1. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
CIME
INVESTMENT
STRATEGY
- Update: 31 October 2012 -
(Strictly confidential)
ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICAL
RESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOST
ALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOT
SUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINS
SUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOUR
PORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,
YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON THIS
DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
2. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Description of the Investment Strategy and Methodology
CIME is an innovative and unique investment strategy that combines a 100% systematic proprietary trading
approach (fundamental, quantitative) with conservative and automated money management rules. It is designed to
exploit a variety of market phenomena over a variety of time frames ranging from a few weeks to some months.
CIME invests in the 23 most liquid commodities (Light Crude Oil, Unleaded Gasoline, Heating Oil, Natural Gas, Gold,
Copper, Corn, Wheat, Soybeans, Soybean Oil, Soybean Meal, Sugar), currencies (Euro FX, Australian Dollar, British
Pound, Canadian Dollar, Japanese Yen), US interest rates (3-Month Eurodollar, 10-Year US Treasury Note, 30-Year
US Treasury Bond) and US equity indexes (DJIA, Nasdaq 100, S&P 500) by taking long and short positions using
futures contracts listed on the US markets (Chicago Mercantile Exchange and New York Intercontinental Exchange).
Every market (for instance: corn) is monitored on the basis of a set of variables. They are both fundamental and
quantitative ones. CIME Investment Strategy looks for extreme levels of these variables and it enters a trade only
when every variable of the set is extreme and concordant with the others. This reduces the number of trades done
but it increases the likelihood of success of a trade. CIME has also implemented filtering techniques to avoid trades
with adverse risk/reward characteristics. While the filter’s goal is to capture profits, its selectiveness allows the
system to enter markets only during periods when the risk/reward of a trade is heavily in the trade’s favor. It is even
possible that if unacceptable risk characteristics exist, the filter could avoid trades with positive profit expectations.
All the parts of the investment strategy work with no discretionary parameters. Every market is analyzed including
multiple time period subsets, market-by-market as well as sector analysis and correlation, risk/reward analysis,
parameter degradation studies, slippage analysis, and drawdown analysis.
Risk and Portfolio Management
Risk and portfolio management are crucial to the success of the CIME Investment Strategy. CIME uses a set of
conservative and automated money management rules. Some of them are:
1) A careful and disciplined control of the number of contracts traded per dollar risked in a trade.
2) Every trade has a stop loss order that is inserted in the market at the same time as the entry order. The stop loss
order does not change during the life of the trade.
3) Stop loss price is computed as a dynamic function of the historical volatility of the price.
4) Capital allocation per trade is minimized.
5) Total capital invested does not exceed 20% of the total capital.
ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICAL
RESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOST
ALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOT
SUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINS
SUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOUR
PORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,
YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2
AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
2
3. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Short Description of the Investment Strategy
NAME
CIME Investment Strategy
METHODOLOGY
Systematic (100%).
TECHNIQUE
Fundamental and quantitative.
SECTORS TRADED
Grain, energy, metal, soft, currency, US interest rate, US stock index.
EXCHANGES
Chicago Mercantile Exchange (CME Group, included NYMEX, COMEX, CBOT) and New York Intercontinental
Exchange (ICE).
INSTRUMENT TRADED
Futures contract.
FUTURES CONTRACS TRADED
1) Grains: Wheat, Corn, Soybeans, Soybean Meal, Soybean Oil.
2) Energies: Light Crude Oil, Heating Oil, Unleaded Gasoline, Natural Gas.
3) Metals: Gold, Copper.
4) Softs: Sugar.
5) Currencies: British Pound, Canadian Dollar, Euro FX, Japanese Yen, Australian Dollar.
6) US interest rates: 3-Month Eurodollar, 10-Year US T-Note, 30-Year US T-Bond.
7) US equity indexes: E-mini DJIA, E-mini Nasdaq 100, E-mini S&P 500.
ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICAL
RESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOST
ALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOT
SUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINS
SUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOUR
PORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,
YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2
AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
3
4. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Performance Statistics (hypothetical)
In the tables below three versions of the CIME Investment Strategy (A, B, C) are represented. The difference among
the three versions is the level of leverage. Version A has a lower leverage than Version B. Version B has a lower
leverage than Version C.
Date Range: 01/07 – 10/12
CIME CIME CIME S&P500 GSC IASG
Version A Version B Version C Index¹ Index¹ Index¹
Total Return 129.6% 162.0% 218.7% -0.3% 52.6% 67.4%
Annualized Return 15.3% 18.0% 22.0% -0.1% 7.5% 9.2%
Std. Deviation of the Annual Return 6.0% 9.7% 10.8% 21.8% 34.6% 13.8%
Correlation with CIME Version B 1 0.33 0.45 0.16
Annualized Sharpe Ratio 1.04 1.03 1.07 0.05 0.34 0.81
Worst Month -7.0% -8.7% -10.1% -16.8% -27.8% -3.8%
Worst Month (date) Mar-08 Sep-08 Mar-08 Oct-08 Oct-08 Jul-08
Worst Drawdown -15.6% -20.2% -23.2% -56.8% -65.5% -7.2%
Worst Drawdown (start date) Nov-08 Nov-08 Nov-08 Oct-07 Jul-08 Apr-11
Worst Drawdown (end date) Feb-09 Feb-09 Feb-09 Mar-09 Feb-09 Oct-12
Worst Drawdown (duration) 4 months 4 months 4 months 17 months 8 months 18 months
Worst Drawdown (recovery date) May-09 May-09 May-09 In progress In progress In progress
Worst Drawdown (recovery duration) 3 months 3 months 3 months 44 months 45 months 0 months
Number of Trades 569 575 575
Winning Trades 55.9% 55.5% 55.5%
Average Holding Period per Trade 24 days 24 days 24 days
Average Leverage 1.96 2.40 2.83
Annual Performance (hypothetical) Date Range: 01/07 - 10/12
CIME CIME CIME S&P500 GSC IASG
Version A Version B Version C Index¹ Index¹ Index¹
YTD 2012 11.4% 14.4% 17.2% 12.3% -1.1% -1.9%
2011 19.2% 24.2% 28.7% 0.0% 2.1% -2.1%
2010 14.9% 17.5% 19.6% 12.8% 20.4% 13.8%
2009 24.7% 31.9% 38.1% 23.5% 50.3% 0.3%
2008 7.2% 2.5% 5.7% -38.5% -42.8% 32.9%
2007 12.6% 16.1% 21.1% 3.7% 46.0% 14.9%
Cumulative Performance, Base 100 (hypothetical) Date Range: 01/07 - 10/12
300
250
200 CIME-B
150 S&P 500
GSCI
100
IASG
50
0
2007 2008 2009 2010 2011 2012
¹ S&P500 Index, GSC Index and IASG Index are benchmarks used to compare CIME Investment Strategy’s performance. S&P 500 Index is the Standard &
Poor's 500 Index. GSC Index is the Goldman Sachs Commodity Index, IASG Index is the Institutional Advisory Services Group Systematic Trader Index.
ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICAL
RESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOST
ALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOT
SUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINS
SUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOUR
PORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,
YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2
AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
4
5. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Monthly Performance (hypothetical) Date Range: 01/07 - 10/12
CIME Version A
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2012 -0.1% 3.3% -1.1% 3.2% -3.3% 2.6% 2.4% -0.3% 3.2% 1.2% 11.4%
2011 3.6% 2.7% 2.0% 2.5% -0.8% -0.9% 3.4% 7.3% -5.4% 2.9% -1.3% 2.3% 19.2%
2010 -2.1% 3.5% 1.4% 1.6% -5.5% 6.6% 6.5% 0.0% -0.9% 0.4% -1.2% 4.5% 14.9%
2009 -3.1% -2.5% 7.3% 0.8% 8.7% 1.6% 6.1% 1.1% 2.3% -4.8% 4.7% 1.2% 24.7%
2008 0.0% 9.4% -7.0% 1.6% -2.2% 8.0% 1.5% 2.1% -6.7% 3.7% -6.1% 4.3% 7.2%
2007 1.2% 2.3% 0.2% 0.4% -2.2% -1.7% 4.0% 1.9% 1.8% -0.9% 3.8% 1.5% 12.6%
CIME Version B
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2012 0.0% 4.1% -1.3% 3.6% -3.4% 3.0% 2.8% -0.5% 3.9% 1.5% 14.4%
2011 4.8% 3.0% 3.0% 3.1% -1.1% -1.2% 4.2% 9.3% -7.0% 3.6% -1.6% 2.6% 24.2%
2010 -3.4% 4.3% 2.0% 1.6% -6.0% 8.0% 7.9% -0.6% -1.0% 0.5% -1.7% 5.6% 17.5%
2009 -2.8% -3.9% 9.5% 0.5% 9.8% 1.8% 8.0% 1.0% 3.3% -5.4% 5.8% 1.7% 31.9%
2008 0.1% 10.6% -7.9% 3.5% -2.2% 8.2% -1.3% 2.7% -8.7% 4.5% -8.1% 3.4% 2.5%
2007 1.4% 3.2% 0.0% 0.4% -2.4% -1.7% 4.9% 2.9% 2.0% -1.1% 3.6% 2.2% 16.1%
CIME Version C
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2012 0.3% 5.1% -1.6% 4.5% -4.7% 4.1% 3.2% -0.7% 4.5% 1.9% 17.2%
2011 5.4% 3.9% 3.7% 3.7% -1.5% -1.4% 4.8% 10.9% -8.6% 4.2% -1.6% 3.2% 28.7%
2010 -4.4% 4.7% 2.9% 2.2% -7.9% 10.0% 9.3% -0.9% -1.4% 0.6% -2.0% 6.4% 19.6%
2009 -3.7% -4.2% 11.2% 0.2% 13.0% 2.4% 8.4% 1.5% 3.9% -6.1% 6.6% 1.6% 38.1%
2008 0.9% 14.1% -10.1% 2.9% -2.6% 9.3% 0.2% 3.4% -9.4% 5.2% -9.4% 4.2% 5.7%
2007 1.5% 4.0% 0.0% 0.7% -3.0% -2.1% 6.3% 4.4% 2.8% -1.8% 4.1% 2.9% 21.1%
ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICAL
RESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOST
ALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOT
SUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINS
SUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOUR
PORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,
YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2
AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
5
6. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Monthly Returns (hypothetical) Date Range: 01/07 - 10/12
CIME Version A
16%
12%
8%
4%
0%
-4%
-8%
-12%
2007 2008 2009 2010 2011 2012
CIME Version B
16%
12%
8%
4%
0%
-4%
-8%
-12%
2007 2008 2009 2010 2011 2012
CIME Version C
16%
12%
8%
4%
0%
-4%
-8%
-12%
2007 2008 2009 2010 2011 2012
ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICAL
RESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOST
ALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOT
SUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINS
SUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOUR
PORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,
YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2
AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
6
7. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Distribution of Monthly Returns (hypothetical) Date Range: 01/07 - 10/12
CIME Version A
15
Number of Months 12
9
6
3
0
-15% -10% -5% 0% 5% 10% 15%
CIME Version B
15
Number of Months
12
9
6
3
0
-15% -10% -5% 0% 5% 10% 15%
CIME Version C
15
Number of Months
12
9
6
3
0
-15% -10% -5% 0% 5% 10% 15%
ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICAL
RESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOST
ALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOT
SUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINS
SUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOUR
PORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,
YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2
AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
7
8. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.
Underwater Curve (hypothetical) Date Range: 01/07 - 10/12
CIME Version A
0%
Drawdown -5%
-10%
-15%
-20%
-25%
2007 2008 2009 2010 2011 2012
CIME Version B
0%
-5%
Drawdown
-10%
-15%
-20%
-25%
2007 2008 2009 2010 2011 2012
CIME Version C
0%
-5%
Drawdown
-10%
-15%
-20%
-25%
2007 2008 2009 2010 2011 2012
ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICAL
RESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOST
ALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOT
SUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINS
SUBSTANTIAL RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOUR
PORTFOLIO DOES NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE,
YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON PAGE 2
AND ON PAGE 3 OF THIS DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
8
9. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
DISCLAIMER
1) IMPORTANT NOTE: EVERY CONTENT OF THIS DOCUMENT, INCLUDING FIGURES, STATISTICS, RETURNS, COMMENTS, IS
ONLY FOR ILLUSTRATIVE PURPOSES AND IT IS NOT AN OFFER OF SECURITIES OR OTHER FINANCIAL INSTRUMENTS.
2) RISK DISCLOSURE STATEMENT: THE RISK OF LOSS IN TRADING FUTURES CAN BE SUBSTANTIAL. YOU SHOULD THEREFORE
CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IN
CONSIDERING WHETHER TO TRADE OR TO AUTHORIZE SOMEONE ELSE TO TRADE FOR YOU, YOU SHOULD BE AWARE OF THE
FOLLOWING: IF YOU PURCHASE A FUTURES OPTION YOU MAY SUSTAIN A TOTAL LOSS OF THE PREMIUM PAID AND OF ALL
TRANSACTION COSTS. IF YOU PURCHASE OR SELL A FUTURES CONTRACT OR SELL A FUTURES OPTION YOU MAY SUSTAIN A
TOTAL LOSS OF THE INITIAL MARGIN FUNDS AND ANY ADDITIONAL FUNDS THAT YOU DEPOSIT WITH YOUR BROKER TO
ESTABLISH OR MAINTAIN YOUR POSITION. IF THE MARKET MOVES AGAINST YOUR POSITION, YOU MAY BE CALLED UPON BY
YOUR BROKER TO DEPOSIT A SUBSTANTIAL AMOUNT OF ADDITIONAL MARGIN FUNDS, ON SHORT NOTICE, IN ORDER TO
MAINTAIN YOUR POSITION. IF YOU DO NOT PROVIDE THE REQUESTED FUNDS WITHIN THE PRESCRIBED TIME, YOUR POSITION
MAY BE LIQUIDATED AT A LOSS, AND YOU WILL BE LIABLE FOR ANY RESULTING DEFICIT IN YOUR ACCOUNT. UNDER CERTAIN
MARKET CONDITIONS, YOU MAY FIND IT DIFFICULT OR IMPOSSIBLE TO LIQUIDATE A POSITION. THIS CAN OCCUR, FOR
EXAMPLE, WHEN THE MARKET MAKES A “LIMIT” MOVE. THE PLACEMENT OF CONTINGENT ORDERS BY YOU OR YOUR
TRADING ADVISORS, SUCH AS A “STOP-LOSS” OR “STOP-LIMIT” ORDER, WILL NOT NECESSARILY LIMIT YOUR LOSSES TO THE
INTENDED AMOUNTS, SINCE MARKET CONDITIONS MAY MAKE IT IMPOSSIBLE TO EXECUTE SUCH ORDERS. A “SPREAD”
POSITION MAY NOT BE LESS RISKY THAN A SIMPLE “LONG” OR “SHORT” POSITION. THE HIGH DEGREE OF LEVERAGE THAT IS
OFTEN OBTAINABLE IN FUTURES TRADING CAN WORK AGAINST YOU AS WELL AS FOR YOU. THE USE OF LEVERAGE CAN LEAD
TO LARGE LOSSES AS WELL AS GAINS. IN SOME CASES, MANAGED FUTURES ACCOUNT IS SUBJECT TO SUBSTANTIAL CHARGES
FOR MANAGEMENT AND ADVISORY FEES. IT MAY BE NECESSARY FOR THOSE ACCOUNTS THAT ARE SUBJECT TO THESE
CHARGES TO MAKE SUBSTANTIAL TRADING PROFITS TO AVOID DEPLETION OR EXHAUSTION OF THEIR ASSETS. THIS BRIEF
STATEMENT CANNOT DISCLOSE ALL THE RISKS AND OTHER SIGNIFICANT ASPECTS OF THE FUTURES MARKETS. YOU SHOULD
THEREFORE CAREFULLY STUDY THIS DISCLOSURE DOCUMENT AND FUTURES TRADING BEFORE YOU TRADE. BY CONTINUING
TO READ THIS DOCUMENT, YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING
ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO
EVERY PAGE OF THIS DOCUMENT.
3) ACKNOWLEDGEMENT OF RISKS: IN THIS DOCUMENT THERE ARE RESULTS OF HYPOTHETICAL TRADES ON US FUTURES
MARKETS (COMMODITY, CURRENCY, INTEREST RATE, EQUITY INDEX). ALL RESULTS DISPLAYED ON THESE PAGES MUST BE
REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICAL RESULTS.
HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING
ACCOUNT, ALMOST ALWAYS FOR THE WORSE. MOREOVER, PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. THE
HYPOTHETICAL TRADES INDICATE IN THIS DOCUMENT ARE ALSO WORKED OUT UNDER THE ASSUMPTION THAT EVERY ENTRY
AND EXIT PRICE REGARDS A NUMBER OF FUTURES CONTRACTS; THIS IS NOT A TRADING RECOMMENDATION OR A MONEY-
MANAGEMENT TECHNIQUE BUT IT IS ONLY A METHODOLOGICAL ASSUMPTION FOLLOWED IN OUR RESEARCH. THIS
DOCUMENT RENDERS GENERAL FINANCIAL ANALYSIS, AND WE ARE NOT A REGISTERED INVESTMENT ADVISOR, CERTIFIED
FINANCIAL PLANNER, OR LICENSED TO TRADE IN SECURITIES OF ANY KIND. THE INFORMATION PROVIDED HEREIN IS GENERAL
AND IMPERSONAL IN NATURE, AND IT IS NOT TAILORED TO ANY SPECIFIC PORTFOLIO OR ANY PARTICULAR NEEDS OF NO ONE.
THE ANALYSIS IS FOR GENERAL INFORMATION PURPOSES ONLY AND DOES NOT CONSTITUTE AN OFFER OR INVITATION TO
BUY OR SELL SECURITIES OR OTHER FINANCIAL INSTRUMENTS. WE DO NOT MANAGE ANY BANK AND/OR TRADING ACCOUNT
FOR A CLIENT AND/OR IN OUR OWN. WE WARN YOU ABOUT THE RISKS OF TRADING FUTURES (AND OPTIONS, SPREADS AND
OTHER DERIVATIVES) BECAUSE WITH REAL-LIFE FUTURES INVESTMENTS YOU MAY LOSE MORE THAN YOUR INITIAL
INVESTMENT. WE ENCOURAGE EVERYONE TO EMPLOY APPROPRIATE MONEY-MANAGEMENT TECHNIQUES AT ALL TIMES.
REMEMBER THERE IS A SUBSTANTIAL RISK OF LOSS IN TRADING. PAST PERFORMANCE ARE NOT INDICATIVE OF FUTURE
ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICAL
RESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOST
ALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOT
SUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINS
RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOUR PORTFOLIO DOES
NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE, YOU
ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON THIS
DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
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10. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS
RESULTS. DO NOT TRADE WITH MONEY YOU CANNOT AFFORD TO LOSE. BY CONTINUING TO READ THIS DOCUMENT, YOU
ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE
“DISCLAIMER” AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
4) IMPORTANT WARNING ABOUT HYPOTHETICAL RESULTS: IN THIS DOCUMENT, YOU ARE GOING TO READ ABOUT
ENTRY/EXIT PRICE AND THEIR PERFORMANCE. THESE RESULTS ARE BASED ON SIMULATED/HYPOTHETICAL PERFORMANCE
RESULTS THAT HAVE CERTAIN INHERENT LIMITATIONS. UNLIKE THE RESULTS SHOWN IN AN ACTUAL PERFORMANCE RECORD,
THESE RESULTS DO NOT REPRESENT ACTUAL TRADING. ALSO, BECAUSE THESE TRADES HAVE NOT ACTUALLY BEEN EXECUTED,
THESE RESULTS MAY HAVE UNDER OR OVER-COMPENSATED FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH
AS LACK OF LIQUIDITY. SIMULATED OR HYPOTHETICAL TRADES IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE
DESIGNED WITH THE BENEFIT OF HINDSIGHT. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO
ACHIEVE PROFITS OR LOSSES SIMILAR TO THESE BEING SHOWN. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE
FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK
IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING
STRATEGY IN SPITE OF TRADING LOSSES IS A MATERIAL POINT WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING
RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF
ANY SPECIFIC TRADING STRATEGY, WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL
PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. BY CONTINUING TO READ
THIS DOCUMENT, YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO
EVERY PARAGRAPH OF THE “DISCLAIMER” AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY
PAGE OF THIS DOCUMENT.
5) ACCURACY: WE DO NOT WARRANT THE ACCURACY, COMPLETENESS, QUALITY, ADEQUACY, OR CONTENT OF ANY
INFORMATION ON THIS DOCUMENT. SUCH INFORMATION IS PROVIDED “AS IS” WITHOUT WARRANTY OR CONDITION OF ANY
KIND, EITHER EXPRESS OR IMPLIED, INCLUDING WITHOUT LIMITATION, THE IMPLIED WARRANTIES OF MERCHANTABILITY,
FITNESS FOR A PARTICULAR PURPOSE, OR NON-INFRINGEMENT. THIS DOCUMENT COULD INCLUDE INACCURACIES AND/OR
TYPOGRAPHICAL ERRORS. BY CONTINUING TO READ THIS DOCUMENT, YOU ACKNOWLEDGE THAT: 1) YOU HAVE READ AND
UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” AND 2) YOU ACCEPT THAT THE
WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
CONFIDENTIALITY NOTICE
THIS DOCUMENT CONTAINS STRICTLY CONFIDENTIAL INFORMATION INTENDED ONLY FOR THE ADDRESSEE(S) WHO MAY
SOLELY USE, COPY AND, UNDER HER/HIS/THEIR RESPONSIBILITY, FURTHER DISSEMINATE IT. IF ANYONE RECEIVES THIS
DOCUMENT BY MISTAKE OR READS IT WITHOUT ENTITLEMENT, YOU ARE FOREWARNED THAT KEEPING, COPYING,
DISSEMINATING OR DISTRIBUTING THIS INFORMATION TO PERSONS OTHER THAN THE ADDRESSEE(S) IS STRICTLY FORBIDDEN.
IF YOU HAVE RECEIVED THIS INFORMATION BY MISTAKE, PLEASE DELETE THE ELECTRONIC/PAPER TRANSMISSION, INCLUDING
ALL ATTACHMENTS FROM YOUR SYSTEM. THE INFORMATION CONTAINED IN THIS DOCUMENT MAY NOT BE REPRODUCED,
COPIED, PUBLISHED, SOLD, TRANSFERRED OR DITRIBUTED. BY CONTINUING TO READ THIS DOCUMENT, YOU ACKNOWLEDGE
THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER”
AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
ALL RESULTS DISPLAYED ON THESE PAGES MUST BE REGARDED AS HYPOTHETICAL AND WE WARM YOU ABOUT THE RISKS OF RELYING ON HYPOTHETICAL
RESULTS. HYPOTHETICAL RESULTS CAN BE VASTLY DIFFERENT THAN THE REAL-LIFE RESULTS YOU CAN ACHIEVE IN YOUR TRADING ACCOUNT, ALMOST
ALWAYS FOR THE WORSE. MOREOVER, PAST RESULTS ARE NOT INDICATIVE OF FUTURE RESULTS. FUTURES TRADING INVOLVES SUBSTANTIAL RISK, IS NOT
SUITABLE FOR EVERY TRADER, AND ONLY RISK CAPITAL SHOULD BE USED. ANY FORM OF TRADING, INCLUDING OPTIONS, HEDGING AND SPREADS CONTAINS
RISK. MARGINS ARE SUBJECT TO CHANGE WITHOUT NOTICE. ADDITIONALLY, PLEASE BE ADVISED THAT ADDING MANAGED FUTURES TO YOUR PORTFOLIO DOES
NOT GUARANTEE THAT YOU WILL BE PROFITABLE. MOREOVER YOU MAY HAVE SUBSTANTIAL LOSSES. BY CONTINUING TO READ THIS PAGE, YOU
ACKNOWLEDGE THAT: 1) YOU HAVE READ AND UNDERSTOOD EVERY PART OF IT, INCLUDING ALSO EVERY PARAGRAPH OF THE “DISCLAIMER” ON THIS
DOCUMENT AND 2) YOU ACCEPT THAT THE WARNING HERE NEVERTHELESS APPLIES TO EVERY PAGE OF THIS DOCUMENT.
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