CTA

2012.6


CTA
CTA

CTA

CTA
1Barclay CTA1991
19982008

2CTA

Barclay CTA

CTA
CTA
1CTA
CTA
2

3CTA

CTA

CTA
3002010-4-16~2012-4-20

IF1005
IF1006
IF1007
IF1008
IF1009
IF1010
IF1011
IF1012
IF1101
IF1102
IF1103
IF1104
IF1105
IF1106
IF1107
IF1108
IF1109
IF1110
IF1111
IF1112
IF1201
IF1202
IF1203
IF1204

8
5.22%
2
1.30%
4
1.80%
5
1.37%
2
1.04%
4
1.19%
2
2.94%
4
2.64%
2
1.12%
1
0.11%
2
0.38%
0
0
1
0.65%
0
0
1
0.19%
1
0.25%
0
0
0
0
0
0
1
0.98%
2
1.10%
1
0.10%
1
0.12%
1
0.31%

0.65%
0.65%
0.45%
0.27%
0.52%
0.30%
1.47%
0.66%
0.56%
0.11%
0.19%
0
0.65%
0
0.19%
0.25%
0
0
0
0.98%
0.55%
0.10%
0.12%
0.31%

CTA

2011-6-27

0.9921

-0.79%

2012-6-15

2011-10-31

1.15%
2012-6-26
1.0115

2011-7-18

1.0382

3.82%

2012-5-30

2011-3-30

1.0492

4.92%

2012-6-15

2011-3-30

1.0494

4.94%

2012-6-15

2011-3-30

1.0494

4.94%

2012-6-15

2011-1-21

1.0151

1.51%

2012-2-7

2011-4-15

1.032

3.20%

2012-5-30

2011-3-14

1.03

3.00%

2012-6-15

2011-4-21

1.0909

9.09%

2012-6-21

2011-4-15

103.28

3.28%

2012-6-15

CTA
1.1
1.08

A
B
C

1.06
1.04

D
E
F
G
H
I
J
K

1.02
1
0.98
0.96
0.94
0.92

2012528

2012428

2012328

2012228

2012128

20111228

20111128

20111028

2011928

2011828

2011728

2011628

2011528

2011428

2011328

2011228

2011128

0.9


CTA
CTA

CTA

(CTA)

Commodity Trading AdvisorsCTA

Managed Futures

(CTA)

10
2011-10-31

2011-2-28

2010-6-30

2009-10-31

2009-2-28

2008-6-30

2007-10-31

2007-2-28

2006-6-30

2005-10-31

2005-2-28

2004-6-30

2003-10-31

2003-2-28

2002-6-30

2001-10-31

2001-2-28

2000-6-30

1999-10-31

1999-2-28

1998-6-30

1997-10-31

1997-2-28

1996-6-30

1995-10-31

1995-2-28

1994-6-30

1993-10-31

1993-2-28

1992-6-30

--CTA
CTA

35
4.5

30
4

3.5

25
3

20
Bayclay CTA

2.5
Bayclay

15
2

1.5

10
1

5
0.5

0
0

S&P 500

--CTA
CTA
Managed Futures Industry AUM
$350.00
$300.00
$250.00
$200.00
$150.00
$100.00
$50.00
$-

19
80
19
82
19
84
19
86
19
88
19
90
19
92
19
94
19
96
19
98
20
00
20
02
20
04
20
06
20
08
20
10

At a Glance from Jan 1980

C ompound Annual Return

11.02%
Sharpe Ratio

0.4
Worst Drawdown

15.66%
C orrelation vs S&P 500
500
0.01
C orrelation vs US Bonds

0.12
C orrelation vs World Bonds

Managed Futures Industry AUM

11

CTACTA

CTA
/2

12


CTA
CTA

CTA

13

AHL-Man
AHL-Man-

ManAHL

AHL195Man590
AHL

-
1998420116

275.4%

10.6% 300

15.1%

14

-- AHL-Man

AHL20012008

AHLsharp

15

-- AISGLG-Man
AIS
AIS (Applied Intelligence Strategy)(registered
investment advisor)CTACommodity Trading AdvisorCPO (Commodity Pool
Operator)
AISAIS
1AIS Futures ManagementMAAP2AIS Capital
ManagementGoldTAAPCapital Growth

GLC-Man

GLG286

16

-- AIS
TAAP Composite
Apr-12
YTD 2012
2011
2010
2009
2008
2007
3 Year Compound Annual
5 Year Compound Annual
From Inception Compound Annual
Inception Date

-0.59%
5.48%
6.19%
26.55%
25.61%
-4.34%
30.12%
20.85%
15.44%
11.01%
03/31/92

Capital Growth
Apr-12
YTD 2012
2011
2010
2009
2008
2007
3 Year Compound Annual
5 Year Compound Annual
From Inception Compound Annual
Inception Date

17

-4.04%
2.13%
-13.45%
35.18%
36.92%
-22.51%
20.06%
19.28%
7.09%
9.87%
04/30/97

1
2
3
4
5
6
7
8
9

(1)

NatGator
Catscan
DCS II
Strategic
Sidewinder
ATS 6400
Aberration
Waverider
Moving Average
Reversal

()

1
Delphi II Aggressive
170.50%
2
Trend Finder Tiger
162.50%
3
TSL_CEL_NG_1.1
161.90%
4
Natural Gas Offense
157.60%
5
Trend Finder Lion 2
141.90%
6
Auto Core Duo
90.10%
7
Propero ES
81.80%
8
Dual Thrust
81.70%
9
TSL_SP_1.0Z
76.90%
10
Trend Weaver
74.60%
182011731
3

237.80%
222.10%
215.90%
173.50%
169.90%
169.00%
167.90%
166.30%
164.40%

10
Top Ten System
162.60%
20117313

S&P

1
FT Classic
107.30%
2
TSL_SP_1.0Z
76.90%
3
TSL_CEL_SP1
74.50%
4
Keystone
54.10%
5
Impetus SP
50.50%
6
Big Blue 2
49.60%
7
Strategic 500
45.50%
8
STC SP Daytrader
42.00%
9
R-Breaker
37.10%
10
%C Daybreak
36.30%
2011731
3

Aberration
Andromeda
Brix
Checkmate
Dollar Trader for
Currencies
Golden SX
R-Breaker
Ready-Set-Go
STC S&P Daytrade
Trendchannel

18

Keith Fitschen
Petros Development Corp.
Alfaranda CTA
Strategic Trading Systems
Dave Fox
Randy Stuckey
Richard Saidenberg
longtermtrading.com
Stafford Trading Company
John Tolan
201110


CTA
CTA

CTA

19

CTA

20

CTA:Why us? Why now?

Why us

(ING)
A

Why now

09
10

11

21

CTA:

1.

1()

2.
3.

(Automatic Trading System)

22

CTA:

23

ETF

CPPI

2
3

Kelly Formula

24

CPPI

Level III

Level II

Level I

M5>30%
10%

5-10%

2-5%

25


CPPI

<=1.02
1.02<<1.05
1.05<<1.1
>1.1

70-100%
50%-100%
30%-100%
0-100%

0-30%
0-20%
0.96-1.02
0-50%
0-40%
0.98-1.05
0-70%
0-60%
1-1.1
0-100%
0-100%
1.02

26

4
5

VaR

8
9
10
11
12
13

VaR9995

27

/
+

//

II

28

--CTA

1.

123

2.

3.

4.

29

CTA: CTA--
1

>30%
<15%
>1

30

CTA: CTA--
2

>50%
<15%
5

31

CTA: CTA--

1+2=

32

0%

33
20120424

20120413

20120330

20120321

20120312

20120301

20120221

20120210

20120201

20120116

20120105

20111223

20111214

20111205

20111124

20111115

20111104

20111026

20111017

20110929

20110920

20110908

20110830

20110819

20110810

20110801

20110721

20110712

20110701

20110622

20110613

20110601

20110523

20110512

20110503

20110421

20110412

20110330

20110321

20110310

20110301

20110218

20110209

20110124

20110113

20110104

20101223

20101214

20101203

20101124

20101115

20101104

20101026

20101015

20100929

20100915

20100906

20100826

20100817

20100806

20100728

20100719

20100708

20100629

20100618

20100604

20100526

20100517

20100506

20100426

CTA: CTA--
50%

45%

40%

35%

30%

25%

20%

15%

10%

5%

>20%
<15%
5

20
10
20 050
10 5
20 052
10 4
20 061
10 0
20 070
10 2
20 072
10 1
20 080
10 9
20 082
10 6
20 091
10 4
20 101
10 3
20 110
10 1
20 111
10 8
20 120
10 7
20 122
11 4
20 011
11 3
20 020
11 1
20 022
11 5
20 031
11 6
20 040
11 6
20 042
11 5
20 051
11 3
20 060
11 1
20 062
11 1
20 070
11 8
20 072
11 7
20 081
11 5
20 090
11 1
20 092
11 1
20 101
11 7
20 110
11 3
20 112
11 2
20 120
11 9
20 122
12 8
20 011
12 8
20 021
12 3
20 030
12 1
20 032
12 0
20 041
12 1
05
02

CTA: CTA--

60%

50%

40%

30%

20%
>20%
<10%
5

10%

0%

34

20
10
20 050
10 5
20 052
10 4
20 061
10 0
20 070
10 2
20 072
10 1
20 080
10 9
20 082
10 6
20 091
10 4
20 101
10 3
20 110
10 1
20 111
10 8
20 120
10 7
20 122
11 4
20 011
11 3
20 020
11 1
20 022
11 5
20 031
11 6
20 040
11 6
20 042
11 5
20 051
11 3
20 060
11 1
20 062
11 1
20 070
11 8
20 072
11 7
20 081
11 5
20 090
11 1
20 092
11 1
20 101
11 7
20 110
11 3
20 112
11 2
20 120
11 9
20 122
12 8
20 011
12 8
20 021
12 3
20 030
12 1
20 032
12 0
20 041
12 1
05
02

CTA: CTA--

80%

70%

60%

50%

40%

30%

20%
>30%
<10%
5

10%

0%

35

2011-1-4
2011-1-12
2011-1-20
2011-1-28
2011-2-14
2011-2-22
2011-3-2
2011-3-10
2011-3-18
2011-3-28
2011-4-7
2011-4-15
2011-4-25
2011-5-4
2011-5-12
2011-5-20
2011-5-30
2011-6-8
2011-6-16
2011-6-24
2011-7-4
2011-7-12
2011-7-20
2011-7-28
2011-8-5
2011-8-15
2011-8-23
2011-8-31
2011-9-8
2011-9-19
2011-9-27
2011-10-12
2011-10-20
2011-10-28
2011-11-7
2011-11-15
2011-11-23
2011-12-1
2011-12-9
2011-12-19
2011-12-27
2012-1-6
2012-1-16
2012-1-31
2012-2-8
2012-2-16

CTA: CTA--

10000

8000

6000

4000

2000

-2000

36

>30%
<10%
5

CTA: CTA--

100

407

37

36

0.6%

3.9%

82.5%

39.6%

48.4%

0.5%

300

547

132

0.2%

3.6%

32.1%

40.1%

38.5%

313

29

12

-0.5%

3.0%

-38.4%

30.1%

500

37

0.7%

3.7%

98.7%

500

230

32

18

0.0%

2.2%

100

412

58

24

0.9%

90

213

17

38

200

24

2.3%

62.5%

23.2%

51.6%

0.7%

3.3%

128.1%

37.0%

53.8%

41.7%

-0.6%

1.2%

-46.3%

12.0%

33.0%

37.2%

50.0%

-0.2%

3.4%

-15.9%

34.6%

50.0%

0.3%

21.6%

45.0%

-0.3%

1.4%

-26.1%

13.7%

45.0%

2.9%

134.8%

28.2%

60.9%

0.0%

1.8%

2.7%

17.3%

46.9%

0.4%

3.0%

45.7%

30.1%

54.5%

-1.3%

1.8%

-71.4%

17.4%

18.2%

2.0%

4.1%

708.8%

42.0%

76.9%

1.3%

4.4%

277.4%

45.5%

53.8%

0.0%

1.2%

-0.2%

12.3%

50.0%

-1.1%

1.5%

-66.0%

15.0%

25.0%

1WIND
21.5%-1%1%

37

2010-06-07
2010-07-12
2010-08-11
2010-09-10
2010-10-22
2010-11-23
2010-12-23
2011-01-25
2011-03-03
2011-04-06
2011-05-09
2011-06-09
2011-07-11
2011-08-10
2011-09-09
2011-10-19
2011-11-18
2011-12-20
2012-01-30
2012-02-29
2012-03-30
2012-05-08
2012-06-07

CTA: CTA--

1.6
1.4
1.2
1
0.8
0.6
0.4
0.2
0
8%

6%

4%

2%
0%

-2%

-4%

38

7900

6900

20060206
20060404
20060607
20060803
20060929
20061204
20070202
20070409
20070612
20070808
20071011
20071207
20080213
20080411
20080612
20080808
20081014
20081210
20090216
20090415
20090616
20090812
20091016
20091214
20100210
20100416
20100618
20100816
20101022
20101220
20110223
20110425
20110623
20110819
20111025
20111221
20120227

CTA: CTA--
2006-2012

300

17.2%
-8.3%

1900

900

39

2800

2600

2400

5900
2200

4900
2000

3900
1800

1600

2900
1400

1200

1000

CTA

100

20127-20128

1.5%;0.2%1%

8%20%

40

122001
2

20039

CFAFRM
AIMR
GARP

41

42