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Integrated Managed Futures 

IMFC Global Concentrated Program

Manager: roland austrup

Address: 70 University Avenue, suite 1200, Toronto, m5j2m4, Canada

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Apr 3, 2009
AUM:$1,332,398
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$500,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:-5.92%196.13%
Annual ROR:-0.76%14.53%
YTD:-4.95%5.53%
1 Year:-21.86%14.71%
Alpha:-0.15
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:2.70%1011.83%
Average Monthly Loss:-2.13%-2.60%
Winning Months:4264
Losing Months:5432
Current DD:31.780.04
Max DD:31.7817.03
Sharpe Ratio (RF 1%):-0.16
Annualized Std Dev:11.27

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodLong Term
---------------------------
Trend Following:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2017-0.22-0.76-4.01-4.95
20161.441.68-2.83-3.52-2.956.36-2.15-3.57-3.73-3.70-4.83-0.85-17.61
201510.18-1.58-1.45-2.400.55-1.941.61-1.46-0.96-2.78-0.25-2.95-4.02
2014-2.800.56-2.73-0.05-0.500.383.353.072.01-0.776.303.1112.17
20135.39-0.380.342.37-1.41-0.19-2.71-5.361.791.332.300.543.66
2012-0.72-2.38-2.461.497.58-4.270.92-0.26-4.45-4.36-1.770.51-10.27
2011-1.520.51-2.230.99-1.58-1.381.033.34-0.05-2.30-0.41-0.11-3.79
2010-2.380.351.78-3.44-0.480.81-1.457.590.475.41-0.601.669.60
20090.570.181.071.4011.622.22-4.617.44-5.7813.76

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

The IMFC Global Concentrated Program is a derivative of the IMFC Global Investment Program in that it selects trades from the IMFC Global Investment Program by utilizing an additional algorithm that measures the confidence of trading signals and risk budgets generated by the IMFC Global Investment Program. The IMFC Global Concentrated Program only initiates positions in a market if the underlying trading signals and risk budgets meet certain threshold levels of confidence or strength. Position sizes are then calibrated based on the volatilities and correlations of markets offering current positions and a long term average portfolio downside deviation target of less than 13%.


As a result of the additional "confidence" algorithm, some of the key differences between the IMFC Global Investment Program and the IMFC Global Concentrated Program include, but are not limited to the following:

Lower Minimum Account Size: the IMFC Global Concentrated Program can be traded with a trading level of $500,000 versus a $2 million minimum for the IMFC Global Investment Program.

Lower Exposure: the IMFC Global Concentrated Program is expected to have lower overall market exposure than the IMFC Global Investment Program, as measured by both number of contracts held in an account and by margin-to-equity ratios. IMFC believes that this lower level of market exposure will be particularly evident during periods of underperformance for the IMFC Global Investment Program and managed futures in general, such as what just occurred in April 2009, potentially resulting in fewer left tail events or fewer 'larger than statistically normal' drawdowns;

Portfolio Concentration: the IMFC Global Concentrated Program is expected to have a greater concentration of positions and, therefore, less diversification than the IMFC Global Investment Program. As a result, IMFC expects that the IMFC Global Concentrated Program will likely experience slightly lower Sortino and Omega ratios than the IMFC Global Investment Program over the long term.

Company Info

IMFC, a Toronto-based CTA , is part of Integrated Asset Management Corp., a leading Canadian alternative asset management company with approximately $2.3 billion in assets and committed capital under management.

IMFC focuses on extremely long-term price trends that generally last one year or longer, with the objective of realizing superior absolute and risk-adjusted returns. IMFC's portfolios are broadly diversified across industrial, agricultural and financial sectors, allocated 50% to financial futures and 50% to physical commodities.

Manager Info

CEO & CIO, Director
Registered with the Commodity Futures Trading Commission (CFTC) in the United States as an Associated Person and Principal since June 1997 and with the Ontario Securities Commission (OSC) as an Advisor since February 1999. Mr. Austrup is an associate member of the National Futures Association and a member of the Managed Funds Association. Mr. Austrup is also a member of the advisory board of the Centre for Advanced Studies in Finance (CASF) at the University of Waterloo. CASF provides the focus for research and education in the finance discipline at the University, co-ordinates and supports the Collaborative Master's Program in Finance, and stimulates and promotes research in finance. Previously, Mr. Austrup was President, CEO and a co-founder of Aero Capital Corporation (a formerly registered commodity trading advisor and Member of NFA) and, prior to that, Mr. Austrup was an investment advisor with BMO Nesbitt Burns from 1991 to 1996 and a commodities broker with ScotiaMcLeod from 1988 to 1990. B.A. (Honours), University of Western Ontario.