Uncorrelated Alpha through Global Macro Trends

The XT99 Edge –g
Uncorrelated Alpha
through Global Macro-Trends
© 2012 Pardo Capital Limited. All rights reserved.
g

The Opportunity
The XT99 Diversified Managed Futures Programf g g
 Exceptional Performance +21.01 ARR
 Outstanding Pedigreeg g
 Original produced a profitable and distinguished twelve-plus
year track record
A 100% systematic, automated trading method
 A source of uncorrelated Alpha for the traditional portfolio
 A hedge for financial or political crisis
 Direct access to global macro-trendsg
Page 1
THE RISK OF LOSS IN FUTURES TRADING IS SUBSTANTIAL AND IS NOT SUITABLE FOR EVERYONE.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

XT99 Diversified | Performance
Page 2

XT99 Diversified | Essential Statistics
Essential Statistics
R A l i
 Fully automated trading algorithm
Return Analysis
Compound Annual Return 21.01%
Annualized Standard Deviation 13.37%
Cumulative Return 984.65%y g g
 Trades a portfolio diversified by
market, model and pace
Risk Analysis
Largest Drawdown 13.29%
Average Margin to Equity Ratio 8.78%
 Selected by proprietary algorithm
from every major market sector
Sharpe Ratio 1.28
Sortino Ratio 2.82
Calmar Ratio 1.58
Correlation Analysis
 Minimum Investment $1,000,000
Co e at o a ys s
S&P 500 -0.252
Treasury Bonds 0.320
GSCI .0.12
Barclay CTA Index 0.335
Barclay Hedge Fund Index -0.176
Page 3

XT99 Diversified | Crisis Alpha
The following comparisons clearly illustrate the exceptional performance ofThe following comparisons clearly illustrate the exceptional performance of
XT99 during periods of political and economic crisis.
S&P XT99
9/11 Tragedy -8.07% +47.78%
Sub-Prime Crisis -13.81% +28.44
Lehman Collapses -46.40% +33.87%
Flash Crash -12.79% +15.21
Moody’s Downgrade -7.35% +18.39y g
Page 4

XT99 Diversified | Compared to Leading CTAs
Page 5

Robert Pardo | An Accomplished Leader
Accomplished Trader & CTA
 Trader of the Year – Futures 2008
 Creator of Walk-Forward Analysis
T h i l A l i & S f ITechnical Analysis & Software Innovator
 Published comprehensive technical analysis
application Advanced Chartist in 1985 andpp
Advanced Trader in 1986.
 Published the first application – Swing Trader
– to create test and monitor trading models– to create, test and monitor trading models
Consultant to Global Firms
 Goldman Sachs
 Daiwa Securities America
Page 6

Robert Pardo | Highly Regarded Author
“Many consider the first edition of his book a classic.”
Bill D
Design, Testing and Optimization of Trading Systems,
J. Wiley 1991
Bill Dunn
The Evaluation and Optimization of Trading Strategies,
J. Wiley 2007
“Ask serious system developers for their recommended reading
list and Pardo’s book is likely among the first mentioned.”
Art Collins
Page 7

Pardo Capital Limited | Team
Robert Pardo
Chief Executive Officer, Founder & President
Dr. Inanc Tarhan
Chief Technologist
Page 8

XT99 Diversified | Performance
Page 9

XT99 Diversified | Risk and Reward Over Time
G R d Ri k i h L H ldi P i dGreater Reward to Risk with Longer Holding Period
Time (Months) Best Worst Ratio Average
1 14.93% -6.99% 213.59% 1.69%
3 30.17% -8.43% 357.88% 5.29%
6 39.77% -7.80% 509.87% 11.16%
9 52.06% -3.58% 1454.19% 17.14%
12 56.90% 2.44% 2331.20% 23.57%
18 91.61% 11.42% 802.19% 37.37%
24 109.59% 18.45% 593.98% 52.00%
Page 10

XT99 Diversified | Return Comparison
XT99 vs. CTA Index & S&P
XT99 CTAs S&P 500
10 year 22.17% 4.75% 6.32%
5 year 26.47% 5.16% 1.13%
3 year 17.44% 2.41% 14.11%y
1 year 7.58% -.13% 9.12%
YTD 2.13% .14% 4.48%
Inception 984 65% 85 45% 24 75%Inception 984.65% 85.45% 24.75%
Page 11

XT99 Diversified | Correlations to Other Investments
Page 12

XT99 Diversified | Portfolio Allocations
Page 13

Advantages of Futures
 Diversified global markets provide direct access to macroeconomic trends
 Access bull or bear markets with equal cost and effectiveness
 Traded on organized, regulated, transparent, liquid, technologically efficient and
centralized futures exchanges
 Positions guaranteed by exchanges and clearing firms Positions guaranteed by exchanges and clearing firms
 Margins controlled by the exchanges
 Instant price discovery and exchange-reported price valuationsp y g p p
 No liquidity problems during the recent financial
crisis due to self-leverage
Page 14

Advantages of Managed Futures
 Addi i l f Al h i h p i t f t Additional source of Alpha with superior rates of return
 Portfolio diversification and risk reduction due to low correlation with
stocks and bonds
 Wide variety of trading styles such as short-term, discretionary,
systematic, high frequency, trend following, option arbitrage and
non directionalnon-directional
 Comprehensive risk management
 Liquidity and transparency with short-term redemptions from 24 hours Liquidity and transparency with short term redemptions from 24 hours
to monthly with no gates
 Interest can be earned on excess funds
Page 15

Advantages of Managed Futures | Superior Returns
Managed Futures have outperformed stock and bonds over the last 20 years
1) Managed Futures: CASAM CISDM CTA Equal Weighted; 2) U.S. Stocks:
S&P 500 Total Return; 3) Global Stocks: MSCI World; Source: Barclay
Page 16

Advantages of Managed Futures | Diversification
Uncorrelated to Stocks and Bonds
Managed Futures Bonds U.S. Stocks
Managed Futures 1.00 0.30 -0.23
Bonds 0.30 1.00 -0.29
U.S. Stocks -0.23 -0.29 1.00
* Based on a 10-year period ending December 31, 2007
1) Managed futures: Barclay CTA Index;
2) Bonds: Lehman Brothers Long-Term U.S. Treasury Index;
3) U.S. stocks: S&P 500 Total Return Index;
Source: BarclayHedge, Ltd.
Page 17

Advantages of Managed Futures | Growth
A Growing Asset Class and Industry
ManagedManaged
futures
grew
700%
b tbetween
1998 and
2009
$206
BillionBillion
Total AUM
in
Managed
Source: BarclayHedge, Ltd.
g
Futures
Page 18

Hypothetical Performance Disclaimer
The new version of XT99 Diversified is based upon the same time-proven and established trading algorithm
which produced the original XT99 Diversified's storied 12+ year track record and 19.75% ARR . However, itwhich produced the original XT99 Diversified s storied 12 year track record and 19.75% ARR . However, it
benefits from a number of new algorithms produced by years of research and development. These
enhancements include model calibration, risk management and portfolio weighting and construction
algorithms. However, although the XT99 trading algorithm has been successfully traded for over 12 years,
the new version has never traded in real-time in these exact forms. We therefore are required by the NFA to
categorize the performance of these new products as hypothetical and to provide the following disclaimer.
HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED
BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR
LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN
HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANYHYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY
PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT
THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. 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 PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTSOR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS
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 PROGRAM
WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS
AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.
Page 19

For More Information
For More Information
Bob Pardo
President
bob.pardo@pardocapital.com
847-657-7887
P d C pit l Li it dPardo Capital Limited
1828-D Wildberry Drive
Glenview, IL 60025
pardocapital.compardocapital.com
Page 20

XT99 (Original) | A Distinguished Heritage
 The following appendices present information about the original
version of XT99 Diversified its twelve plus year real-time track recordversion of XT99 Diversified, its twelve plus year real time track record,
ARR of 19.75%, peak AUM of $40 million and its many other
distinctions.
 The re-engineered version of XT99 Diversified preserves the same,
time-proven trading algorithm of the original without change.
 The improvements to the latest version of XT99 Diversified
focus on the enhancement of risk management, portfolio design
and improved adaptivity.and imp oved adaptivity.
 Consequently, we have every reason to believe that it will perform
with the same robustness as the original version.g
Page A1

XT99 (Original) | Outstanding Performance
Top Ranking Strategy & Performance
 Twelve-plus year track record (June 1999 Inception)
 +26.39% Peak 10-year ARR as of 05-2009
 5 A f 0 +19.75 ARR as of 12-2011
 XT99 “made” Top 5 and 20 performance category lists in
BarclayHedge and Futures Magazine on 30 occasions over its history
 Trades 45 futures global markets across 7 different sectors
“Consistency of a track record makes a Market Wizard. It’s wheny f
you can say...in the world of trading, ‘10 years’ and ‘20 percent’
are ‘magic numbers’.”
Michael Covel, author of Trend Followers and founder of
Turtletrader.com
Page A2

XT99 (Original) | 10th Anniversary Rankings
 Compared to the Top 30 Managed
F Fi R k d b AUMFutures Firms Ranked by AUM,
XT99’s Peak CARR of 26.39 ranked
2nd
 XT99’s Peak CARR over 10 years
ranked 4th (out of 30) among the
top CTA’s with comparable tracktop CTAs with comparable track
records
 XT99’s Peak CARR over 10 years
k d 11 h ( f 31) hranked 11th (out of 31) among the
top Hedge Funds with comparable
track records
Page A3

XT99 (Original) | Peak ARR vs. AUM “Top 30”
XT99’s Peak 10XT99 s Peak 10
Year ARR of
+26.4%
ranked 2nd
and was in the
93th percentile93th percentile
of this elite group
of Top CTAs.p
Source: BarclayHedge
[www.BarclayHedge.com]
Page A4

XT99 (Original) | Peak ARR vs. Top CTAs
Average AUM by Top Only 22% of
3 is $1.17 billion 873 reporting
CTAs had a
10+ year
track record
Peak ARR in the
97.9th
til f
track record
percentile of
all reporting
CTAs with
comparable
track records
** Total Programs with Ten Year Track Record: 188
* Total CTA Programs Reporting: 873
Page A5

XT99 (Original) | Peak ARR vs. Top Hedge Funds
Peak ARR in thePeak ARR in the
98.5th percentile
of all reporting
Hedge Funds with
comparable track
Only 15%
of 4699
reporting
comparable track
records
reporting
HF had a
10+ year
track record
** Total Number of Hedge Funds with 10 year Track Record: 719
* Total Number of Hedge Funds in Database CTA Programs reporting: 4699
Page A6

XT99 (Original) | ARR vs. AUM “Top 30”
XT99’s currentXT99 s current
ARR of +21.07%
since inceptionp
Ranks 3rd
and is in the
90th percentile of90th percentile of
this elite group of
Top CTAs.p
[www.BarclayHedge.com]
** Total Firms evaluated for this ranking: 154
Page A7

XT99 (Original) | ARR vs. Top CTAs
Only 19.3%
of 1072 reporting
CTAs had a 10+
year track record
August 2011
10-year ARR in the
92.7th percentile
of all reporting
As of 08-2011
of all reporting
CTAs with
comparable track
records
Total Programs with
Ten Year Track Record:
1072
Total CTA Programs
Reporting: 207
Only CTAs that submitOnly CTAs that submit
their performance (net
of all fees) to
BarclayHedge are
included in this
ranking. Barclay Hedge
does not audit or verify
any of the dataany of the data
provided to them by
the Managers.
Source: BarclayHedge (www.BarclayHedge.com).
Page A8

XT99 (Original) | ARR vs. Top Hedge Funds
Only 17.7% of 3435
reporting HF had a 10+reporting HF had a 10+
year track record
August 2011
10-year ARR in the
93 4th til AUMAs AsAasAs of 08-2011
* Excludes Fund of Funds.
Total Number of Hedge Funds with 10 year
Track Record: 609
Total Number of Hedge Funds in Database
93.4th percentile
of all reporting
Hedge Funds with
comparable track g
CTA Programs reporting: 3435
Only Hedge Funds and CTAs that submit
their performance (net of all fees) to
BarclayHedge are included in this ranking.
BarclayHedge does not audit or verify any
of the data provided to them by the
p
records
Managers.
(www.BarclayHedge.com).
Page A9

XT99 (Original) | Rankings
Rankings
Return Ranking Date Organization
38.48% #11 Top 20 CTA 2011 YTD Barclay Managed Fds Rep, 3rd
Q. 2011
37 48% #14 Top 20 CTA 3 yr comp’d Barclay Managed Fds Rep, 3rd
Q. 200937.48% #14 Top 20 CTA 3 yr comp d Barclay Managed Fds Rep, 3 Q. 2009
33.74% #18 Top 20 CTA 3 yr comp’d Barclay Managed Fds Rep, 2nd
Q. 2009
142.02% #2 Top 20 CTA 2008 YTD Barclay Managed Fds Rep, 1st
Q. 2009
49 83% #13 T 20 CTA 3 ’d B l M d Fd R 1st
Q 200949.83% #13 Top 20 CTA 3 yr comp’d Barclay Managed Fds Rep, 1st
Q. 2009
24.65% #18 Top 20 CTA 5 yr comp’d Barclay Managed Fds Rep, 1st
Q. 2009
19.08% #3 Nov’s Top CTA 2008 Futures, February 2009
14.2% #3 May’s Top CTA May 2008 Futures, August 2008
63.73% #2 Top 20 CTA 2007 Futures, March 2008
63.73% #11 Top 20 CTA 2007 Barclay Managed Fds Rep, 1st
Q. 2008
Page A10

XT99 (Original) | Rankings (cont’d)
Rankings (continued)
16.74% #4 Top CTA July 2007 Futures, October 2007
76 29% #4 Top 20 CTA 2007 YTD Barclay Managed Fds Rep 4th
Q 200776.29% #4 Top 20 CTA 2007 YTD Barclay Managed Fds Rep, 4 Q. 2007
28.06% #6 Top 20 CTA 5 yr comp’d Barclay Managed Fds Rep, 4th
Q. 2005
34.02% #3 Top 20 CTA 5 yr comp’d Barclay Managed Fds Rep, 3rd
Q. 2005
26 92% #12 T 20 CTA 5 ’d B l M d Fd R 2nd
Q 200526.92% #12 Top 20 CTA 5 yr comp’d Barclay Managed Fds Rep, 2nd
Q. 2005
Q. 2005
Q. 2005
Q. 2004
Q. 2004
Page A11

Q. 2004
32 95% #12 Top 20 CTA 3 yr comp’d Barclay Managed Fds Rep 2nd
Q 200432.95% #12 Top 20 CTA 3 yr comp d Barclay Managed Fds Rep, 2 Q. 2004
Q. 2004
Q. 2003
52 94% #7 T 20 CTA 2003 YTD B l M d Fd R 4th
Q 200352.94% #7 Top 20 CTA 2003 YTD Barclay Managed Fds Rep, 4th
Q. 2003
20.35% #1 July’s Top 20 CTA July 2003 Futures, October 2003
Q. 2003
21.57% #1 Feb’s Top 20CTA February 2003 Futures, May 2003
38.54% #6 Top 20 CTA 3 yr comp’d Barclay Managed Fds Rep, 2nd
Q. 2003
Page A12

69.98% #2 2002 Top 20 CTA 2002 Futures, March 2003
40 01% #4 Top 20 CTA 3 yr comp’d Barclay Managed Fds Rep 4th
Q 200240.01% #4 Top 20 CTA 3 yr comp d Barclay Managed Fds Rep, 4 Q. 2002
81.73% #3 Top 20 CTA 2002 YTD Barclay Managed Fds Rep, 4th
Q. 2002
Q. 2002
37 77% #7 T 20 CTA 2002 YTD B l M d Fd R 3rd
Q 200237.77% #7 Top 20 CTA 2002 YTD Barclay Managed Fds Rep, 3rd
Q. 2002
31.9% #3 March’s Top 20 CTA March 2002 Futures, June 2002
111.23% #1 2001 Top 20 CTA 2001 Futures 2002 Sourcebook
33.01% #3 Nov’s Top 20CTA November 2000 Futures, February 2001
20.95% #5 August’s Top CTA August 2000 Futures, November 2000
Page A13

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