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Acorn Global Investments 

The Acorn Diversified Program

Manager: Jason Russell

Address: 1267 Cornwall Road, Suite 201, Oakville, ON, L6J 7T5, Canada

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CPO
Inception Date:Jul 1, 2005
AUM:$65,000,000
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:1%
Min Investment:$10,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:89.68%100.13%
Annual ROR:5.56%6.04%
YTD:-17.25%6.49%
1 Year:-27.44%15.44%
Alpha:0.17
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:3.71%3634.26%
Average Monthly Loss:-3.40%-2.60%
Winning Months:79110
Losing Months:6332
Current DD:30.810.00
Max DD:30.8152.56
Sharpe Ratio (RF 1%):0.29
Annualized Std Dev:15.85

Methodology

Discretionary:5%
Systematic:95%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodLong & Short Term
---------------------------
Counter Trend:20%
Momentum:20%
Pattern Recognition:10%
Quantitative:20%
Technical Analysis:10%
Trend Following:20%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2017-3.91-5.58-4.57-4.42-17.25
20169.394.11-1.92-2.78-3.133.76-0.74-3.44-8.25-0.202.97-3.47-4.78
20153.472.361.44-3.070.12-3.963.061.61-4.11-5.724.56-3.33-4.18
20140.2411.52-1.16-3.29-4.98-2.056.111.045.01-0.406.512.0021.16
20137.51-4.504.113.782.47-0.21-0.070.14-7.192.200.551.179.53
2012-2.32-4.101.06-3.0610.03-2.211.59-2.579.89-2.99-0.08-1.892.14
2011-2.092.62-1.686.18-2.95-6.824.253.08-0.49-5.720.72-1.42-5.05
2010-3.72-0.692.64-2.822.342.02-1.255.842.932.81-2.387.5615.64
20090.000.000.000.000.000.00-4.312.891.00-2.08-5.502.20-5.96
200811.7612.103.98-2.38-3.217.082.02-1.81-11.645.22-0.380.0022.28
20072.10-4.43-4.284.211.332.50-4.351.8512.071.446.73-0.4418.97
20068.460.277.043.78-5.78-4.32-13.80-0.862.944.803.333.036.89
20052.394.171.59-7.026.987.0915.42

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

Our Philosophy
Markets are dynamic, with an open and rich ecosystem where many known and unknown elements continually interact and influence each other. Understanding, and accepting this instils in us respect and humility for the complexity of markets.

Rather than knowing why a market "should" move, our philosophy is to step back and observe markets for early evidence of actual movement, such as exponential growth. Such observable opportunities present themselves as the elements, relationships, feedback loops, and lags that influence market movements evolve, change and organize over time.

Our Process
Acting upon every opportunity we identify produces positive results over time. However, our experience and research shows that filtering opportunities through a variety of environments and conditions is beneficial. The probability that an opportunity will be realized, the magnitude of the opportunity and the frequency with which opportunities appear all vary based on these environments and conditions.

Balancing the opportunities, conservatively sizing our exposures, and continually monitoring the portfolio helps to ensure that we deliver on our volatility target. Furthermore, with an exit strategy defined daily for every investment, losers get naturally eliminated while winners stay.

Disclaimer
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS. The Acorn Diversified Program is managed by Acorn Global Investments Inc. The performance here reflects the performance of the BTR Global Macro Fund from July 2005 - November 2008, which used the same investment decision maker, process, objective and strategy as the Acorn Diversified Trust has since commencing operations in July 2009. The performance includes a transition period between December 2008 - June 2009 where no trading took place. Records which document and support this performance are available upon request. The returns above are net of 2% management fees and 20% performance fees until September 2010 and 1% management fees and 20% performance fees thereafter. The information contained here, including estimates (e), is subject to change without notice and Acorn Global Investments Inc. will not be held liable for any inaccuracies or misprints. Important information about the Acorn Diversified Trust including risks, objective, strategy and fees is contained in the offering memorandum. This is not and may not be used as a recommendation or a solicitation.

Company Info

Acorn Global Investments, founded in 2005, is an alternative investment manager that identifies early stage opportunities in global futures markets. Our objective is to deliver long-term capital appreciation with low correlation to equity, bond and real estate investments. With institutional infrastructure and extensive experience, we serve institutions, advisors and individuals from around the world. Acorn has two offices in Canada, located in Oakville, Ontario, and in Montreal, Quebec.

Manager Info

Jason Russell, CFA
President and Chief Investment Officer
jason.russell@acorn.ca

As President, Jason leads the Acorn team in systematically and efficiently executing operations, business development and compliance in alignment with our business plan.

As Chief Investment Officer, he ensures that Acorn remains focused on its mission of maximizing returns for our investors. Jason developed the core systems and strategies that continue to be refined and improved upon today. He oversees trading and execution and works closely with the research team to continually innovate and test research ideas.

Jason is a Chartered Financial Analyst (CFA) with over 20 years of investment experience and education. He is a member of the Alternative Investment Management Association (AIMA) where he has served on the Research and Education Committee as well as the Managed Futures Committee.