Multi Strategy Backtest

Asset Perfromance
25
MGDFUTURES 24.13
EQUITYMARKETNEUTRAL 7.08
GLOBALRISKPARITY 9.14
20
15
10
1995
2000
2005
2010
2015
Cumulative Performance
10
bench.60.40 4.22
EW 7.54
RP 6.31
MV 5.47
MD 6.52
MC 5.56
MC2 6.26
MCE 5.56
MS 10.33
AVG 6.66
1
2000
System
Period
bench.60.40 EW
2005
RP
MV
2010
MD
MC
2015
MC2
MCE
MS
AVG
Dec1996 Feb2016Dec1996 Feb2016Dec1996 Feb2016Dec1996 Feb2016Dec1996 Feb2016Dec1996 Feb2016Dec1996 Feb2016Dec1996 Feb2016Dec1996 Feb2016Dec1996 Feb2016
Cagr
7.79
11.11
10.08
9.26
10.27
9.35
10.04
9.35
12.94
10.39
Sharpe
0.66
1.72
1.77
1.53
1.72
1.55
1.76
1.55
1.62
1.8
DVR
0.58
1.7
1.75
1.51
1.69
1.51
1.74
1.51
1.56
1.77
Volatility
12.61
6.27
5.54
5.91
5.81
5.94
5.55
5.94
7.71
5.61
MaxDD
40.62
4.99
5.89
6.27
5.87
7.13
5.98
7.13
7.45
5.22
AvgDD
5.95
1.89
1.68
1.78
1.74
1.78
1.62
1.78
2.08
1.71
2.22
2.07
2.44
2.25
2.23
2.14
2.23
2.44
2.14
8.28
2.74
2.44
3.04
2.74
3.03
2.53
3.03
3.14
2.61
100
100
100
100
100
100
100
100
100
100
VaR
CVaR
Exposure
Transition Map for bench.60.40
Allocation %
100
100
TGBAX
DFLVX
80
80
60
60
40
40
20
20
0
2000
bench.60.40Jan
Feb
Mar
May
Apr
Jun
2005
Aug
Jul
Sep
2010
Nov
Oct
Dec
1996
1997
1.9
1.1
3.1
2.1
5.0
2.3
1998
1999
6.2
0.8
5.5
3.4
0.5
0.4
0.1
1.1
3.0
2.2
6.7
0.9
0.6
2.2
2000
4.7
5.0
8.9
0.8
0.7
2.8
2001
3.3
0.4
2.8
3.6
1.1
0.8
0.9
Year
MaxDD
bench.60.40
System
Period
Period
Dec1996 Feb2016
Win.Percent.Day
61.9
Cagr
7.79
Best.Day
11.9
Sharpe
0.66
Worst.Day
14.1
DVR
0.58
Win.Percent.Month
61.9
0.0
3.1
5.1
3.6
1.4
10.0 13.6
2.3
1.4
1.2
0.8
7.7
1.1
1.5
1.3
8.2
8.3
9.5
Volatility
12.61
Best.Month
11.9
6.9
0.6
5.9
1.5
4.6
7.8
MaxDD
40.62
Worst.Month
14.1
5.95
Win.Percent.Year
71.4
Best.Year
28.2
8.28
Worst.Year
24.2
4.3
2.6
2.8
2.2
3.2
1.0
1.0
1.7
2.6
0.7
1.0
3.3
6.8
1.9
6.1
2.8
4.1
0.5
2.2 13.9
AvgDD
1.1
0.4
6.6
6.6
0.0
0.1
1.8
1.2
3.5
2.0
6.1
28.2
2.2
VaR
2004
0.9
2.1
0.0
2.4
0.5
1.8
1.8
0.9
2.9
2.0
5.9
3.2
17.0
2.4
CVaR
2005
2.1
2.5
1.0
2.0
2.1
0.9
3.1
0.3
0.7
1.8
2.3
0.7
4.9
3.0
Exposure
2006
4.4
0.2
0.9
3.2
1.1
0.0
0.3
1.1
1.7
3.2
2.0
1.4
17.6
1.4
2007
1.5
0.5
1.0
3.6
2.9
1.1
3.4
2.0
3.5
1.3
3.9
0.0
2.7
6.3
2008
0.9
0.8
0.3
3.3
0.9
7.6
0.1
1.1
5.9 14.1
6.2
4.7 24.2 29.1
2009
6.8 11.0
8.5
11.9
5.5
0.7
7.3
4.0
2010
1.3
3.5
6.3
2.6
6.8
4.6
6.0
3.6
2011
1.7
3.8
0.8
2.7
0.9
1.2
2.2
5.5
2012
5.1
4.6
0.7
1.2
6.5
5.1
1.6
2.5
2013
4.3
1.1
3.0
1.4
1.6
1.6
3.6
2.4
2014
3.4
2.8
2.0
0.5
2.1
1.8
0.5
2015
3.1
4.7
1.4
1.6
0.7
1.5
0.5
2016
4.4
4.3
Avg
0.1
0.3
2.5
3.9
2.1
7.4
2.2
0.8
6.8
17.6 11.1
9.3
10.3
2.0
0.5
2.5 17.9
3.1
0.6
0.6
2.4
19.7
7.6
2.8
3.7
2.4
2.1
24.0
2.4
2.3
1.8
0.7
0.5
0.2
6.7
3.4
5.1
2.7
6.2
1.0
3.1
3.6
9.4
8.5
8.5
7.9
8.4
0.8
Trade
0.0
2.2 11.3
0.6
40%
17.6
0.4
0.7
TGBAX
0.8
3.0
0.7
0.7
60%
0.6
3.8
2003
2.4
DFLVX
2015
2002
1.6
bench.60.40 20160201
3.9
0.1
1.3
1.0
2.1
26.5 17.0
100
Allocation for bench.60.40 in time

60% DFLVX
40% TGBAX
Transition Map for EW

100
Allocation %
80
EW
60
40
40
20
20
Jan
Feb
Mar
Apr
May
Jun
2005
Jul
Aug
Sep
Oct
2010
Nov
Dec
1998
Year
0.0
1996
1997
3.7
2.5
2.0
1.9
0.8
1.9
2.7
0.2
0.8
2.3
2.3
6.4 2.8
2.7 0.1
0.6
MaxDD
0.0
1.0 21.5 2.8
0.8 0.5
3.4
2.9
1.5
0.6
3.9 23.8 0.5
2000
0.1 2.7
2.1 1.0
3.1
0.6 0.1 1.2
1.8
1.9
2.5 0.8
3.6
3.9 10.3 3.4
0.3 0.6
0.8
2001
0.6
2002
0.8
1.3 0.6
2.8 3.0 0.3

2.3
3.7
2003
2.9
3.3 2.4
2.5
2004
1.7
4.5
2005
0.5
2006
1.7 0.6
2007
1.8 1.1
2008
2.7
2009
0.5
0.0 1.9
3.1
0.4
1.0
3.8
2.7 3.5
2.9
0.7
1.5
2.1
2.4
4.5
2.2
2.0
3.6 1.5 0.2
4.1 24.2 1.7
4.9 1.5 2.2
0.2
0.8
3.6
0.8
4.2 18.1 3.7
0.3 3.9
0.0
0.6
0.3
1.1
3.8
1.5
4.4
1.5 0.3 0.7
1.8
3.0
0.4
1.0
1.1 2.4
2.4
1.1 1.9 0.9
1.7
1.2
0.7
0.2
3.7
1.3
1.0 2.3 2.1
3.6 0.5 2.2
1.4
1.8 2.1
0.1 0.3 0.3 0.5
0.6
0.1
8.7 3.5
EW
System
Period
Dec1996 Feb2016
Win.Percent
61.8
11.11
Avg.Trade
0.3
Best.Day
6.4
1.72
Avg.Win
0.9
Worst.Day
3.9
69.7
Cagr
Trade
Sharpe
1.1 2.3
1.7
Avg.Loss
0.6
Win.Percent.Month
Volatility
6.27
Best.Trade
6.7
Best.Month
6.4
MaxDD
4.99
Worst.Trade
3.11
Worst.Month
3.9
0.4
95.2
Best.Year
24.2
VaR
2.22
Num.Trades
693
Worst.Year
2.6
1.8 16.9 3.9
CVaR
2.74
3.5
0.6 10.5 2.4
Exposure
1.3
0.8
1.6
9.4 2.8
2.8
2.9
0.1
1.1
9.5 4.4
0.3
0.7
5.1
3.1
1.9 16.6 2.7
0.0
1.5
1.0 1.1
0.2
1.3
3.8
3.9 2.0
3.0 2.0
2.4 1.7
2.6
9.6 2.3
1.4 0.2 1.2
0.6
0.6
1.1
4.8 1.4
2012
0.0
1.4 0.1
0.9
2.7 0.4 0.1 1.3
2013
2.3
0.7
1.1 2.5 2.0
1.3 1.9
2014
1.3
2016
1.8
0.8
Avg
1.0
1.0
1.3
0.9 0.2
1.0 2.8
0.4
0.7
0.5
1.3
0.133%
1.8
4.7 EQUITYMARKETNEUTRAL
1.5
1.9
0.1
5.4 5.0
1.5 0.1
0.8
2.9
0.9
7.2 1.3
0.1 1.1
3.3 3.0
1.1 0.9
0.6
Profit.Factor
1.3
2.8 0.5
2.6
0.4
AvgDD
Win.Percent.Year
4.0 0.4 0.5
0.0
70.1
0.8 1.1
1.5 1.2
Period
Win.Percent.Day
1.4
0.4
1.5 1.0
33.33%
Avg.Len
0.2
3.4 0.1
GLOBALRISKPARITY
WinLoss.Ratio
0.7
2015
33.33%
1.89
2011
1.7 1.5
EQUITYMARKETNEUTRAL
225.62
2010
1.5
33.33%
6.7 4.5
0.8
1.7
MGDFUTURES
2015
DVR
1999
20160201
80
60
2000
EW
100
GLOBALRISKPARITY
EQUITYMARKETNEUTRAL
MGDFUTURES
0.6
1.7
0.9
1.4
0.0
1.6 10.3 2.5
100
Allocation for EW in time
33% MGDFUTURES
33% GLOBALRISKPARITY
EW
weight
entry.date
exit.date
nhold
entry.price exit.price
return
EQUITYMARKETNEUTRAL
33.3
20150701
20150801
2678400
10.54
10.61
0.22
GLOBALRISKPARITY
33.3
20150701
20150801
2678400
9.23
8.80
1.56
MGDFUTURES
33.3
20150801
20150901
2678400
10.30
10.56
0.82
EQUITYMARKETNEUTRAL
33.3
20150801
20150901
2678400
10.61
11.23
1.93
GLOBALRISKPARITY
33.3
20150801
20150901
2678400
8.80
8.81
0.04
MGDFUTURES
33.3
20150901
20151001
2592000
10.56
10.20
1.13
EQUITYMARKETNEUTRAL
33.3
20150901
20151001
2592000
11.23
11.23
0.03
GLOBALRISKPARITY
33.3
20150901
20151001
2592000
8.81
8.96
0.57
MGDFUTURES
33.3
20151001
20151101
2678400
10.20
10.38
0.58
EQUITYMARKETNEUTRAL
33.3
20151001
20151101
2678400
11.23
11.27
0.12
GLOBALRISKPARITY
33.3
20151001
20151101
2678400
8.96
8.80
0.60
MGDFUTURES
33.3
20151101
20151201
2592000
10.38
10.18
0.64
EQUITYMARKETNEUTRAL
33.3
20151101
20151201
2592000
11.27
11.48
0.61
GLOBALRISKPARITY
33.3
20151101
20151201
2592000
8.80
8.51
1.09
MGDFUTURES
33.3
20151201
20160101
2678400
10.18
10.39
0.69
EQUITYMARKETNEUTRAL
33.3
20151201
20160101
2678400
11.48
11.73
0.73
GLOBALRISKPARITY
33.3
20151201
20160101
2678400
8.51
8.61
0.39
MGDFUTURES
33.3
20160101
20160201
2678400
10.39
10.77
1.22
EQUITYMARKETNEUTRAL
33.3
20160101
20160201
2678400
11.73
11.61
0.34
GLOBALRISKPARITY
33.3
20160101
20160201
2678400
8.61
8.59
0.08
Transition Map for RP

100
Allocation %
80
RP
60
40
40
20
20
Jan
Feb
Mar
Apr
May
Jun
2005
Jul
Aug
Sep
Oct
2010
Nov
Dec
1998
1999
2000
2.6
2.1
1.9
1.4
0.1 2.5
2.2
0.3
1.2
2.7
1.8 0.2
1.1
2.7
0.4 0.3 1.2

1.3 0.4
1.2
1.1
5.5 2.5
2.1
0.3
0.6
MaxDD
0.0
0.7 18.3 2.5
0.9 0.5
2.7
2.7
2.1
1.0
4.0 22.7 0.5
1.8
1.9
2.6 1.0
2.6
1.9
0.8
0.0 1.9
3.0
0.6
2001
1.0
2.9
1.8 2.2
0.2
0.1
1.4
1.9 1.1
2002
2.2
1.9
0.0
2.3
2.8
3.0
0.5
2.9
2003
1.9
2.6 2.4
2.3
2004
1.2
3.9
2005
0.9
2006
2.0
2007
2008
1.6
1.1
4.0
1.8 2.0
0.4
4.2 2.2
2.9
DVR
1.75
Avg.Loss
0.6
Win.Percent.Month
68.8
Volatility
5.54
Best.Trade
3.53
Best.Month
5.5
MaxDD
5.89
Worst.Trade
3.32
Worst.Month
2.9
AvgDD
1.9
2.44
2.1
0.1 11.8 1.6
Exposure
1.4
0.8
1.5 11.4 1.6
2.5
1.6
0.4
1.4 11.6 1.6
1.7 1.7
0.2 2.1
1.8
2.0
1.8
7.9 3.5
3.6 2.0
1.9 2.6
2.7
0.4
1.5
0.7 1.6
0.1
2.0
1.7 1.2 0.4
2.7
0.1
0.3
1.9 1.5
1.1
3.2
1.3
0.9 1.0 0.5
3.6 0.5 2.0
1.4
0.4 0.7 0.7 0.8
1.0
0.0 0.1
1.5
1.3 0.6
0.7 2.5
0.4
0.5
1.2
3.9
0.1
0.5 1.0
3.9 0.1
0.0
1.5 0.3 1.0
2012
0.4
1.4 0.1
1.0
2013
2.2
0.9
0.9 2.8 2.1
2014
1.3
2.4 1.2
2.4 1.8
1.1
2.8 0.3 0.1 1.4

1.2 2.3
0.8 0.2
1.2 2.6
1.3
0.8 1.5
0.7
2.6
0.3
0.6
0.6
1.1 0.5
4.7 1.8
1.3
2.6
0.4
5.2 5.9
0.1
1.1
2.8
1.1
8.0 1.3
2.8 0.3 0.1 1.1
2.2 3.3
0.7
1.3
100
Allocation for RP in time
23% MGDFUTURES
1.0 43%
6.2 EQUITYMARKETNEUTRAL
1.3
1.2
1.2
Profit.Factor
9.3 2.5
2.5
0.8
5.5
Worst.Day
CVaR
2.1
0.5
Best.Day
0.8
1.8 15.3 2.9
0.0
0.5
0.3
Avg.Win
22.7
0.4
1.1
Avg.Trade
1.77
Worst.Year
1.9
0.9
10.08
Sharpe
Cagr
693
3.5
Avg
69.3
Num.Trades
0.7
0.7
Period
Win.Percent.Day
2.07
3.3
1.8
61.8
Trade
VaR
0.3
2016
Win.Percent
95.2
1.2
1.3
Dec1996 Feb2016
Best.Year
0.6
1.1 0.9
System
Period
Win.Percent.Year
0.2
1.7 0.9 0.1
RP
0.8 2.9
3.2 0.3
2015
1.4
3.6 13.8 3.9
2015
30.71%
Avg.Len
1.0
1.6
GLOBALRISKPARITY
WinLoss.Ratio
3.4
2011
37.06%
1.68
0.8
0.6
EQUITYMARKETNEUTRAL
225.61
4.0 1.6 2.2 0.2
0.0
32.23%
2.8 10.1 2.2
3.4 22.0 1.4
2010
MGDFUTURES
7.2 3.5
2.6 1.3 0.1
1.2
2009
Year
0.0
1996
1997
20160201
80
60
2000
RP
100
GLOBALRISKPARITY
EQUITYMARKETNEUTRAL
MGDFUTURES
1.3
0.0
9.3 2.2
RP
weight
entry.date
exit.date
nhold
return
EQUITYMARKETNEUTRAL
32.7
20150701
20150801
2678400
10.54
10.61
0.21
GLOBALRISKPARITY
43.3
20150701
20150801
2678400
9.23
8.80
2.03
MGDFUTURES
24.9
20150801
20150901
2678400
10.30
10.56
0.61
EQUITYMARKETNEUTRAL
36.4
20150801
20150901
2678400
10.61
11.23
2.11
GLOBALRISKPARITY
38.6
20150801
20150901
2678400
8.80
8.81
0.04
MGDFUTURES
29.9
20150901
20151001
2592000
10.56
10.20
1.01
EQUITYMARKETNEUTRAL
30.4
20150901
20151001
2592000
11.23
11.23
0.03
GLOBALRISKPARITY
39.7
20150901
20151001
2592000
8.81
8.96
0.68
MGDFUTURES
27.5
20151001
20151101
2678400
10.20
10.38
0.48
EQUITYMARKETNEUTRAL
34.9
20151001
20151101
2678400
11.23
11.27
0.12
GLOBALRISKPARITY
37.6
20151001
20151101
2678400
8.96
8.80
0.67
MGDFUTURES
26.3
20151101
20151201
2592000
10.38
10.18
0.50
EQUITYMARKETNEUTRAL
36.0
20151101
20151201
2592000
11.27
11.48
0.66
GLOBALRISKPARITY
37.7
20151101
20151201
2592000
8.80
8.51
1.24
MGDFUTURES
31.6
20151201
20160101
2678400
10.18
10.39
0.65
EQUITYMARKETNEUTRAL
34.8
20151201
20160101
2678400
11.48
11.73
0.76
GLOBALRISKPARITY
33.6
20151201
20160101
2678400
8.51
8.61
0.39
MGDFUTURES
32.2
20160101
20160201
2678400
10.39
10.77
1.18
EQUITYMARKETNEUTRAL
37.1
20160101
20160201
2678400
11.73
11.61
0.38
GLOBALRISKPARITY
30.7
20160101
20160201
2678400
8.61
8.59
0.07
Transition Map for MV

100
Allocation %
80
MV
60
40
40
20
20
Jan
Feb
Mar
Apr
May
Jun
2005
Jul
Aug
Sep
Oct
2010
Nov
Dec
1.8
1.6
1998
0.8
1999
0.1 2.4
2000
Year
0.0
1996
1997
2.3
0.6
1.8
2.5
2.7
1.8 0.3
1.2
4.0
2.5 0.6 0.7

2.8 0.1
0.4
5.0 1.8
0.3
1.5
0.8
MaxDD
0.0
0.0 17.1 1.8
0.8 0.8
0.2
5.6
2.6
1.4
3.9 22.4 0.8
2.2
1.8
2.3
0.8
1.9
1.0 10.3 2.4
1.1
1.5 0.1 2.0
3.1
0.9
1.0
4.8
3.6
1.3 0.4 1.2
0.7 0.3
1.3
1.8 3.1
2002
2.8
1.9 0.1
2.2
1.5
0.0
3.8
2003
0.7
2.0 3.1
2.3
1.7 1.8 2.1 1.3
1.1
2.2
1.3
1.8
2004
0.2
3.3
1.3 2.1
0.3
0.7
1.9 0.5
2.6 0.7
2.3
1.9 11.7 2.1
2005
1.2
2.3
0.8
0.3
3.3
2.1
0.5
0.4 1.1
0.6 0.4 12.7 1.1
2006
2.2
1.2
1.4
2.5 0.7
0.2
3.6 2.5
0.1
1.2 0.2
3.5 13.0 2.5
2007
1.9 0.5
1.2
2.7
0.8
0.5
0.0
2.3
0.8
0.8
1.5 13.9 0.5
2008
1.1
3.6 0.5 1.2
1.3
1.4 0.8 0.2 5.3
1.1
2.5
2.2
5.1 6.3
1.8
0.3
0.1
1.8
1.9 0.6
3.3 2.1
5.2 2.1
0.2 1.1 3.0 0.1
1.1
0.8
3.8
2009
0.8 0.4
1.0
0.9 0.9
2010
1.5
2011
0.6 0.5 0.5
3.8
0.5
1.6 1.0
0.5
1.4
1.2
0.0
1.0
2013
2.5
0.5
1.8
1.3 2.8
0.5
2014
0.9
0.8
1.3 0.9
1.9 0.9
3.2 0.6
2016
1.6
1.0
Avg
0.7
1.0
0.9 0.7
1.7
1.4 2.1
1.1
2.8 2.5
0.6 2.8 3.9
2.3 0.9 0.1
2.9 19.5 1.0
1.7 0.4 0.8
2012
2015
2.1
4.8 5.1
0.6
0.8
0.4
1.0
3.4
0.8
8.1 4.2
1.2 1.1
1.3
3.1
1.5
9.2 1.1
0.9
Win.Percent
61.7
Cagr
9.26
Avg.Trade
0.3
Best.Day
5.6
Sharpe
1.53
Avg.Win
0.9
Worst.Day
5.3
DVR
1.51
Avg.Loss
0.6
Win.Percent.Month
68.8
Volatility
5.91
Best.Trade
4.94
Best.Month
5.6
MaxDD
6.27
Worst.Trade
4.47
Worst.Month
5.3
Trade
AvgDD
0.0 0.5 2.2 0.4 4.4
0.9
1.2
Period
Win.Percent.Day
69.3
1.78
WinLoss.Ratio
1.41
Win.Percent.Year
81
227.99
Avg.Len
0.99
Best.Year
22.4
VaR
2.44
Num.Trades
575
Worst.Year
2.8
CVaR
3.04
Profit.Factor
Exposure
100
Allocation for MV in time
9.8 1.2
0.9
0.3
37.90%
Dec1996 Feb2016
53%4.2
EQUITYMARKETNEUTRAL
5.7
0.4 2.9 0.8 4.8
0.7
GLOBALRISKPARITY
System
0.6
2.6
0.7
25.46%
Period
2.9
1.0 2.9
2.7
EQUITYMARKETNEUTRAL
MV
2.0
2.9 0.8 0.3 1.4
0.2 2.5
36.65%
2015
1.9 2.5
1.1
MGDFUTURES
2.3 14.3 2.3
2001
1.8
20160201
80
60
2000
MV
100
MGDFUTURES
GLOBALRISKPARITY
EQUITYMARKETNEUTRAL
1.0
0.0
8.6 2.5
14% MGDFUTURES
MV
weight
entry.date
exit.date
nhold
return
GLOBALRISKPARITY
57.0
20150601
20150701
2592000
9.44
9.23
1.25
EQUITYMARKETNEUTRAL
41.2
20150701
20150801
2678400
10.54
10.61
0.27
GLOBALRISKPARITY
58.8
20150701
20150801
2678400
9.23
8.80
2.76
5.0
20150801
20150901
2678400
10.30
10.56
0.12
EQUITYMARKETNEUTRAL
43.9
20150801
20150901
2678400
10.61
11.23
2.54
GLOBALRISKPARITY
51.1
20150801
20150901
2678400
8.80
8.81
0.05
MGDFUTURES
28.8
20150901
20151001
2592000
10.56
10.20
0.98
EQUITYMARKETNEUTRAL
11.2
20150901
20151001
2592000
11.23
11.23
0.01
GLOBALRISKPARITY
59.9
20150901
20151001
2592000
8.81
8.96
1.03
MGDFUTURES
36.6
20151001
20151101
2678400
10.20
10.38
0.64
GLOBALRISKPARITY
63.4
20151001
20151101
2678400
8.96
8.80
1.13
MGDFUTURES
27.0
20151101
20151201
2592000
10.38
10.18
0.52
EQUITYMARKETNEUTRAL
14.4
20151101
20151201
2592000
11.27
11.48
0.26
GLOBALRISKPARITY
58.6
20151101
20151201
2592000
8.80
8.51
1.92
MGDFUTURES
46.5
20151201
20160101
2678400
10.18
10.39
0.96
2.0
20151201
20160101
2678400
11.48
11.73
0.04
GLOBALRISKPARITY
51.5
20151201
20160101
2678400
8.51
8.61
0.60
MGDFUTURES
36.6
20160101
20160201
2678400
10.39
10.77
1.34
EQUITYMARKETNEUTRAL
25.5
20160101
20160201
2678400
11.73
11.61
0.26
GLOBALRISKPARITY
37.9
20160101
20160201
2678400
8.61
8.59
0.09
MGDFUTURES
EQUITYMARKETNEUTRAL
Transition Map for MD

100
Allocation %
80
MD
60
40
40
20
20
Jan
Feb
Mar
Apr
May
Jun
2005
Jul
Aug
Sep
Oct
2010
Nov
Dec
2.1
1.6
0.6
1998
1.7
1999
0.1 2.5
2000
Year
0.0
1996
1997
2.2 1.3
1.5
2.4
2.9
1.8 0.2
1.1
3.1
2.6 0.1 0.8

0.3 0.5
0.3 1.8
1.4
2001
0.5
2002
1.8
1.8 0.4
2.4
2.4
2003
2.8
2.7 2.3
2.3
2004
0.7
3.4
2005
1.3
0.8
5.3 2.5
2.1
0.9
0.9
MaxDD
0.0
0.6 19.7 2.5
0.7 0.8
1.2
6.2
2.4
1.2
3.8 23.8 0.8
1.0
1.7
2.2
0.8
1.9
1.3 10.9 2.5
2.2
0.3 2.0
3.2
0.2
0.2 0.3
1.3
1.6 1.8
2.6
0.1
3.8
0.9
3.7
3.1 2.6
2.5
0.5
1.5 2.6
Dec1996 Feb2016
Win.Percent
62.5
Trade
Period
Win.Percent.Day
71.9
10.27
Avg.Trade
0.3
Best.Day
6.2
Sharpe
1.72
Avg.Win
0.9
Worst.Day
5.2
DVR
1.69
Avg.Loss
0.6
Win.Percent.Month
71.4
Volatility
5.81
Best.Trade
5.71
Best.Month
6.2
MaxDD
5.87
Worst.Trade
5.15
Worst.Month
5.2
90.5
Cagr
AvgDD
23.8
VaR
2.25
Num.Trades
632
Worst.Year
1.4
1.9 13.0 2.3
CVaR
2.74
3.6
1.3 15.2 1.5
Exposure
0.5
1.2 0.4
3.5 13.9 1.7
2.6
0.9
0.8
1.4 13.3 0.5
1.6 1.0
0.3 5.2
1.0
2.8
2.6
5.9 5.9
0.4
0.1
1.8
1.7 0.8
3.3 2.0
5.0 2.0
0.9 0.7 3.0 0.1
0.0
1.1
3.8
0.7
1.3 0.4
3.1
0.2
2.3
2.4
0.7
0.3
2.1
2.0
0.5
1.2
0.5 1.5
2006
1.7 0.1
1.8
1.9 1.1 0.6
1.7
3.1
2007
1.9 0.5
1.0
2.8
0.7
0.4 0.2
0.8
2008
1.1
3.6 0.6 1.6
1.7
0.2
1.3
0.4
2010
0.2
0.1
2011
0.2
0.1 1.6
2012
1.4
1.2
0.0
0.9
2013
2.6
0.5
1.1
1.9 2.4
0.4
2014
0.9
0.8
1.3 0.9
1.8 0.9
0.9
System
Period
Best.Year
0.1
0.9
MD
Win.Percent.Year
1.4 2.3
Avg
2015
4.3 13.4 4.2
1.3
43.07%
1.41
1.0
1.6
GLOBALRISKPARITY
Avg.Len
2.4
2016
14.49%
WinLoss.Ratio
1.5
3.2 0.4
EQUITYMARKETNEUTRAL
1.74
2.6 1.9 2.2 0.2
2015
42.44%
235.53
4.0 21.9 1.1
0.8 0.4
MGDFUTURES
6.4 4.0
2.6 1.0 0.2
2009
20160201
80
60
2000
MD
100
MGDFUTURES
EQUITYMARKETNEUTRAL
GLOBALRISKPARITY
3.8 0.2
1.3 0.8
0.9
0.8 1.0
1.7
0.5 2.4
2.2 2.1
1.6
2.5
1.1
0.6
7.8 1.6
0.3 1.3
1.9
1.1
5.8 1.4
1.7
1.2
3.0
0.3
8.7 3.6
1.3 1.4
1.1
3.1
1.4
8.5 1.4
1.8 0.4 1.0

2.9
0.3
1.0 2.7
0.4 2.4
3.8 3.8
0.7
0.6
0.4
0.6
0.7
2.5 0.2 0.3 2.7 1.4 5.3
1.2
0.8
1.3
1.5
100
Allocation for MD in time
21% MGDFUTURES
42% EQUITYMARKETNEUTRAL
2.9
0.6
Profit.Factor
0.0
9.5 2.3
MD
weight
entry.date
exit.date
nhold
return
GLOBALRISKPARITY
55.2
20150501
20150601
2678400
9.74
9.44
1.71
EQUITYMARKETNEUTRAL
46.1
20150601
20150701
2592000
10.19
10.54
1.59
GLOBALRISKPARITY
53.9
20150601
20150701
2592000
9.44
9.23
1.18
EQUITYMARKETNEUTRAL
43.1
20150701
20150801
2678400
10.54
10.61
0.28
GLOBALRISKPARITY
56.9
20150701
20150801
2678400
9.23
8.80
2.67
MGDFUTURES
13.6
20150801
20150901
2678400
10.30
10.56
0.33
EQUITYMARKETNEUTRAL
38.0
20150801
20150901
2678400
10.61
11.23
2.20
GLOBALRISKPARITY
48.5
20150801
20150901
2678400
8.80
8.81
0.05
MGDFUTURES
31.8
20150901
20151001
2592000
10.56
10.20
1.07
EQUITYMARKETNEUTRAL
14.0
20150901
20151001
2592000
11.23
11.23
0.01
GLOBALRISKPARITY
54.2
20150901
20151001
2592000
8.81
8.96
0.93
MGDFUTURES
42.2
20151001
20151101
2678400
10.20
10.38
0.74
GLOBALRISKPARITY
57.8
20151001
20151101
2678400
8.96
8.80
1.03
MGDFUTURES
41.1
20151101
20151201
2592000
10.38
10.18
0.79
GLOBALRISKPARITY
58.9
20151101
20151201
2592000
8.80
8.51
1.93
MGDFUTURES
48.5
20151201
20160101
2678400
10.18
10.39
1.00
GLOBALRISKPARITY
51.5
20151201
20160101
2678400
8.51
8.61
0.61
MGDFUTURES
42.4
20160101
20160201
2678400
10.39
10.77
1.55
EQUITYMARKETNEUTRAL
14.5
20160101
20160201
2678400
11.73
11.61
0.15
GLOBALRISKPARITY
43.1
20160101
20160201
2678400
8.61
8.59
0.10
Transition Map for MC

100
Allocation %
80
MC
60
40
40
20
20
Jan
Feb
Mar
Apr
May
Jun
2005
Jul
Aug
Sep
Oct
2010
Nov
Dec
1.9
1.7
0.9
1998
1.4
1999
0.5 3.3
2000
Year
0.0
1996
1997
2.4 0.1
2.1
2.7
1.8 0.5
0.9
1.2
3.4
1.3 2.2
0.0 1.0
1.5
0.5
4.8 2.8
2.6
0.1
0.8
MaxDD
0.0
0.3 17.0 2.8
0.6 1.0 0.5
5.1
1.4
0.6
4.3 18.7 1.5
2.0
2.3
0.2
2.0
1.2
1.5
1.3 1.8
1.6
3.5
0.0
2001
0.4
0.9 0.4 1.0
0.0 0.9
1.4
0.8 2.7
2002
0.9
1.3 0.8
2.8
1.7
1.5
0.2
3.5
2003
2.1
2.8 1.9
2.3
2004
0.2
2.8
2005
0.8
0.5
3.5
2.7 4.0
2.4
0.8 2.1 4.1

3.5 17.2 0.8
2.8 1.8 2.2 0.6
1.2
2.7
1.0
4.6 13.6 4.5
0.9 1.6
0.3
0.7
1.6 0.2
2.8 0.1
3.1
1.8 12.8 1.6
1.9
0.7
0.3
1.9
2.0
0.4
1.1
0.5 1.2
3.7 0.2 12.4 1.2
2006
1.7 0.2
1.6
1.8 0.8 1.0
1.6
1.4
0.4
1.2 0.2
2.9 10.8 1.8
2007
1.0
0.5
0.6
2.4 0.3 0.3
1.2
1.0
3.1
2.9
1.1
0.9 14.8 0.6
2008
1.8
3.4 0.7 1.2
6.3
1.7
2.3 13.3 4.7
1.3 0.9
0.8 4.5
1.3
0.3
0.6
1.7
2.0 1.8
0.4 0.4 3.1 0.4 0.1
1.1
3.7
0.7
2010
0.7
2011
0.3 0.6 1.1
2012
0.8
2013
2.7
2014
1.7
0.6
2.2 1.1
0.0
0.3 1.4
1.5
1.0
5.7 1.5
1.2 3.2
2.2
1.1
2.7
0.3
6.5 5.7
0.6 0.1
1.1
4.1
1.7 11.1 1.7
2016
1.6
0.7
Avg
0.7
0.8
1.2 0.5
0.0 2.9
1.6
0.6 0.8 2.2 2.8 7.1

2.2
0.4
0.8
0.5
0.2
0.6
0.3
1.2
61.8
Cagr
9.35
Avg.Trade
0.3
Best.Day
6.3
Sharpe
1.55
Avg.Win
0.8
Worst.Day
4.5
DVR
1.51
Avg.Loss
0.6
Win.Percent.Month
69.7
Volatility
5.94
Best.Trade
8.09
Best.Month
6.3
MaxDD
7.13
Worst.Trade
4.47
Worst.Month
4.5
85.7
Trade
AvgDD
1.1
1.2
1.4
Period
Win.Percent.Day
70.1
1.78
WinLoss.Ratio
1.38
Win.Percent.Year
222.33
Avg.Len
Best.Year
18.7
VaR
2.23
Num.Trades
693
Worst.Year
2.8
CVaR
3.03
Profit.Factor
Exposure
100
Allocation for MC in time
7.8 1.7
3.3 0.5
0.0 2.8
Win.Percent
0.6
0.8 0.5
2.0
Dec1996 Feb2016
1.0
2.0 2.5 1.3

0.8
System
2.8
1.1
2.1 1.0
56.00%
3.1 2.2
0.1
2.4 0.7
GLOBALRISKPARITY
Period
4.9 3.9
44%
EQUITYMARKETNEUTRAL
1.1 0.2
3.1 0.6
17.66%
MC
2.4
0.2
2015
0.4 0.2 0.5
EQUITYMARKETNEUTRAL
2015
2.1 2.2
3.6
1.3
1.3
2.8 2.1
26.34%
7.3 3.5
0.0
1.9
MGDFUTURES
8.1 3.4
2.1 0.6
2009
20160201
80
60
2000
MC
100
GLOBALRISKPARITY
EQUITYMARKETNEUTRAL
MGDFUTURES
0.0
8.7 2.6
19% MGDFUTURES
MC
weight
entry.date
exit.date
nhold
return
EQUITYMARKETNEUTRAL
23.1
20150701
20150801
2678400
10.54
10.61
0.15
GLOBALRISKPARITY
67.1
20150701
20150801
2678400
9.23
8.80
3.15
MGDFUTURES
11.0
20150801
20150901
2678400
10.30
10.56
0.27
EQUITYMARKETNEUTRAL
22.3
20150801
20150901
2678400
10.61
11.23
1.29
GLOBALRISKPARITY
66.7
20150801
20150901
2678400
8.80
8.81
0.07
MGDFUTURES
16.8
20150901
20151001
2592000
10.56
10.20
0.57
EQUITYMARKETNEUTRAL
13.9
20150901
20151001
2592000
11.23
11.23
0.01
GLOBALRISKPARITY
69.3
20150901
20151001
2592000
8.81
8.96
1.19
MGDFUTURES
19.4
20151001
20151101
2678400
10.20
10.38
0.34
EQUITYMARKETNEUTRAL
15.5
20151001
20151101
2678400
11.23
11.27
0.05
GLOBALRISKPARITY
65.1
20151001
20151101
2678400
8.96
8.80
1.16
MGDFUTURES
19.0
20151101
20151201
2592000
10.38
10.18
0.36
EQUITYMARKETNEUTRAL
16.0
20151101
20151201
2592000
11.27
11.48
0.29
GLOBALRISKPARITY
65.0
20151101
20151201
2592000
8.80
8.51
2.13
MGDFUTURES
24.8
20151201
20160101
2678400
10.18
10.39
0.51
EQUITYMARKETNEUTRAL
16.0
20151201
20160101
2678400
11.48
11.73
0.35
GLOBALRISKPARITY
59.2
20151201
20160101
2678400
8.51
8.61
0.70
MGDFUTURES
26.3
20160101
20160201
2678400
10.39
10.77
0.96
EQUITYMARKETNEUTRAL
17.7
20160101
20160201
2678400
11.73
11.61
0.18
GLOBALRISKPARITY
56.0
20160101
20160201
2678400
8.61
8.59
0.13
Transition Map for MC2

100
Allocation %
80
MC2
60
40
40
20
20
Jan
Feb
Mar
Apr
May
Jun
2005
Jul
Aug
Sep
Oct
2010
Nov
Dec
Year
0.0
1996
1997
2.3
1.8
1998
2.3
1999
1.5
0.0 2.7
1.5
2.7
1.8 0.3
0.5
1.1
2.7
0.5 1.6
1.0
5.4 2.5
1.8
0.2
0.4
MaxDD
0.0
0.6 17.5 2.5
0.8 0.6
2.4
3.4
1.8
0.9
4.1 22.8 0.6
1.8
1.9
2.6 0.6
2.4
1.7
1.0
2000
2.4
0.5
1.5 0.4
1.2
2001
0.1 1.9
3.0
0.5
1.4
2.8
1.1 1.6
0.0 0.4
1.4
1.2 2.1
2002
2.1
1.8 0.1
2.4
2.7
0.4
3.1
2003
1.8
2.5 2.5
2.4
2004
1.0
3.4
2005
0.8
2006
2.0
2007
2008
1.7
0.9
4.0
2.0 2.6
0.5
0.9 2.7
9.7 4.1
3.4 2.0
2.6 2.1
0.3 0.2
0.3
3.5 0.6 1.6
1.4
1.9 1.7
0.2 2.7
2009
0.7 0.8 0.3 0.4
1.2
0.0
0.1
1.5
1.4 0.8
2010
0.1
0.6 2.6
0.2
0.5
1.3
3.9
1.0 0.2 0.8
2.5 1.7
1.3
2.9 0.3 0.1 1.4

1.2 2.5
0.8
2.7
0.9
0.6
0.7
0.3
1.1 0.8
4.3 1.8
2.5
0.4
5.3 6.0
1.3
0.2
1.1
3.1
1.2
9.4 1.4
0.7 1.9
2.4
0.1 0.3 1.3
0.9 4.0
1.1
0.9
1.2
1.3
Allocation for MC2 in time
22% MGDFUTURES
6.2 1.1
1.3
0.6
100
9.3 2.6
1.3
0.6
Profit.Factor
2.4
0.5
AvgDD
1.9
0.5
1.1
2.8
1.9
2.9
0.8
Worst.Month
3.5
0.7
Avg
3.55
1.2 13.6 0.7
1.7 0.7
0.7
Worst.Trade
0.7
0.3
1.7
5.98
2.5
0.2
2016
MaxDD
2.9
2.7
0.9 0.2
5.4
1.8 11.7 1.6
1.7 1.2 0.4
0.8 2.8
71
Best.Month
0.6
2.1
1.6
Win.Percent.Month
4.91
1.3
0.1
0.2
0.6
Best.Trade
Exposure
0.6 1.5
1.2 0.9
Avg.Loss
5.55
0.0 11.2 1.5
1.5
1.9 0.9
1.74
Volatility
1.9
0.4
3.2 0.3
DVR
0.9
2.4
1.4
2.8
2.53
2.2
2015
5.4
Worst.Day
CVaR
0.1
2014
Best.Day
0.8
1.8 15.4 2.2
0.4
2.1 1.0
0.3
Avg.Win
22.8
1.9
1.1 2.7 2.1
Avg.Trade
1.76
Worst.Year
3.5
1.0
10.04
Sharpe
Cagr
693
0.7
1.6
71.4
Num.Trades
3.1
0.8
Period
Win.Percent.Day
2.14
0.5
1.3 0.1
61.8
Trade
VaR
1.3
2.3
Win.Percent
95.2
0.6
0.5
Dec1996 Feb2016
Best.Year
0.2
2013
System
Period
Win.Percent.Year
0.8 2.2
2012
MC2
3.1 13.4 3.8
0.0
2015
1.41
0.9
3.9 0.1
34.15%
Avg.Len
3.7
0.6 0.9
GLOBALRISKPARITY
WinLoss.Ratio
0.6
0.2
35.62%
1.62
4.2 1.5 2.2 0.1
2011
EQUITYMARKETNEUTRAL
226.97
3.4 21.4 1.2
1.0
30.23%
2.8 10.2 2.4
0.0
0.7
MGDFUTURES
7.5 3.4
2.4 1.2
2.7
20160201
80
60
2000
MC2
100
GLOBALRISKPARITY
EQUITYMARKETNEUTRAL
MGDFUTURES
0.0
9.3 2.2
MC2
weight
entry.date
exit.date
nhold
return
EQUITYMARKETNEUTRAL
28.7
20150701
20150801
2678400
10.54
10.61
0.19
GLOBALRISKPARITY
50.9
20150701
20150801
2678400
9.23
8.80
2.39
MGDFUTURES
22.5
20150801
20150901
2678400
10.30
10.56
0.55
EQUITYMARKETNEUTRAL
31.6
20150801
20150901
2678400
10.61
11.23
1.83
GLOBALRISKPARITY
45.9
20150801
20150901
2678400
8.80
8.81
0.05
MGDFUTURES
23.3
20150901
20151001
2592000
10.56
10.20
0.79
EQUITYMARKETNEUTRAL
27.3
20150901
20151001
2592000
11.23
11.23
0.02
GLOBALRISKPARITY
49.4
20150901
20151001
2592000
8.81
8.96
0.85
MGDFUTURES
23.6
20151001
20151101
2678400
10.20
10.38
0.41
EQUITYMARKETNEUTRAL
32.2
20151001
20151101
2678400
11.23
11.27
0.11
GLOBALRISKPARITY
44.3
20151001
20151101
2678400
8.96
8.80
0.79
MGDFUTURES
23.2
20151101
20151201
2592000
10.38
10.18
0.45
EQUITYMARKETNEUTRAL
33.5
20151101
20151201
2592000
11.27
11.48
0.61
GLOBALRISKPARITY
43.3
20151101
20151201
2592000
8.80
8.51
1.42
MGDFUTURES
28.6
20151201
20160101
2678400
10.18
10.39
0.59
EQUITYMARKETNEUTRAL
31.7
20151201
20160101
2678400
11.48
11.73
0.69
GLOBALRISKPARITY
39.6
20151201
20160101
2678400
8.51
8.61
0.47
MGDFUTURES
30.2
20160101
20160201
2678400
10.39
10.77
1.11
EQUITYMARKETNEUTRAL
35.6
20160101
20160201
2678400
11.73
11.61
0.36
GLOBALRISKPARITY
34.2
20160101
20160201
2678400
8.61
8.59
0.08
Transition Map for MCE

100
Allocation %
80
MCE
60
40
40
20
20
Jan
Feb
Mar
Apr
May
Jun
2005
Jul
Aug
Sep
Oct
2010
Nov
Dec
1.9
1.7
0.9
1998
1.4
1999
0.5 3.3
2000
Year
0.0
1996
1997
2.4 0.1
2.1
2.7
1.8 0.5
0.9
1.2
3.4
1.3 2.2
0.0 1.0
1.5
0.5
4.8 2.8
2.6
0.1
0.8
MaxDD
0.0
0.3 17.0 2.8
0.6 1.0 0.5
5.1
1.4
0.6
4.3 18.7 1.5
2.0
2.3
0.2
2.0
1.2
1.5
1.3 1.8
1.6
3.5
0.0
2001
0.4
0.9 0.4 1.0
0.0 0.9
1.4
0.8 2.7
2002
0.9
1.3 0.8
2.8
1.7
1.5
0.2
3.5
2003
2.1
2.8 1.9
2.3
2004
0.2
2.8
2005
0.8
0.5
3.5
2.7 4.0
2.4
0.8 2.1 4.1

3.5 17.2 0.8
2.8 1.8 2.2 0.6
1.2
2.7
1.0
4.6 13.6 4.5
0.9 1.6
0.3
0.7
1.6 0.2
2.8 0.1
3.1
1.8 12.8 1.6
1.9
0.7
0.3
1.9
2.0
0.4
1.1
0.5 1.2
3.7 0.2 12.4 1.2
2006
1.7 0.2
1.6
1.8 0.8 1.0
1.6
1.4
0.4
1.2 0.2
2.9 10.8 1.8
2007
1.0
0.5
0.6
2.4 0.3 0.3
1.2
1.0
3.1
2.9
1.1
0.9 14.8 0.6
2008
1.8
3.4 0.7 1.2
6.3
1.7
2.3 13.3 4.7
1.3 0.9
0.8 4.5
1.3
0.3
0.6
1.7
2.0 1.8
0.4 0.4 3.1 0.4 0.1
1.1
3.7
0.7
2010
0.7
2011
0.3 0.6 1.1
2012
0.8
2013
2.7
2014
1.7
0.6
2.2 1.1
0.0
0.3 1.4
1.5
1.0
5.7 1.5
1.2 3.2
2.2
1.1
2.7
0.3
6.5 5.7
0.6 0.1
1.1
4.1
1.7 11.1 1.7
2016
1.6
0.7
Avg
0.7
0.8
1.2 0.5
0.0 2.9
1.6
0.6 0.8 2.2 2.8 7.1

2.2
0.4
0.8
0.5
0.2
0.6
0.3
1.2
61.8
Cagr
9.35
Avg.Trade
0.3
Best.Day
6.3
Sharpe
1.55
Avg.Win
0.8
Worst.Day
4.5
DVR
1.51
Avg.Loss
0.6
Win.Percent.Month
69.7
Volatility
5.94
Best.Trade
8.09
Best.Month
6.3
MaxDD
7.13
Worst.Trade
4.47
Worst.Month
4.5
85.7
Trade
AvgDD
1.1
1.2
1.4
Period
Win.Percent.Day
70.1
1.78
WinLoss.Ratio
1.38
Win.Percent.Year
222.33
Avg.Len
Best.Year
18.7
VaR
2.23
Num.Trades
693
Worst.Year
2.8
CVaR
3.03
Profit.Factor
Exposure
100
Allocation for MCE in time
7.8 1.7
3.3 0.5
0.0 2.8
Win.Percent
0.6
0.8 0.5
2.0
Dec1996 Feb2016
1.0
2.0 2.5 1.3

0.8
System
2.8
1.1
2.1 1.0
56.00%
3.1 2.2
0.1
2.4 0.7
GLOBALRISKPARITY
Period
4.9 3.9
44%
EQUITYMARKETNEUTRAL
1.1 0.2
3.1 0.6
17.66%
MCE
2.4
0.2
2015
0.4 0.2 0.5
EQUITYMARKETNEUTRAL
2015
2.1 2.2
3.6
1.3
1.3
2.8 2.1
26.34%
7.3 3.5
0.0
1.9
MGDFUTURES
8.1 3.4
2.1 0.6
2009
20160201
80
60
2000
MCE
100
GLOBALRISKPARITY
EQUITYMARKETNEUTRAL
MGDFUTURES
0.0
8.7 2.6
19% MGDFUTURES
MCE
weight
entry.date
exit.date
nhold
return
EQUITYMARKETNEUTRAL
23.1
20150701
20150801
2678400
10.54
10.61
0.15
GLOBALRISKPARITY
67.1
20150701
20150801
2678400
9.23
8.80
3.15
MGDFUTURES
11.0
20150801
20150901
2678400
10.30
10.56
0.27
EQUITYMARKETNEUTRAL
22.3
20150801
20150901
2678400
10.61
11.23
1.29
GLOBALRISKPARITY
66.7
20150801
20150901
2678400
8.80
8.81
0.07
MGDFUTURES
16.8
20150901
20151001
2592000
10.56
10.20
0.57
EQUITYMARKETNEUTRAL
13.9
20150901
20151001
2592000
11.23
11.23
0.01
GLOBALRISKPARITY
69.3
20150901
20151001
2592000
8.81
8.96
1.19
MGDFUTURES
19.4
20151001
20151101
2678400
10.20
10.38
0.34
EQUITYMARKETNEUTRAL
15.5
20151001
20151101
2678400
11.23
11.27
0.05
GLOBALRISKPARITY
65.1
20151001
20151101
2678400
8.96
8.80
1.16
MGDFUTURES
19.0
20151101
20151201
2592000
10.38
10.18
0.36
EQUITYMARKETNEUTRAL
16.0
20151101
20151201
2592000
11.27
11.48
0.29
GLOBALRISKPARITY
65.0
20151101
20151201
2592000
8.80
8.51
2.13
MGDFUTURES
24.8
20151201
20160101
2678400
10.18
10.39
0.51
EQUITYMARKETNEUTRAL
16.0
20151201
20160101
2678400
11.48
11.73
0.35
GLOBALRISKPARITY
59.2
20151201
20160101
2678400
8.51
8.61
0.70
MGDFUTURES
26.3
20160101
20160201
2678400
10.39
10.77
0.96
EQUITYMARKETNEUTRAL
17.7
20160101
20160201
2678400
11.73
11.61
0.18
GLOBALRISKPARITY
56.0
20160101
20160201
2678400
8.61
8.59
0.13
Transition Map for MS

100
Allocation %
80
1998
40
40
EQUITYMARKETNEUTRAL
20
20
Jan
Feb
Mar
Apr
May
Jun
2005
Jul
Aug
Sep
Oct
2010
Nov
Dec
Year
MaxDD
0.0
2.1
3.7
2.2
4.7
2.4
2.7
1.9 0.2
1.2
4.1
0.4
1.4
5.1 1.9
0.4 11.6
1999
0.2 2.4
2.0 2.5 0.1
2.3
2000
2.4
4.5 1.8
3.1 1.4
2.1
3.5
1.7
3.8
2002
3.7
2.2 1.1
2.6
3.3
2.0 0.1
2003
3.4
3.5 3.3
3.0
3.8 2.1 2.4
2004
2.7
3.8
1.5 2.8
0.3
0.3
2005
1.2
2.3
0.8
0.3
0.6
2006
1.5 0.1
2.1
2.2 0.9
2007
2.0 1.0
1.0
2.7
1.0
0.9 0.6
2008
1.3
3.7 0.4 1.6
0.1
0.6 0.1
3.1 4.0 0.2
0.0
0.9
2001
0.1 1.2 0.2

2.7
0.6
1.1
0.0
2.8 16.5 3.2

4.3 42.4 0.2
1.9
0.8
1.8
1.0
4.4 1.0
1.9
2.8
2.3 17.2 2.4
1.4
0.6 2.6
1.5 0.9 4.9
3.8
2.6 0.9 0.2
4.5 24.6 1.2
0.7
2.2
2.7
0.9
5.4 18.8 4.4
1.9 0.5
2.4 0.8
1.9
1.8 13.3 2.8
2.0
0.5
0.5 1.4
1.1 0.6
0.6
3.6 3.0 0.3
1.1
2.6 2.3
2.2
9.6 1.4
1.4
1.9
2.0 11.3 3.4
0.8
0.9
1.2 12.7 1.0
2.4 1.9 1.0 3.5 13.3
5.3
1.5 20.0 6.3
4.0 1.8
1.0
2.2
0.5
0.3 0.3
0.5
0.2
2.0
2.5
0.0
0.8
1.8
1.8
2.7 0.8
1.8
3.2
3.2
4.1
1.8 2.5
2.5 20.2 2.5
2011
0.6
0.4
0.1
4.5
3.8
0.4 10.7 1.8
2012
1.2
1.7
0.2
1.2 0.6 1.0
3.0 0.8 0.4 1.4
2.0 0.1
2.3 2.6
2013
1.6
0.1
1.8
1.8 2.8 0.5
1.0 3.6 1.7
0.8
2.6
0.7
1.6 7.4
2014
1.0
2.1 3.2
0.6
3.1
1.9
8.8 3.2
0.6
0.1
0.3
1.8
9.5 4.9
2.3 0.7
2015
3.4 0.8
2016
2.2 1.0
Avg
1.0
1.2
0.6 1.5
2.3
2.5 0.6 1.2
1.8 1.7
1.6 2.0 0.7 2.3
1.5
5.8
0.8
100%
0%
GLOBALRISKPARITY
2015
MS
System
Period
Dec1996 Feb2016
Win.Percent
60.8
Trade
Period
Win.Percent.Day
69.7
13.3
12.94
Avg.Trade
0.5
Best.Day
Sharpe
1.62
Avg.Win
1.2
Worst.Day
DVR
1.56
Avg.Loss
0.6
Win.Percent.Month
69.3
Cagr
7.0 3.2
2010
2009
0%
MGDFUTURES
60
1996
1997
20160201
80
60
2000
MS
MS
100
MGDFUTURES
EQUITYMARKETNEUTRAL
GLOBALRISKPARITY
Volatility
7.71
Best.Trade
11.7
Best.Month
13.3
MaxDD
7.45
Worst.Trade
4.15
Worst.Month
4
90.5
AvgDD
2.08
WinLoss.Ratio
1.88
Win.Percent.Year
291.46
Avg.Len
Best.Year
42.4
VaR
2.44
Num.Trades
513
Worst.Year
0.9
CVaR
3.14
Profit.Factor
Exposure
100
Allocation for MS in time
8.5 1.8
16% MGDFUTURES
1.4
1.1 1.0
1.0
0.5
0.7
0.6
0.9
1.3
0.7
1.2
1.3
1.7 12.2 2.8
MS
weight
entry.date
exit.date
nhold
return
GLOBALRISKPARITY
16.4
20150301
20150401
2678400
9.66
9.83
0.30
MGDFUTURES
38.0
20150401
20150501
2592000
10.49
10.47
0.07
0.0
20150401
20150501
2592000
9.78
10.20
0.00
GLOBALRISKPARITY
62.0
20150401
20150501
2592000
9.83
9.74
0.59
MGDFUTURES
14.5
20150501
20150601
2678400
10.47
9.94
0.74
EQUITYMARKETNEUTRAL
38.5
20150501
20150601
2678400
10.20
10.19
0.04
GLOBALRISKPARITY
47.0
20150501
20150601
2678400
9.74
9.44
1.45
0.0
20150601
20150701
2592000
9.94
10.15
0.00
EQUITYMARKETNEUTRAL
65.9
20150601
20150701
2592000
10.19
10.54
2.27
GLOBALRISKPARITY
34.1
20150601
20150701
2592000
9.44
9.23
0.75
EQUITYMARKETNEUTRAL
100.0
20150701
20150801
2678400
10.54
10.61
0.65
EQUITYMARKETNEUTRAL
100.0
20150801
20150901
2678400
10.61
11.23
5.79
0.0
20150901
20151001
2592000
10.56
10.20
0.00
EQUITYMARKETNEUTRAL
100.0
20150901
20151001
2592000
11.23
11.23
0.09
EQUITYMARKETNEUTRAL
100.0
20151001
20151101
2678400
11.23
11.27
0.35
EQUITYMARKETNEUTRAL
100.0
20151101
20151201
2592000
11.27
11.48
1.83
0.0
20151101
20151201
2592000
8.80
8.51
0.00
EQUITYMARKETNEUTRAL
100.0
20151201
20160101
2678400
11.48
11.73
2.18
EQUITYMARKETNEUTRAL
100.0
20160101
20160201
2678400
11.73
11.61
1.02
0.0
20160101
20160201
2678400
8.61
8.59
0.00
EQUITYMARKETNEUTRAL
MGDFUTURES
MGDFUTURES
GLOBALRISKPARITY
GLOBALRISKPARITY
Transition Map for AVG

100
Allocation %
80
AVG
60
40
40
20
20
Jan
Feb
Mar
Apr
May
Jun
2005
Jul
Aug
Sep
Oct
2010
Nov
Dec
2.3
1.8
1998
2.0
1999
0.1 2.7
2000
2.3
1.6
0.3
1.9
2.7
1.8 0.3
1.1
3.2
1.3 0.1 1.3

1.4 0.7
5.3 2.4
1.8
0.8 18.2 2.4
4.2
1.7
0.9
4.1 24.4 0.6
2.0
1.7
2.3
0.0
2.3
1.7
1.0
0.8 1.8
3.4
0.2
0.1 0.2
1.4
1.6 1.7
1.9
1.7 0.5
2.5
2.5
0.4
3.3
2003
2.2
2.8 2.5
2.4
3.3 1.7 2.2 0.3
2004
1.0
3.5
1.0 2.4
0.2
0.6
1.4
2005
0.9
2.0
0.5
0.1
2.0
2.3
2006
1.8
0.0
1.9
1.8 1.1 0.4
2007
1.6 0.6
0.8
2.8
2008
1.6
3.5 0.6 1.6
2.5
1.0
3.8
2.3 3.0
0.7
1.0 3.0
Worst.Month
3.4
AvgDD
1.71
WinLoss.Ratio
1.45
Win.Percent.Year
95.2
Profit.Factor
233.8
Avg.Len
Best.Year
24.4
Num.Trades
693
Worst.Year
1.3
0.4
2.5 11.7 1.5
0.6
0.4 0.2
0.3
2.7
1.9
0.8
1.2 13.1 0.6
1.4
1.9 1.4
0.2 3.4
4.8
2.6
2.1 11.5 4.5
1.3 0.1
4.1 1.8
0.5
1.5 2.6 1.0
1.1 2.8
1.2
1.2
2.7
0.4
6.0 5.2
1.2 0.7
1.0
3.3
1.4
9.2 1.3
0.1 0.3 1.4
1.1 4.2
1.7
1.2 0.6
0.6 2.6
0.6 1.8
2.8
3.4 2.0
0.7
0.4
0.7
0.6
1.1
1.0
1.3
1.4
100
Allocation for AVG in time
4.1 2.0
8.4 2.5
2.3
0.6
3.17
0.3
0.0 1.4
0.6
Worst.Trade
0.3
3.0 0.4
1.0
5.22
2.4
1.2 1.0
0.9
5.3
MaxDD
Exposure
1.0
Avg
Best.Month
0.1 12.1 1.5
1.3 0.1
0.6
Win.Percent.Month
6.65
2.5
7.7 1.2
1.7
0.5
Best.Trade
0.6 1.5
0.7
2016
Avg.Loss
5.61
1.5
0.9
0.6
1.77
0.4
2.2
73.2
Volatility
2.61
1.3 0.3 0.9
1.5 1.1
72.7
Period
Win.Percent.Day
DVR
CVaR
0.2
2.0 0.8
3.4
1.8 13.9 2.4
0.1
3.2 0.4
5.3
Worst.Day
3.0
3.9
1.3
Best.Day
0.8
0.2
0.1 0.9
2015
0.3
Avg.Win
3.0
2.4
2014
Avg.Trade
1.8
Sharpe
0.0
2.2 2.1
1.5
10.39
Cagr
2.14
3.9
2.4
61.8
Trade
VaR
1.7 0.9
2013
Win.Percent
3.9 13.7 4.1
1.4
0.8
Dec1996 Feb2016
1.0
1.7
2012
36.40%
System
2.9
0.7
0.2
GLOBALRISKPARITY
Period
1.2
0.2
2011
35.16%
AVG
3.7 21.0 1.1
0.2
1.0
EQUITYMARKETNEUTRAL
2015
2.6 1.0 0.1
0.2
0.7
28.44%
2.6 10.0 2.3
0.9
0.2
MGDFUTURES
8.7 2.7
0.3 2.5
2010
0.3 0.2
0.6
0.0
2.6
1.2
0.6 0.6
0.2
MaxDD
0.8 0.6
2002
2.1
1.0 2.0
1.4
0.9
2001
2009
Year
0.0
1996
1997
20160201
80
60
2000
AVG
100
GLOBALRISKPARITY
EQUITYMARKETNEUTRAL
MGDFUTURES
0.0
9.6 2.1
21% MGDFUTURES
AVG
weight
entry.date
exit.date
nhold
return
EQUITYMARKETNEUTRAL
40.7
20150701
20150801
2678400
10.54
10.61
0.26
GLOBALRISKPARITY
47.2
20150701
20150801
2678400
9.23
8.80
2.21
MGDFUTURES
15.2
20150801
20150901
2678400
10.30
10.56
0.37
EQUITYMARKETNEUTRAL
41.0
20150801
20150901
2678400
10.61
11.23
2.37
GLOBALRISKPARITY
43.8
20150801
20150901
2678400
8.80
8.81
0.05
MGDFUTURES
22.6
20150901
20151001
2592000
10.56
10.20
0.76
EQUITYMARKETNEUTRAL
30.5
20150901
20151001
2592000
11.23
11.23
0.03
GLOBALRISKPARITY
46.9
20150901
20151001
2592000
8.81
8.96
0.80
MGDFUTURES
25.3
20151001
20151101
2678400
10.20
10.38
0.44
EQUITYMARKETNEUTRAL
28.9
20151001
20151101
2678400
11.23
11.27
0.10
GLOBALRISKPARITY
45.8
20151001
20151101
2678400
8.96
8.80
0.82
MGDFUTURES
23.6
20151101
20151201
2592000
10.38
10.18
0.45
EQUITYMARKETNEUTRAL
31.1
20151101
20151201
2592000
11.27
11.48
0.57
GLOBALRISKPARITY
45.2
20151101
20151201
2592000
8.80
8.51
1.48
MGDFUTURES
29.8
20151201
20160101
2678400
10.18
10.39
0.61
EQUITYMARKETNEUTRAL
29.2
20151201
20160101
2678400
11.48
11.73
0.64
GLOBALRISKPARITY
41.0
20151201
20160101
2678400
8.51
8.61
0.48
MGDFUTURES
28.4
20160101
20160201
2678400
10.39
10.77
1.04
EQUITYMARKETNEUTRAL
35.2
20160101
20160201
2678400
11.73
11.61
0.36
GLOBALRISKPARITY
36.4
20160101
20160201
2678400
8.61
8.59
0.08
Average Annual Portfolio Turnover
490.5
426.6
400
346.9
343.9
343.9
300
218.3
200
203.8
159
100
28.6
AVG
MS
MCE
MC2
MC
MD
MV
RP
EW

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Asset Perfromance

Transition Map for bench.60.40

4.7 24.2 29.1

Allocation for bench.60.40 in time

Transition Map for EW

1.0 21.5 2.8

3.9 23.8 0.5

0.6 0.1 1.2

3.9 10.3 3.4

2.8 3.0 0.3

3.6 1.5 0.2

4.1 24.2 1.7

4.9 1.5 2.2

4.2 18.1 3.7

1.5 0.3 0.7

1.1 1.9 0.9

1.0 2.3 2.1

3.6 0.5 2.2

0.1 0.3 0.3 0.5

1.8 16.9 3.9

0.6 10.5 2.4

1.9 16.6 2.7

1.4 0.2 1.2

2.7 0.4 0.1 1.3

1.1 2.5 2.0

4.0 0.4 0.5

1.6 10.3 2.5

Allocation for EW in time

Transition Map for RP

0.4 0.3 1.2

0.7 18.3 2.5

4.0 22.7 0.5

0.1 11.8 1.6

1.5 11.4 1.6

1.4 11.6 1.6

1.7 1.2 0.4

0.9 1.0 0.5

3.6 0.5 2.0

0.4 0.7 0.7 0.8

1.5 0.3 1.0

0.9 2.8 2.1

2.8 0.3 0.1 1.4

2.8 0.3 0.1 1.1

Allocation for RP in time

1.8 15.3 2.9

1.7 0.9 0.1

3.6 13.8 3.9

4.0 1.6 2.2 0.2

2.8 10.1 2.2

3.4 22.0 1.4

2.6 1.3 0.1

Transition Map for MV

2.5 0.6 0.7

0.0 17.1 1.8

3.9 22.4 0.8

1.0 10.3 2.4

1.5 0.1 2.0

1.3 0.4 1.2

1.7 1.8 2.1 1.3

1.9 11.7 2.1

0.6 0.4 12.7 1.1

3.5 13.0 2.5

1.5 13.9 0.5

3.6 0.5 1.2