This document provides performance statistics and portfolio attributes for the multi-day mean reversion strategy run by BD-AlgoTrade from 2011-2016. The strategy trades long and short positions in US large and mid cap equities with holding periods ranging from a few hours to a maximum of 2 days for short positions. Key metrics include annual returns ranging from 4.9% to 12.1%, a 60% winning trade rate, and risk management resulting in a favorable risk/reward ratio. The portfolio managers have over 10 and 20 years of relevant experience, respectively.

1. BD – AlgoTrade
Multi-day MR Strategy
January 2016
BD-AlgoTrade, Boris Dinaburg
dinaburgb@gmail.com
+972-544326872
Performance (gross of performance fees)
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2016 -1.0% -1.0%
2015 2.2% 1.4% 0.8% -0.9% -0.8% 0.50% 1.3% 1.6% -0.75% -0.5% -0.4% 0.5% 4.9%
2014 3.0% 1.7% 2.0% 2.7% 3.3% -1.3% -3.2% -0.3% -0.3% 2.3% -1.1% 0.2% 9.1%
2013 0.3% 2.1% 0.5% 0.0% -3.2% 3.4% -5.9% 10.1% 2.7% -0.8% 3.3% -0.4% 12.1%
2012 0.7% 2.6% 0.2% 1.1% -0.5% -2.7% 0.8% 0.4% 3.4% 1.0% 3.8% 1.0% 11.6%
2011 4.8% 11.1% 0.2% 0.9% 17.0%
Strategy trades L/S US equity mid large caps. Trade duration is from couple of hours to 2 days max (only the short
positions may be kept overnight and they do not exceed 20% of the buying power). The trading algorithm is based
on quantitative data and all orders are executed via our auto-execution software. The main principle behind the
strategy is Mean Reversion - this principle declares that a specific significant deviation of the price from the
average is temporary and the instrument’s price, over time, will revert towards the average price. These reversal
situations that our algorithm detects generate a 60% winning trade and 1.5 profit factor, which together with tight
risk management create a favorable risk / reward ratio.
Performance Statistics & Portfolio Attributes
Management
Portfolio Manager – Boris Dinaburg has over 10 years’ experience in investing in global as well as trading and
statistics. Previously, Boris held executive management and investment roles for Kardan N.V. and Plaza Group as
head of Russian regional office. Since 2011 Boris has been managing the intra-day strategy as well as longer term
version of the portfolio. Boris holds a BA in Economics from Haifa University.
Ed Gonen –Has over 20 years of experience in Software Engineering and Software Development. Has more than 8
years of trading experience and 5 years in algorithmic trading. ED holds M.Sc. Degree in Nuclear Physics.
Investment Details
Structure Separately Managed Accounts Performance fee 25% paid quarterly
Prime Broker Interactive Brokers Management fee 1%
High-Water Mark Yes Redemptions Daily
*Disclaimer: Past performance is not a guarantee for future performance. Any investment should be decided upon
with great care and professional guidance with one’s entire financial situation taken into consideration. This is for
information purposes only and is not a solicitation to invest in BD-AlgoTrade.
Sharpe Ratio 1.5 Asset Classes US equity, L/S mid-large caps
Sortino Ratio 1.6 Portfolio Gross Exposure Up to 50% notional exposure
Calmar Ratio 2 Position Concentration up to 4% per equity; ETF hedges 25%
Profitable months 80% Max Holding Period Longs - intraday only, Short 2 day max
Worst Drawdown -5.9% Strategy Type Short term mean reversion