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Program Details

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THE F.A.F. QUARK FUND LIMITED 

FAF QUARK FUND

Manager: FAF FUND

Address: Frederick Street, Nassau, POBox00, Bahamas

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:May 4, 2010
AUM:$2,700,000
QEP:No
Incentive Fee:0%
Annual Mgt Fee:0%
Min Investment:$15,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:-1.41%103.56%
Annual ROR:-0.77%47.36%
YTD:0.00%7.90%
1 Year:0.00%15.09%
Alpha:7.66
Beta:-0.54
Statistics Program S&P 500
Average Monthly Gain:17.02%4.93%
Average Monthly Loss:-25.97%-3.40%
Winning Months:1711
Losing Months:511
Current DD:27.490.00
Max DD:85.3917.03
Sharpe Ratio (RF 1%):-0.01
Annualized Std Dev:139.04

Methodology

Discretionary:60%
Systematic:40%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodLong Term
---------------------------
Fundamentals:10%
Option Purchase:20%
Option Spreads:30%
Option Writing:40%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20120.18-2.14-1.96
20111.071.87-34.36-5.740.253.001.03-77.37108.9521.06123.00-10.23-23.84
20102.190.7710.739.520.131.151.892.4732.06

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Investment Objective
The principal investment objective of the fund is to achieve capital appreciation while actively managing the risk associated with the trading strategy. An annual double digit return target is envisaged, which in turn is dependent on the volatility of the underlying markets the Fund is investing in and on the investment opportunities offered by those markets the Fund is actively pursuing to invest (focus is on the main European equity markets). Based on those parameters, the Company has delegated the development and execution of the Investment Strategy to its Investment Manager, who will be responsible for its implementation to achieve the Investment Objective.
The Investment Strategy is a Strategy between MANAGED FUTURE and RELATIVE VALUE.
Most of the time our exposure is MARKET NEUTRAL and our method is basically SYSTEMATIC and QUANTITATIVE.
The target of the Investment Manager is based on identifying cyclical trends in equities and currencies, whereby the core element is the use of a revised formula based on the common CCI oscillator (Commodity Channel Index). This indicator will be used in conjunction with other indicators and it is a common valuable tool to help to identify potential changes in the direction of price movements of an asset. The trading strategy applied by the Investment Manager is dynamic and focuses on structuring of futures and option strategies to maximize returns. Such strategies will have expiry dates of approximately one month, however, where opportunities arise, the Investment Manager may make short-term structured investments with expiry scenarios of days or possibly hours.

The monitoring of each position is twofold, on the one hand it is focused on hedging the open future position and on the other hand, it is taking into account the various fundamental parameters (Delta, Gamma, Theta and Vega) of the underlying options.

Company Info

Please see www.faffund.com for company and program information as well as our most current disclosure document.

Manager Info

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