camkay short-term program pitchbook

Capital Management

INVESTOR PRESENTATION | CONFIDENTIAL

STOCK INDICES SHORT-TERM PROGRAM

CAMKAY CAPITAL MANAGEMENT, LLC7335 East Acoma Drive, Suite 204

SCOTTSDALE, AZ, 85260

September 2016


DISCLAIMER

THE RISK OF LOSS IN TRADING COMMODITIES CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCHTRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION.

THE HIGH DEGREE OF LEVERAGE THAT IS OFTEN OBTAINABLE IN COMMODITY TRADING CAN WORK AGAINST YOU AS WELL AS FORYOU. THE USE OF LEVERAGE CAN LEAD TO LARGE LOSSES AS WELL AS GAINS. IN SOME CASES, MANAGED COMMODITY ACCOUNTS ARESUBJECT TO SUBSTANTIAL CHARGES FOR MANAGEMENT AND ADVISORY FEES. IT MAY BE NECESSARY FOR THOSE ACCOUNTS THAT ARESUBJECT TO THESE CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THEDISCLOSURE DOCUMENT CONTAINS A COMPLETE DESCRIPTION OF THE PRINCIPAL RISK FACTORS AND EACH FEE TO BE CHARGED TOYOUR ACCOUNT BY THE COMMODITY TRADING ADVISOR (“CTA”).

THE REGULATIONS OF THE COMMODITY FUTURES TRADING COMMISSION (“CFTC”) REQUIRE THAT PROSPECTIVE CLIENTS OF A CTARECEIVE A DISCLOSURE DOCUMENT WHEN THEY ARE SOLICITED TO ENTER INTO AN AGREEMENT WHEREBY THE CTA WILL DIRECT ORGUIDE THE CLIENT’S COMMODITY INTEREST TRADING AND THAT CERTAIN RISK FACTORS BE HIGHLIGHTED. THIS BRIEF STATEMENTCANNOT DISCLOSE ALL OF THE RISKS AND OTHER SIGNIFICANT ASPECTS OF THE COMMODITY MARKETS. YOU SHOULD THEREFORECAREFULLY STUDY THE DISCLOSURE DOCUMENT AND COMMODITY INTEREST TRADING BEFORE YOU TRADE. THE CFTC HAS NOTPASSED UPON THE MERITS OF PARTICIPATION IN THE TRADING PROGRAM NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSUREDOCUMENT.

THESE MATERIALS ARE INTENDED FOR INFORMATIONAL PURPOSES ONLY. THESE MATERIALS ARE CONFIDENTIAL, ARE INTENDED SOLEYFOR THE INFORMATION OF THE PERSON TO WHOM IT WAS DELIVERED AND MAY NOT BE REPUBLISHED OR REDISTRIBUTED, IN WHOLEOR IN PART, TO ANY THIRD PARTIES.

MARKET INDICES ARE INCLUDED IN THIS REPORT ONLY AS CONTEXT REFLECTING GENERAL MARKET RESULTS DURING THE PERIODAND/OR AS A COMPARISON OF HISTORICAL PERFORMANCE AGAINST PEERS. NO REPRESENTATION IS MADE THAT THE PERFORMANCEOR VOLATILITY OF THE PROGRAM WILL TRACK OR OTHERWISE REFLECT ANY PARTICULAR INDEX.

Camkay Capital Management, LLC is registered with the CFTC and is a member of the NFA.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. FUTURESTRADING IS SPECULATIVE AND MAY INVOLVE SUBSTANTIAL RISK.


INDEX

Executive Summary 4

Investment Strategy 5

Markets Traded 6

Risk Management 7

Actual Trade Examples 8

Performance 11

Timeline 12

Biography 13

Contact Info 14

INVESTOR PRESENTATION | CONFIDENTIAL 4

EXECUTIVE SUMMARY

Program Description

• Trade Stock Index futures combining multiple unique yet simple trading strategies that exploit persistent stock market characteristics.

• Inception of trading: March 2012.• Minimum account size: $100,000 USD (notional funding accepted)• Target performance: 15% annually.• Target volatility <20%.

Investment Strategy

• Systematic with automated execution.• Combination of intraday and swing trading time frames.• Combination of momentum/trend following and mean-reversion / countertrend strategies.

Why Camkay • Only in the market when perceived opportunity is the greatest.• Combine multiple time frames and model types for diversification.• Little or no correlation with the stock market, bonds, real estate, etc.• No correlation to other CTA programs• Program Manager has been trading futures since 1998, with systems since 2001.

• The founder has vast majority of personal liquid assets invested in the same strategies as the program.


INVESTMENT STRATEGY

The Stock Indices Short-Term Programattempts to take advantage of short-term inefficiencies in the stock indexfutures markets by using multipleindependent intra-day and swing tradingmodels. Trades are generated withproprietary computer generated signals. The average holding period forthe swing trading models is five trading days, but can be as short as oneday and as long as twenty days.

The intra-day strategies are primarily trend following in nature and utilizemarket volatility. The swing trading strategies are primarily counter-trend innature, with some incorporating fundamental data as well. Thiscombination of time frames and model types is designed with theintention of providing consistent returns during any market environment.

Freq

uenc

y

Duration

5 Days


MARKETS TRADED

For intraday trading, the program trades a maximum of 3 positions in theemini futures of the Russell 2000. For overnight (swing) trading, this programtrades a maximum of 1 position each in the emini futures of the S&P 500,S&P MidCap and Russell 2000 thus providing exposure to all index baskets.

Maximum Position

3Maximum Position

1each


RISK MANAGEMENT

The manager adheres to a disciplinedapproach to risk control using pre-determined price stops. Stops arequantitatively determined and setbefore each trade is initiated, andevery stop loss order is active during allexchange hours including the overnightsession. Stops are strictly enforced inorder to manage trade and portfoliodrawdowns. It is important to note thata stop is an order that becomesexecutable once a set price has beenreached and is then filled at the current market price. During fast marketsit is possible that the fill may be worse than the stop price.In addition, when perceived risk is higher than normal (due to heightenedvolatility, geopolitical events, etc.) the manager may close a trade earlyor avoid entering a trade during this period.

Invalidation of Manager modelStress limits.

Intraday Stops:No more than 0.75% NAV per

trade.

Swing Stops:No more than 3%

NAV per trade.

Margin to Equity:Avg: 5%

Max: 20%


ACTUAL TRADE EXAMPLES (Swing Trade)

Short Trade: 12/30/13: Sell March emini S&P at1835.50. Trade direction filter had abearish bias and price measuresindicated market was over-bought.

1/6/14: Buy at 1820.50. Trade directionfilter no longer had a bearish bias soexited trade with a $735 net profit.

Long Trade: 1/13/14: Buy March emini S&P at1813.00. Trade direction filter had abullish bias and price measuresindicated market was over-sold.

1/15/14: Sell at 1842.50. Pricemeasures indicated market was over-bought so exited trade with a $1460net profit. 1,795.0

1,805.0

1,815.0

1,825.0

1,835.0

1,845.0

12/21 12/26 12/31 01/05 01/10 01/15 01/20

-1

0

1

0

Past results are not necessarily indicative of future results.Actual trade examples assume a $15 round turn all inclusive rate.


ACTUAL TRADE EXAMPLES (Intraday)

1,139.0

1,141.0

1,143.0

1,145.0

1,147.0

1,149.0

1,151.0

1,153.0

1,155.0

1,157.0

Long Trade:4/9/14 10:50am: Buy June Russell 2000 at 1145.7. Trade direction filter had a bullish bias andprice measures indicated long trend may be starting.2:45pm: Sell at 1155.2. End of day exit with a $935 net profit.

1

0

9:00 10:00 11:00 12:00 13:00 14:00 1500



ACTUAL TRADE EXAMPLES (Intraday)

Short Trade:6/10/14 10:53am: Sell June Russell 2000 at 1167.3. Trade direction filter had a bearish bias andprice measures indicated short trend may be starting.1:19pm: Buy at 1170.6. Price measures indicated long trend may be starting so exited shorttrade with a $345 net loss.

1,164.0

1,166.0

1,168.0

1,170.0

1,172.0

1,174.0

-1

0

9:00 10:00 11:00 12:00 13:00 14:00 1500



PERFORMANCE

Performance and Risk Summary VAMI

Monthly

1 Using 30 basis point as annual risk free rate. 2 Since March 2012.3 Since March 2012 and is measured against the initial amount of the investment and represents a geometric mean.

Past results are not necessarily indicative of future results.

0

2

4

6

8

10

12

14

900

1000

1100

1200

1300

1400

1500

1600

1700

AU

M in

Mill

ion

s

Stock Indices Short-Term

S&P 500

AUM

Annualized Returns3 12.05%

12 Month ROR 8.09%

Average Monthly Return2 1.04%

% Winning Months 65%

Average Win 3.26%

% Losing Months 35%

Average Loss -3.01%

Best Monthly Return 16.99%

Worst Monthly Return -8.39%

Annualized Volatility 14.96%

Sharpe Ratio1 0.82

Worst Drawdown -20.79%

Return Since Inception2 68.45%

R2 vs S&P 500 0.06

YTDDecNovOctSepAugJulJunMayAprFebJan

2015 12.76%1.49%3.71%-3.71%-3.22%6.01% 1.13%2.07%3.88%-1.31%7.61% -2.95%-1.88%

Mar

2014 -7.01%4.74%-2.50%-4.06%1.56%1.75% -8.39%2.70%-1.62%2.45%4.79% 0.00%-7.57%

2013 25.68%2.49%2.76%-0.84%1.44%-0.29% 0.77%8.41%2.25%2.14%2.40% 2.90%-1.03%

2012 14.29%2.64%1.31%-0.26%4.78%16.99%-8.34%0.66%0.31% -6.39%3.76%

201 11.84%5.88%0.45%-0.75%-1.48% -3.57%8.19%0.22%0.87% 1.97%


TIMELINE

Mr. Hart begins study of commodities trading

(home study course and books) and starts paper

trading.

Mr. Hart begins trading commodity futures.

Mr. Hart starts testing and trading with automated systems.

Camkay Capital Management LLC is formed.

Mr. Hart begins studies of trading in a mechanical manner.

Camkay becomes an NFA member and registered as a CTA and CPO. Gary Hart

becomes an NFA member and registered as Principal.

Camkay starts first trading program (Intraday) with 200k AUM.

Camkay starts second trading program (short-term) with 200k AUM.

Mar – Camkay withdraws CPO registration and maintains CTA registration.

Mar – Short-Term Program materially changed, 1st version retired and replaced with new program. 70k AUM.

Jun – Short-Term Program AUM grows to 550k.

Dec – Intraday Program retired.

Dec – Short-Term Program AUM grows to 950k.

Jun – AUM grows to 1.7 million.

Dec – AUM grows to 3.8 million.

1997 1998 2001 2008 2009 2010 2011 2012 2013 20141999 2015

Current AUM

$4.69 Million

2016


BIOGRAPHY

Gary D. Hart is the President and sole principal of Camkay. He has beenstudying and trading the futures markets since 1997 and trading with fullyautomated mechanical systems since 2001. Since January of 2009 throughthe present, Mr. Hart has also owned a trading system vendor business,Trendfinder Trading Systems LLC. The business provides fully automatedtrading strategies for individuals to lease with brokers executing the signalsin their futures account.

From January of 1998 through July of 2010, Mr. Hart owned a structuralengineering firm Hart Engineering, PLLC. The firm specialized in multi-familyand custom residential construction.

Mr. Hart graduated from Oklahoma State University in 1992 with a Bachelorof Architectural Engineering. He earned a Master of Science in StructuralEngineering from Arizona State University in 1999.


CONTACT INFORMATION

For more information, please contact:

Camkay Capital Management, LLC

[email protected]

7335 East Acoma Drive, Suite 204 Scottsdale, AZ 85260

P 480-269-9605

camkay short-term program pitchbook

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