Loss	1.20	1.24	1.38	1.59	2.42	3.19	8.30	10.43
Profit / Loss Ratio	1.74	2.60	4.08	6.67	8.42	9.70	18.84	58.77
Downside Deviation (10%)	3.13	5.06	6.59	7.99	9.65	12.14	14.28	13.33	8.72
Downside Deviation (5%)	2.94	4.54	5.69	6.21	6.52	7.82	6.67	4.51	0.13
Downside Deviation (0%)	2.92	4.48	5.60	6.03	6.20	7.38	5.96	3.85
Sortino Ratio (10%)	0.21	0.41	0.61	0.93	1.26	1.47	2.35	3.61	7.48
Sortino Ratio (5%)	0.35	0.70	1.10	1.92	2.91	3.46	7.16	14.99	684.37
Sortino Ratio (0%)	0.36	0.74	1.16	2.06	3.18	3.80	8.27	18.09

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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Zoi Capital, LLC : Telio Program (Proprietary)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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Zoi Capital, LLC : Telio Program (Proprietary)

Growth of 1,000 - VAMI

Monthly Performance

Period Returns

Strategy Description

Summary

Account & Fees

Subscriptions

Trading

Holding Periods

Decision-Making

Strategy

Composition

Summary

Investment Strategy

Risk Management

Drawdown Report

Consecutive Gains

Consecutive Losses

Time Windows Analysis

Top Performer Badges

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