global sigma nov mtd performance
DESCRIPTION
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[email protected] thru-14th 0.8% -2.4% ytd
AGSF Fund Strategy Aum $250mGlobalSigma
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Global Sigma applies a model-driven, high turn-over approach to option premium capture in the S&P500 futures market.Global Sigma was formed in late 2009 around the same time the weekly expiry options contract on the S&P500 waslaunched. Global Sigma has become one of the most active managers of the weekly expiry S&P500 options contract in theCTA industry. Global Sigma also manages the BondVOL fund which trades Treasury Bond options & futures.
Hanming Rao, CIO, In 2009, Hanming was a model developer in the statistical arbitrage group of Millennium Partners. From 2006 to2009, he was a Global Macro trader at SAC Capital where he managed global futures and OTC products including short-term options onthe S&P500. Prior to SAC, at Ellington Management he worked on various mortgage prepayment models. PhD Engineering Sciences,Masters Computer Science, Harvard University. Hanming is supported by a team of six in the areas of trading, operations andmarketing.
Fund Custodian Wells Fargo & FCStone Administrators NAV Consulting & FACFund Auditor EisnerAmper Legal Counsel Sadis & Goldberg
November mtd CommentaryThe S&P500 came close to making a new all-time high on November 2nd as it reached 2115, but retreated for thenext two weeks by -5%, and closed at the 2023 level, -2.7% mtd thru November 14th. The VIX Index broke out ofits 14-17 range on November 12th and closed at 20.1, +33% mtd.
The combined activity of downward S&P500 prices and rising volatility is a good market environment for theGlobal Sigma trading approach and the models were able to identify and capture returns that are slightly abovethe normal returns for a two-week period.
Strategy In a discretionary manner, the strategy seeks to sell over-priced Puts and Calls that have strikes that are twostandard deviations away from the current S&P500 price. 90% to 95% of the time, the options expire at $0. The strategypartially hedges the portfolios Delta/Gamma exposures by taking positions in the S&P500 futures market and bypurchasing Puts and Calls. The average daily net S&P500 Delta exposure of the portfolio since inception has been -0.13,-0.23 since January 2013.
The material contained herein does not constitute an offer to purchase a fund or to invest in a managed account futures product. Such offers are made only by a sponsor's 4.7 exempt disclosure document and trading authorization agreement (which contains a detaileddescription of risk factors) or the Fund PPM. There are significant risks associated with the ownership of this type of investment including limited liquidity and potential to lose more than the amount invested if a managed account product is selected. Investments aresuitable for qualified eligible persons only. Past performance is not indicative of future performance. Please consult your own financial, legal, due diligence and tax counsel before making an investment in this type of product. This product may be offered by brokerdealer Emerging Manager Advisors, LLC. This information is for the AGSF, LP fund. The AGSF, LTD feeder is domiciled in the BVI. The LTD fund is compliant with Swiss Law for distribution. The Swiss representative is Fundbase Fund Services AG, Bahnhofstrasse 3, CH-8808 Pfaeffikon SZ. The Swiss paying agent is Neue Helvetische Bank Ltd., Seefeldstrasse 215, CH-8008 Zurich. Qualified Swiss investors can obtain all of the fund and fund-related documents from the Swiss representative.
SMA NAV FUND NAV
Jan Feb Mar April May June July Aug Sep Oct 14-Nov Dec YTD2015 1.5% 1.4% 1.6% 1.3% 2.0% 1.9% 1.4% -8.8% 4.3% -8.9% 0.8% -2.4%2014 1.5% 2.3% 1.9% 1.1% 1.3% 1.1% -0.3% 2.3% 1.9% 0.1% 2.4% 2.7% 19.8%2013 1.1% 1.6% 2.1% 1.2% 1.8% 1.8% 2.4% 1.2% 2.8% 17.3%
SMA returns below assume a fully-funded, non-notionalized account. SMAs can be leveraged 20-25% to approximately match above fund.2015 1.1% 1.0% 1.2% 0.9% 1.4% 1.3% 1.0% -7.6% 2.8% -7.0% 0.5% -3.9%2014 1.1% 1.7% 1.4% 0.7% 0.9% 0.7% -0.4% 1.7% 1.4% -0.1% 1.8% 1.9% 13.3%2013 0.8% 1.0% 1.5% 0.8% 1.1% 1.6% 1.0% 1.1% 1.4% 1.8% 0.9% 2.1% 15.9%2012 1.3% 1.4% 1.8% 1.3% 1.8% 0.1% -0.4% 1.1% 1.8% 1.4% 1.5% 1.3% 15.1%2011 1.5% 1.4% 1.6% 1.2% 2.0% 1.2% 2.4% -1.6% 3.9% 1.7% 1.9% 1.3% 20.2%2010 2.3% 1.7% 1.2% 1.2% 3.0% 2.1% 1.3% 1.0% 2.5% 1.6% 1.8% 1.4% 23.3%2009 2.1% 1.4% 3.6%
Fund Launch
Avg Annual Return 13%Sharpe Ratio 1.3Maximum Monthly DD -8.9%Profitable Months 91%Fund Net Performance Stats
Avg Annual Return 14%Sharpe Ratio 2.5Maximum Monthly DD -7.6%Profitable Months 92%SMA Net Performance Stats
Estimated net return of the AGSF, LP fund, and average net returns of all of the managed accounts.
Sheet3
MonYearDateSMA ReturnFund ReturnSMASMA+FundFundFund(100 start)
100.00100.00100
Nov2009Nov-092.13%102.13102.13100 JanFebMarAprilMayJuneJulyAugSepOct14-NovDecYTD
Dec2009Dec-091.41%103.57103.5710020151.5%1.4%1.6%1.3%2.0%1.9%1.4%-8.8%4.3%-8.9%0.8%-2.4%
Jan2010Jan-102.26%105.91105.9110020141.5%2.3%1.9%1.1%1.3%1.1%-0.3%2.3%1.9%0.1%2.4%2.7%19.8%
Feb2010Feb-101.68%107.69107.691002013Fund Launch1.1%1.6%2.1%1.2%1.8%1.8%2.4%1.2%2.8%17.3%
Mar2010Mar-101.24%109.03109.03100SMA returns below assume a fully-funded, non-notionalized account. SMAs can be leveraged 20-25% to approximately match above fund.
Apr2010Apr-101.15%110.28110.2810020151.1%1.0%1.2%0.9%1.4%1.3%1.0%-7.6%2.8%-7.0%0.5%-3.9%
May2010May-103.04%113.63113.6310020141.1%1.7%1.4%0.7%0.9%0.7%-0.4%1.7%1.4%-0.1%1.8%1.9%13.3%
Jun2010Jun-102.13%116.05116.0510020130.8%1.0%1.5%0.8%1.1%1.6%1.0%1.1%1.4%1.8%0.9%2.1%15.9%
Jul2010Jul-101.33%117.60117.6010020121.3%1.4%1.8%1.3%1.8%0.1%-0.4%1.1%1.8%1.4%1.5%1.3%15.1%
Aug2010Aug-100.98%118.75118.7510020111.5%1.4%1.6%1.2%2.0%1.2%2.4%-1.6%3.9%1.7%1.9%1.3%20.2%
Sep2010Sep-102.51%121.73121.7310020102.3%1.7%1.2%1.2%3.0%2.1%1.3%1.0%2.5%1.6%1.8%1.4%23.3%
Oct2010Oct-101.55%123.62123.62100 2009 2.1%1.4%3.6%
Nov2010Nov-101.81%125.85125.85100
ERROR:#NAME?Dec-101.43%127.65127.65100 JanFebMarAprilMayJuneJulyAugSepOct14-NovDecYTD
Jan2011Jan-111.48%129.54129.5410020151.5%1.4%1.6%1.3%2.0%1.9%1.4%-8.8%4.3%-8.9%0.8%-2.4%
Feb2011Feb-111.44%131.41131.4110020141.5%2.3%1.9%1.1%1.3%1.1%-0.3%2.3%1.9%0.1%2.4%2.7%19.8%
Mar2011Mar-111.63%133.55133.551002013 1.1%1.6%2.1%1.2%1.8%1.8%2.4%1.2%2.8%17.3%
Apr2011Apr-111.20%135.15135.15100
May2011May-111.99%137.84137.84100
Jun2011Jun-111.22%139.52139.52100
Jul2011Jul-112.42%142.90142.90100JanFebMarAprMayJuneJulyAugSepOct14-NovDecYTD
Aug2011Aug-11-1.55%140.68140.6810020151.1%1.0%1.2%0.9%1.4%1.3%1.0%-7.6%2.8%-7.0%0.5%-3.9%
Sep2011Sep-113.89%146.16146.1610020141.1%1.7%1.4%0.7%0.9%0.7%-0.4%1.7%1.4%-0.1%1.8%1.9%13.3%
Oct2011Oct-111.65%148.57148.5710020130.8%1.0%1.5%0.8%1.1%1.6%1.0%1.1%1.4%1.8%0.9%2.1%15.9%
Nov2011Nov-111.92%151.42151.4210020121.3%1.4%1.8%1.3%1.8%0.1%-0.4%1.1%1.8%1.4%1.5%1.3%15.1%
Dec2011Dec-111.34%153.45153.45100 20111.5%1.4%1.6%1.2%2.0%1.2%2.4%-1.6%3.9%1.7%1.9%1.3%20.2%
Jan2012Jan-121.27%155.40155.40100 20102.3%1.7%1.2%1.2%3.0%2.1%1.3%1.0%2.5%1.6%1.8%1.4%23.3%
Feb2012Feb-121.38%157.54157.541002009 2.1%1.4%3.6%
Mar2012Mar-121.75%160.30160.30100
Apr2012Apr-121.31%162.40162.40100
May2012May-121.76%165.26165.26100 JanFebMarAprilMayJuneJulyAugSepOctNovDecYTD
Jun2012Jun-120.12%165.46165.4610020151.52%1.44%1.62%1.31%1.99%1.86%1.44%-8.79%4.26%-8.88%0.78%-2.44%
Jul2012Jul-12-0.43%164.75164.7510020141.49%2.28%1.89%1.12%1.30%1.08%-0.27%2.28%1.91%0.13%2.36%2.67%19.79%
Aug2012Aug-121.06%166.49166.491002013 1.13%1.63%2.13%1.24%1.79%1.82%2.38%1.15%2.79%17.28%
Sep2012Sep-121.82%169.52169.52100
Oct2012Oct-121.44%171.96171.9610020151.13%0.96%1.15%0.85%1.44%1.33%1.03%-7.57%2.79%-6.98%0.49%-3.94%
Nov2012Nov-121.45%174.46174.4610020141.06%1.65%1.39%0.70%0.89%0.74%-0.44%1.69%1.39%-0.12%1.75%1.93%13.34%
Dec2012Dec-121.27%176.67176.6710020130.81%0.96%1.45%0.78%1.09%1.56%0.95%1.11%1.43%1.75%0.89%2.05%15.87%
Jan2013Jan-130.81%178.10178.1010020121.27%1.38%1.75%1.31%1.76%0.12%-0.43%1.06%1.82%1.44%1.45%1.27%15.13%
Feb2013Feb-130.96%179.81179.8110020111.48%1.44%1.63%1.20%1.99%1.22%2.42%-1.55%3.89%1.65%1.92%1.34%20.21%
Mar2013Mar-131.45%182.42182.42100100.0020102.26%1.68%1.24%1.15%3.04%2.13%1.33%0.98%2.51%1.55%1.81%23.25%
Apr2013Apr-130.78%1.13%183.84184.48184.48101.132009 2.13%1.41%3.57%
May2013May-131.09%1.63%185.85187.49187.49102.78
Jun2013Jun-131.56%2.13%188.75191.48191.48104.97
Jul2013Jul-130.95%1.24%190.54193.86193.86106.27Current Date11/30/15
Aug2013Aug-131.11%1.79%192.65197.33197.33108.17
Sep2013Sep-131.43%1.82%195.41200.92200.92110.14
Oct2013Oct-131.75%2.38%198.83205.70205.70112.76
Nov2013Nov-130.89%1.15%200.60208.07208.07114.06
Dec2013Dec-132.05%2.79%204.71213.87213.87117.24SMA + Fund stat
Jan2014Jan-141.06%1.49%206.88217.06217.06118.99
Feb2014Feb-141.65%2.28%210.29222.01222.01121.70SMA+Fund Total # of Month73
Mar2014Mar-141.39%1.89%213.22226.20226.20124.00SMA+Fund Total # of Positive68
Apr2014Apr-140.70%1.12%214.71228.74228.74125.39SMA+Fund LTD return139.6%
May2014May-140.89%1.30%216.62231.71231.71127.02Avg Annual Return 15.45%
Jun2014Jun-140.74%1.08%218.22234.21234.21128.39YTD Return-3.94%
Jul2014Jul-14-0.44%-0.27%217.26233.58233.58128.04Sharpe Ratio 2.35
Aug2014Aug-141.69%2.28%220.94237.53237.53130.96Max Drawdown-8.88%
Sep2014Sep-141.39%1.91%224.01240.83240.83133.47Profitable Months93%
Oct2014Oct-14-0.12%0.13%223.74240.54240.54133.64
Nov2014Nov-141.75%2.36%227.65244.75244.75136.790.0568462679
Dec2014Dec-141.93%2.67%232.05249.47249.47140.44
Jan2015Jan-151.13%1.52%234.67252.29252.29142.58
Feb2015Feb-150.96%1.44%236.92254.71254.71144.63
Mar2015Mar-151.15%1.62%239.65257.64257.64146.98Fund stat
Apr2015Apr-150.85%1.31%241.68259.83259.83148.90
May2015May-151.44%1.99%245.16263.57263.57151.86Fund Total # of month32
Jun2015Jun-151.33%1.86%248.43267.09267.09154.69Fund Total # of Postive29
Jul2015Jul-151.03%1.44%250.99269.84269.84156.92Fund LTD Return37.02%
Aug2015Aug-15-7.57%-8.79%232.00249.42249.42143.12Avg Annual Return13%
Sep2015Sep-152.79%4.26%238.47256.38256.38149.22YTD Return-2.44%
Oct2015Oct-15-6.98%-8.88%221.83238.48238.48135.96Sharpe Ratio1.34
Nov2015Nov-150.49%0.78%222.91239.64239.64137.02Maximum Monthly DD-8.9%
Jan1900222.91239.64239.64137.02Profitable Months91%
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Jan1900222.91239.64239.64137.02 Avg Annual Return13%
Jan1900222.91239.64239.64137.02 Sharpe Ratio1.3
Jan1900222.91239.64239.64137.02 Maximum Monthly DD-8.9%
Jan1900222.91239.64239.64137.02Profitable Months90%
Jan1900222.91239.64239.64137.02Fund Net Performance Stats
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Jan1900222.91239.64239.64137.02 SMA Only Stat
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Jan1900222.91239.64239.64137.02 SMA Total # of Month73
Jan1900222.91239.64239.64137.02SMA Total # of Positive67
Jan1900222.91239.64239.64137.02SMA LTD Return122.91%
Jan1900222.91239.64239.64137.02Avg Annual Return 14%
Jan1900222.91239.64239.64137.02YTD Return-3.94%
Jan1900222.91239.64239.64137.02Sharpe Ratio 2.53
Jan1900222.91239.64239.64137.02Max Drawdown-7.6%
Jan1900222.91239.64239.64137.02Profitable Months92%
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Jan1900222.91239.64239.64137.02Avg Annual Return14%
Jan1900222.91239.64239.64137.02Sharpe Ratio2.5
Jan1900222.91239.64239.64137.02Maximum Monthly DD-7.6%
Jan1900222.91239.64239.64137.02Profitable Months92%
Jan1900222.91239.64239.64137.02SMA Net Performance Stats
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Sheet3
MonYearDateSMA ReturnFund ReturnSMASMA+FundFundFund(100 start)
100.00100.00100
Nov2009Nov-092.13%102.13102.13100 JanFebMarAprilMayJuneJulyAugSepOct14-NovDecYTD
Dec2009Dec-091.41%103.57103.5710020151.5%1.4%1.6%1.3%2.0%1.9%1.4%-8.8%4.3%-8.9%0.8%-2.4%
Jan2010Jan-102.26%105.91105.9110020141.5%2.3%1.9%1.1%1.3%1.1%-0.3%2.3%1.9%0.1%2.4%2.7%19.8%
Feb2010Feb-101.68%107.69107.691002013Fund Launch1.1%1.6%2.1%1.2%1.8%1.8%2.4%1.2%2.8%17.3%
Mar2010Mar-101.24%109.03109.03100SMA returns below assume a fully-funded, non-notionalized account. SMAs can be leveraged 20-25% to approximately match above fund.
Apr2010Apr-101.15%110.28110.2810020151.1%1.0%1.2%0.9%1.4%1.3%1.0%-7.6%2.8%-7.0%0.5%-3.9%
May2010May-103.04%113.63113.6310020141.1%1.7%1.4%0.7%0.9%0.7%-0.4%1.7%1.4%-0.1%1.8%1.9%13.3%
Jun2010Jun-102.13%116.05116.0510020130.8%1.0%1.5%0.8%1.1%1.6%1.0%1.1%1.4%1.8%0.9%2.1%15.9%
Jul2010Jul-101.33%117.60117.6010020121.3%1.4%1.8%1.3%1.8%0.1%-0.4%1.1%1.8%1.4%1.5%1.3%15.1%
Aug2010Aug-100.98%118.75118.7510020111.5%1.4%1.6%1.2%2.0%1.2%2.4%-1.6%3.9%1.7%1.9%1.3%20.2%
Sep2010Sep-102.51%121.73121.7310020102.3%1.7%1.2%1.2%3.0%2.1%1.3%1.0%2.5%1.6%1.8%1.4%23.3%
Oct2010Oct-101.55%123.62123.62100 2009 2.1%1.4%3.6%
Nov2010Nov-101.81%125.85125.85100
ERROR:#NAME?Dec-101.43%127.65127.65100 JanFebMarAprilMayJuneJulyAugSepOct14-NovDecYTD
Jan2011Jan-111.48%129.54129.5410020151.5%1.4%1.6%1.3%2.0%1.9%1.4%-8.8%4.3%-8.9%0.8%-2.4%
Feb2011Feb-111.44%131.41131.4110020141.5%2.3%1.9%1.1%1.3%1.1%-0.3%2.3%1.9%0.1%2.4%2.7%19.8%
Mar2011Mar-111.63%133.55133.551002013 1.1%1.6%2.1%1.2%1.8%1.8%2.4%1.2%2.8%17.3%
Apr2011Apr-111.20%135.15135.15100
May2011May-111.99%137.84137.84100
Jun2011Jun-111.22%139.52139.52100
Jul2011Jul-112.42%142.90142.90100JanFebMarAprMayJuneJulyAugSepOct14-NovDecYTD
Aug2011Aug-11-1.55%140.68140.6810020151.1%1.0%1.2%0.9%1.4%1.3%1.0%-7.6%2.8%-7.0%0.5%-3.9%
Sep2011Sep-113.89%146.16146.1610020141.1%1.7%1.4%0.7%0.9%0.7%-0.4%1.7%1.4%-0.1%1.8%1.9%13.3%
Oct2011Oct-111.65%148.57148.5710020130.8%1.0%1.5%0.8%1.1%1.6%1.0%1.1%1.4%1.8%0.9%2.1%15.9%
Nov2011Nov-111.92%151.42151.4210020121.3%1.4%1.8%1.3%1.8%0.1%-0.4%1.1%1.8%1.4%1.5%1.3%15.1%
Dec2011Dec-111.34%153.45153.45100 20111.5%1.4%1.6%1.2%2.0%1.2%2.4%-1.6%3.9%1.7%1.9%1.3%20.2%
Jan2012Jan-121.27%155.40155.40100 20102.3%1.7%1.2%1.2%3.0%2.1%1.3%1.0%2.5%1.6%1.8%1.4%23.3%
Feb2012Feb-121.38%157.54157.541002009 2.1%1.4%3.6%
Mar2012Mar-121.75%160.30160.30100
Apr2012Apr-121.31%162.40162.40100
May2012May-121.76%165.26165.26100 JanFebMarAprilMayJuneJulyAugSepOctNovDecYTD
Jun2012Jun-120.12%165.46165.4610020151.52%1.44%1.62%1.31%1.99%1.86%1.44%-8.79%4.26%-8.88%0.78%-2.44%
Jul2012Jul-12-0.43%164.75164.7510020141.49%2.28%1.89%1.12%1.30%1.08%-0.27%2.28%1.91%0.13%2.36%2.67%19.79%
Aug2012Aug-121.06%166.49166.491002013 1.13%1.63%2.13%1.24%1.79%1.82%2.38%1.15%2.79%17.28%
Sep2012Sep-121.82%169.52169.52100
Oct2012Oct-121.44%171.96171.9610020151.13%0.96%1.15%0.85%1.44%1.33%1.03%-7.57%2.79%-6.98%0.49%-3.94%
Nov2012Nov-121.45%174.46174.4610020141.06%1.65%1.39%0.70%0.89%0.74%-0.44%1.69%1.39%-0.12%1.75%1.93%13.34%
Dec2012Dec-121.27%176.67176.6710020130.81%0.96%1.45%0.78%1.09%1.56%0.95%1.11%1.43%1.75%0.89%2.05%15.87%
Jan2013Jan-130.81%178.10178.1010020121.27%1.38%1.75%1.31%1.76%0.12%-0.43%1.06%1.82%1.44%1.45%1.27%15.13%
Feb2013Feb-130.96%179.81179.8110020111.48%1.44%1.63%1.20%1.99%1.22%2.42%-1.55%3.89%1.65%1.92%1.34%20.21%
Mar2013Mar-131.45%182.42182.42100100.0020102.26%1.68%1.24%1.15%3.04%2.13%1.33%0.98%2.51%1.55%1.81%23.25%
Apr2013Apr-130.78%1.13%183.84184.48184.48101.132009 2.13%1.41%3.57%
May2013May-131.09%1.63%185.85187.49187.49102.78
Jun2013Jun-131.56%2.13%188.75191.48191.48104.97
Jul2013Jul-130.95%1.24%190.54193.86193.86106.27Current Date11/30/15
Aug2013Aug-131.11%1.79%192.65197.33197.33108.17
Sep2013Sep-131.43%1.82%195.41200.92200.92110.14
Oct2013Oct-131.75%2.38%198.83205.70205.70112.76
Nov2013Nov-130.89%1.15%200.60208.07208.07114.06
Dec2013Dec-132.05%2.79%204.71213.87213.87117.24SMA + Fund stat
Jan2014Jan-141.06%1.49%206.88217.06217.06118.99
Feb2014Feb-141.65%2.28%210.29222.01222.01121.70SMA+Fund Total # of Month73
Mar2014Mar-141.39%1.89%213.22226.20226.20124.00SMA+Fund Total # of Positive68
Apr2014Apr-140.70%1.12%214.71228.74228.74125.39SMA+Fund LTD return139.6%
May2014May-140.89%1.30%216.62231.71231.71127.02Avg Annual Return 15.45%
Jun2014Jun-140.74%1.08%218.22234.21234.21128.39YTD Return-3.94%
Jul2014Jul-14-0.44%-0.27%217.26233.58233.58128.04Sharpe Ratio 2.35
Aug2014Aug-141.69%2.28%220.94237.53237.53130.96Max Drawdown-8.88%
Sep2014Sep-141.39%1.91%224.01240.83240.83133.47Profitable Months93%
Oct2014Oct-14-0.12%0.13%223.74240.54240.54133.64
Nov2014Nov-141.75%2.36%227.65244.75244.75136.790.0568462679
Dec2014Dec-141.93%2.67%232.05249.47249.47140.44
Jan2015Jan-151.13%1.52%234.67252.29252.29142.58
Feb2015Feb-150.96%1.44%236.92254.71254.71144.63
Mar2015Mar-151.15%1.62%239.65257.64257.64146.98Fund stat
Apr2015Apr-150.85%1.31%241.68259.83259.83148.90
May2015May-151.44%1.99%245.16263.57263.57151.86Fund Total # of month32
Jun2015Jun-151.33%1.86%248.43267.09267.09154.69Fund Total # of Postive29
Jul2015Jul-151.03%1.44%250.99269.84269.84156.92Fund LTD Return37.02%
Aug2015Aug-15-7.57%-8.79%232.00249.42249.42143.12Avg Annual Return13%
Sep2015Sep-152.79%4.26%238.47256.38256.38149.22YTD Return-2.44%
Oct2015Oct-15-6.98%-8.88%221.83238.48238.48135.96Sharpe Ratio1.34
Nov2015Nov-150.49%0.78%222.91239.64239.64137.02Maximum Monthly DD-8.9%
Jan1900222.91239.64239.64137.02Profitable Months91%
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02 Avg Annual Return13%
Jan1900222.91239.64239.64137.02 Sharpe Ratio1.3
Jan1900222.91239.64239.64137.02 Maximum Monthly DD-8.9%
Jan1900222.91239.64239.64137.02Profitable Months91%
Jan1900222.91239.64239.64137.02Fund Net Performance Stats
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02 SMA Only Stat
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02 SMA Total # of Month73
Jan1900222.91239.64239.64137.02SMA Total # of Positive67
Jan1900222.91239.64239.64137.02SMA LTD Return122.91%
Jan1900222.91239.64239.64137.02Avg Annual Return 14%
Jan1900222.91239.64239.64137.02YTD Return-3.94%
Jan1900222.91239.64239.64137.02Sharpe Ratio 2.53
Jan1900222.91239.64239.64137.02Max Drawdown-7.6%
Jan1900222.91239.64239.64137.02Profitable Months92%
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02Avg Annual Return14%
Jan1900222.91239.64239.64137.02Sharpe Ratio2.5
Jan1900222.91239.64239.64137.02Maximum Monthly DD-7.6%
Jan1900222.91239.64239.64137.02Profitable Months92%
Jan1900222.91239.64239.64137.02SMA Net Performance Stats
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
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Jan1900222.91239.64239.64137.02
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Jan1900222.91239.64239.64137.02
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Sheet3
MonYearDateSMA ReturnFund ReturnSMASMA+FundFundFund(100 start)
100.00100.00100
Nov2009Nov-092.13%102.13102.13100 JanFebMarAprilMayJuneJulyAugSepOct14-NovDecYTD
Dec2009Dec-091.41%103.57103.5710020151.5%1.4%1.6%1.3%2.0%1.9%1.4%-8.8%4.3%-8.9%0.8%-2.4%
Jan2010Jan-102.26%105.91105.9110020141.5%2.3%1.9%1.1%1.3%1.1%-0.3%2.3%1.9%0.1%2.4%2.7%19.8%
Feb2010Feb-101.68%107.69107.691002013Fund Launch1.1%1.6%2.1%1.2%1.8%1.8%2.4%1.2%2.8%17.3%
Mar2010Mar-101.24%109.03109.03100SMA returns below assume a fully-funded, non-notionalized account. SMAs can be leveraged 20-25% to approximately match above fund.
Apr2010Apr-101.15%110.28110.2810020151.1%1.0%1.2%0.9%1.4%1.3%1.0%-7.6%2.8%-7.0%0.5%-3.9%
May2010May-103.04%113.63113.6310020141.1%1.7%1.4%0.7%0.9%0.7%-0.4%1.7%1.4%-0.1%1.8%1.9%13.3%
Jun2010Jun-102.13%116.05116.0510020130.8%1.0%1.5%0.8%1.1%1.6%1.0%1.1%1.4%1.8%0.9%2.1%15.9%
Jul2010Jul-101.33%117.60117.6010020121.3%1.4%1.8%1.3%1.8%0.1%-0.4%1.1%1.8%1.4%1.5%1.3%15.1%
Aug2010Aug-100.98%118.75118.7510020111.5%1.4%1.6%1.2%2.0%1.2%2.4%-1.6%3.9%1.7%1.9%1.3%20.2%
Sep2010Sep-102.51%121.73121.7310020102.3%1.7%1.2%1.2%3.0%2.1%1.3%1.0%2.5%1.6%1.8%1.4%23.3%
Oct2010Oct-101.55%123.62123.62100 2009 2.1%1.4%3.6%
Nov2010Nov-101.81%125.85125.85100
ERROR:#NAME?Dec-101.43%127.65127.65100 JanFebMarAprilMayJuneJulyAugSepOct14-NovDecYTD
Jan2011Jan-111.48%129.54129.5410020151.5%1.4%1.6%1.3%2.0%1.9%1.4%-8.8%4.3%-8.9%0.8%-2.4%
Feb2011Feb-111.44%131.41131.4110020141.5%2.3%1.9%1.1%1.3%1.1%-0.3%2.3%1.9%0.1%2.4%2.7%19.8%
Mar2011Mar-111.63%133.55133.551002013 1.1%1.6%2.1%1.2%1.8%1.8%2.4%1.2%2.8%17.3%
Apr2011Apr-111.20%135.15135.15100
May2011May-111.99%137.84137.84100
Jun2011Jun-111.22%139.52139.52100
Jul2011Jul-112.42%142.90142.90100JanFebMarAprMayJuneJulyAugSepOct14-NovDecYTD
Aug2011Aug-11-1.55%140.68140.6810020151.1%1.0%1.2%0.9%1.4%1.3%1.0%-7.6%2.8%-7.0%0.5%-3.9%
Sep2011Sep-113.89%146.16146.1610020141.1%1.7%1.4%0.7%0.9%0.7%-0.4%1.7%1.4%-0.1%1.8%1.9%13.3%
Oct2011Oct-111.65%148.57148.5710020130.8%1.0%1.5%0.8%1.1%1.6%1.0%1.1%1.4%1.8%0.9%2.1%15.9%
Nov2011Nov-111.92%151.42151.4210020121.3%1.4%1.8%1.3%1.8%0.1%-0.4%1.1%1.8%1.4%1.5%1.3%15.1%
Dec2011Dec-111.34%153.45153.45100 20111.5%1.4%1.6%1.2%2.0%1.2%2.4%-1.6%3.9%1.7%1.9%1.3%20.2%
Jan2012Jan-121.27%155.40155.40100 20102.3%1.7%1.2%1.2%3.0%2.1%1.3%1.0%2.5%1.6%1.8%1.4%23.3%
Feb2012Feb-121.38%157.54157.541002009 2.1%1.4%3.6%
Mar2012Mar-121.75%160.30160.30100
Apr2012Apr-121.31%162.40162.40100
May2012May-121.76%165.26165.26100 JanFebMarAprilMayJuneJulyAugSepOctNovDecYTD
Jun2012Jun-120.12%165.46165.4610020151.52%1.44%1.62%1.31%1.99%1.86%1.44%-8.79%4.26%-8.88%0.78%-2.44%
Jul2012Jul-12-0.43%164.75164.7510020141.49%2.28%1.89%1.12%1.30%1.08%-0.27%2.28%1.91%0.13%2.36%2.67%19.79%
Aug2012Aug-121.06%166.49166.491002013 1.13%1.63%2.13%1.24%1.79%1.82%2.38%1.15%2.79%17.28%
Sep2012Sep-121.82%169.52169.52100
Oct2012Oct-121.44%171.96171.9610020151.13%0.96%1.15%0.85%1.44%1.33%1.03%-7.57%2.79%-6.98%0.49%-3.94%
Nov2012Nov-121.45%174.46174.4610020141.06%1.65%1.39%0.70%0.89%0.74%-0.44%1.69%1.39%-0.12%1.75%1.93%13.34%
Dec2012Dec-121.27%176.67176.6710020130.81%0.96%1.45%0.78%1.09%1.56%0.95%1.11%1.43%1.75%0.89%2.05%15.87%
Jan2013Jan-130.81%178.10178.1010020121.27%1.38%1.75%1.31%1.76%0.12%-0.43%1.06%1.82%1.44%1.45%1.27%15.13%
Feb2013Feb-130.96%179.81179.8110020111.48%1.44%1.63%1.20%1.99%1.22%2.42%-1.55%3.89%1.65%1.92%1.34%20.21%
Mar2013Mar-131.45%182.42182.42100100.0020102.26%1.68%1.24%1.15%3.04%2.13%1.33%0.98%2.51%1.55%1.81%23.25%
Apr2013Apr-130.78%1.13%183.84184.48184.48101.132009 2.13%1.41%3.57%
May2013May-131.09%1.63%185.85187.49187.49102.78
Jun2013Jun-131.56%2.13%188.75191.48191.48104.97
Jul2013Jul-130.95%1.24%190.54193.86193.86106.27Current Date11/30/15
Aug2013Aug-131.11%1.79%192.65197.33197.33108.17
Sep2013Sep-131.43%1.82%195.41200.92200.92110.14
Oct2013Oct-131.75%2.38%198.83205.70205.70112.76
Nov2013Nov-130.89%1.15%200.60208.07208.07114.06
Dec2013Dec-132.05%2.79%204.71213.87213.87117.24SMA + Fund stat
Jan2014Jan-141.06%1.49%206.88217.06217.06118.99
Feb2014Feb-141.65%2.28%210.29222.01222.01121.70SMA+Fund Total # of Month73
Mar2014Mar-141.39%1.89%213.22226.20226.20124.00SMA+Fund Total # of Positive68
Apr2014Apr-140.70%1.12%214.71228.74228.74125.39SMA+Fund LTD return139.6%
May2014May-140.89%1.30%216.62231.71231.71127.02Avg Annual Return 15.45%
Jun2014Jun-140.74%1.08%218.22234.21234.21128.39YTD Return-3.94%
Jul2014Jul-14-0.44%-0.27%217.26233.58233.58128.04Sharpe Ratio 2.35
Aug2014Aug-141.69%2.28%220.94237.53237.53130.96Max Drawdown-8.88%
Sep2014Sep-141.39%1.91%224.01240.83240.83133.47Profitable Months93%
Oct2014Oct-14-0.12%0.13%223.74240.54240.54133.64
Nov2014Nov-141.75%2.36%227.65244.75244.75136.790.0568462679
Dec2014Dec-141.93%2.67%232.05249.47249.47140.44
Jan2015Jan-151.13%1.52%234.67252.29252.29142.58
Feb2015Feb-150.96%1.44%236.92254.71254.71144.63
Mar2015Mar-151.15%1.62%239.65257.64257.64146.98Fund stat
Apr2015Apr-150.85%1.31%241.68259.83259.83148.90
May2015May-151.44%1.99%245.16263.57263.57151.86Fund Total # of month32
Jun2015Jun-151.33%1.86%248.43267.09267.09154.69Fund Total # of Postive29
Jul2015Jul-151.03%1.44%250.99269.84269.84156.92Fund LTD Return37.02%
Aug2015Aug-15-7.57%-8.79%232.00249.42249.42143.12Avg Annual Return13%
Sep2015Sep-152.79%4.26%238.47256.38256.38149.22YTD Return-2.44%
Oct2015Oct-15-6.98%-8.88%221.83238.48238.48135.96Sharpe Ratio1.34
Nov2015Nov-150.49%0.78%222.91239.64239.64137.02Maximum Monthly DD-8.9%
Jan1900222.91239.64239.64137.02Profitable Months91%
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02 Avg Annual Return13%
Jan1900222.91239.64239.64137.02 Sharpe Ratio1.3
Jan1900222.91239.64239.64137.02 Maximum Monthly DD-8.9%
Jan1900222.91239.64239.64137.02Profitable Months91%
Jan1900222.91239.64239.64137.02Fund Net Performance Stats
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02 SMA Only Stat
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02 SMA Total # of Month73
Jan1900222.91239.64239.64137.02SMA Total # of Positive67
Jan1900222.91239.64239.64137.02SMA LTD Return122.91%
Jan1900222.91239.64239.64137.02Avg Annual Return 14%
Jan1900222.91239.64239.64137.02YTD Return-3.94%
Jan1900222.91239.64239.64137.02Sharpe Ratio 2.53
Jan1900222.91239.64239.64137.02Max Drawdown-7.6%
Jan1900222.91239.64239.64137.02Profitable Months92%
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02Avg Annual Return14%
Jan1900222.91239.64239.64137.02Sharpe Ratio2.5
Jan1900222.91239.64239.64137.02Maximum Monthly DD-7.6%
Jan1900222.91239.64239.64137.02Profitable Months92%
Jan1900222.91239.64239.64137.02SMA Net Performance Stats
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
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Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Jan1900222.91239.64239.64137.02
Slide Number 1