UVER Performance

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Univariate Entry/Re-Entry System (U.V.E.R.). Based on a model for analyzing equity markets which accounts for price, market breadth, volume and volatility, as well as treasury spreads and interest rates, Roe Capital’s UVER System distills these data points into a direction signal to which discretionary overlay is applied in order to take a medium term trend following position in equity index futures. The system typically takes positions in E-mini NASDQ futures, but can take positions in E-mini S&P and VIX futures contracts.

Monthly Composite Compound Rates of Reutrn

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year DD
0.23% 0.51% 2.38% -1.05% 5.44% 1.71% 1.49% 0.85% -6.32% -2.63% 2.18% -8.78%
5.33% -34.05% -13.13% 7.05% 1.41% 2.99% -32.53% -42.71%

VAMI above is based on daily composite compound rates of return for for the UVER System. The S&P 500 (S&P 500) is presented with gross compound daily rates of return for benchmarking purposes.  SocGen’s CTA Index (SGCTA) is presented net of all fees using daily compound returns.  The iShares Aggregate US Bond ETF (US Bonds) is presented net of all fees and inclusive of all distributions to benchmark performance against a diversified portfolio of bonds. Please consider that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. There can be limitations and biases to indices such as survivorship, self reporting, instant history, etc. Please see accounting notes below.

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STRATEGY

Using a proprietary method of quantitative analysis, the model produces a directional signal to which a discretionary overlay is applied in order to take a medium term trend following position in equity index futures. The goal of the discretionary overlay is to maximize return while minimizing exposure, seeking exposures to equity prices on 50% of trading days with a beta of 50%. Positions may be taken in the E-mini Nasdaq, E-mini S&P 500 or the VIX futures and may be held only intraday, but typically for 2 to 3 weeks. Options on futures in these markets may be traded on occasion with the goal of mitigating risk or enhancing return. US Treasury bills may be purchased with unencumbered cash in order to generate interest income. Positions are sized according to the strength of the signal and adjusted for market volatility.

PERFORMANCE ANALYSIS

For the purposes of comparing UVER against benchmarks, monthly compound rates of return are used in the analysis below for standardization. Summary statistics like CAGR and any annualized data should be discounted given the short length of the track record.

CTA S&P 500 NDX DJIA FESX HS SGCTA AGG
VAMI $689 $1,150 $1,321 $1,166 $1,023 $1,220 $966 $1,010
Cumulative ROR -31.06% 15.01% 32.09% 16.62% 2.29% 21.96% -3.36% 0.99%
CAGR -24.34% 11.06% 23.21% 12.22% 1.71% 16.06% -2.53% 0.74%
Max Drawdown -44.96% -6.48% -5.31% -7.83% -8.50% -11.96% -8.75% -2.28%
Date of Max DD 03-2018 03-2018 03-2018 03-2018 03-2018 06-2018 05-2018 12-1899
Current DD -38.46% -3.73% 0.00% -7.18% -7.58% -11.96% -8.26% -1.71%
% Losing Months 31.25% 18.75% 25.00% 25.00% 56.25% 31.25% 43.75% 50.00%
Worst Month -34.05% -3.89% -3.99% -4.28% -4.72% -6.21% -6.34% -1.15%
Max Run Up 12.02% 19.47% 32.09% 25.64% 10.67% 38.53% 5.34% 2.74%
% Winning Months 68.75% 81.25% 75.00% 75.00% 43.75% 68.75% 56.25% 50.00%
Best Month 7.05% 5.62% 8.65% 5.79% 5.46% 9.92% 4.35% 0.90%
Average Gain 2.67% 1.62% 3.06% 2.10% 3.26% 3.40% 1.42% 0.59%
Average Loss -11.44% -2.21% -1.99% -2.32% -2.20% -3.24% -2.24% -0.47%
Average Month -1.74% 0.90% 1.80% 1.00% 0.19% 1.32% -0.18% 0.06%
Monthly Standard Deviation 9.87% 2.15% 3.14% 8188.71% 3.28% 4.00% 2.62% 0.65%
Sharpe Ratio -0.61 1.45 1.99 0.00 0.20 1.15 -0.24 0.34
Sortino Ratio -0.25 0.74 1.44 0.67 0.07 0.59 -0.11 0.14
Ulcer Index 3.44 0.36 0.23 0.48 0.87 0.59 0.86 0.22
UPI Index -1.75 8.73 26.55 7.16 0.76 7.75 -0.73 0.98
Mar Ratio -0.54 1.71 4.37 1.56 0.20 1.34 -0.29 0.32
Downside Deviation 9.29% 1.18% 1.22% 1.43% 1.98% 2.13% 2.00% 0.44%
Kurtosis 8.0366 1.8949 0.4746 0.4547 -1.0369 0.6444 1.1755 -0.8503
Skew -2.6603 -0.3021 0.2376 -0.3584 0.3353 0.0163 -0.4805 -0.4673
Correlation ----- 0.71 0.51 0.63 0.57 0.60 0.62 0.21
R^2 ----- 0.51 0.26 0.40 0.33 0.36 0.38 0.04
Beta ----- 3.26 1.61 2.37 1.73 1.48 2.32 2.32
Alpha ----- -4.53% -4.63% -4.02% -2.02% -3.67% -1.22% -1.78%
Annualized Alpha ----- -42.68% -43.40% -38.87% -21.68% -36.13% -13.73% -19.42%

ACCOUNTING NOTE
From inception through January 2018, the monthly rate of return was computed by using the “Compound ROR” method on client accounts. As the result of extreme volatility in equity markets in February 2018 and a resulting drawdown, all non-proprietary accounts closed throughout February 2018. Beginning in February 2018 through the latest month, the monthly rate of return is presented using the Only Accounts Traded method with proprietary pro forma results in order to present the most representative rate of return not distorted by large client withdrawals intramonth. The proprietary account belongs to the Trading Principal of this program, has traded since inception with the same methodology, leverage and execution as client accounts. It is presented with a 2% management fee, a 22% incentive fee and a $10.40 commission per round turn using a $50,000 beginning nominal account size. The monthly rates are then compounded to arrive at the annual rate of return.

RISK DISCLOSURE

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. There is always a risk of loss in futures trading. Actual returns may differ from reported results due to differences in contribution dates, commission and fee structures. The above benchmarks (SG CTA Index and S&P 500) are for illustrative purposes only, are un-managed, reflect reinvestment income and dividends and do not reflect the impact of advisory fees. Be advised that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. Further, there can be limitations and biases to indices such as survivorship, self reporting and instant history. Roe Capital Management makes no warranty, representation or guarantee with regard to the accuracy of index data. THIS COMMUNICATION IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO INVEST IN ANY MANAGED FUTURES PRODUCT. ANY SUCH OFFER OR SOLICITATION CAN BE MADE ONLY BY MEANS OF A DISCLOSURE DOCUMENT AND ADVISOR AGREEMENT (WHICH CONTAIN A DETAILED DESCRIPTION OF RISK FACTORS).

THE RISK OF LOSS IN TRADING COMMODITY FUTURES CAN BE SUBSTANTIAL AND MAY NOT BE SUITABLE FOR ALL INVESTORS. Prior to investing with Roe Capital Management, investors need to carefully consider whether such trading is suitable for them in light of their own specific financial condition. Transactions in securities futures, commodity and index futures and options on futures carry a high degree of risk.  Please review Roe Capital’s Disclosure Document for a more detailed description of the risks associated with investing in managed futures, as well as a complete disclosure of Roe Capital’s composite trading results.