The rates of monthly return are calculated by the independent CPA/administrator firm, in accordance with CFTC Regulation 4.35 and NFA Rule 2-34. SMAs have been traded continuously from July of 2008 to the present, and traded parallel to the fund, HiProb-I Fund LP, since December of 2016. After 2016 December, rates of returns are the results of the fund, the rest are the results of SMAs.

We often preserve capital in cash so that potential losses and max draw-down can be controlled within an acceptable level. Based on market volatility, we utilize our proprietary algorithms to determine likely limit of index futures and dynamically hedges positions with index futures and options. Our hedging technique aims to protect us from losing more than 4% of total capital in a given day and 7% in a worst day.

To evaluate actual performance in a meaningful way, the data is presented below in a form of relative frequency distribution of daily return. From a point view of Probability and Statistics, the center of the relative frequency distribution may be used as a measure of average daily profits; the width of the relative frequency distribution may be used to measure dispersion of observed rates of return and reflects potential risks.

As a benchmark, since July of 2008, S&P500 has achieved a total net profit of 97.76% (1084.26 - 986.50 = 97.76) by experiencing a total loss of 986.50%, and resulted in a tiny (0.0373%) average daily return and a huge standard deviation of 1.2608%. For the overall market, the observed Profit/Loss ratio (total profits divided by total losses) of 1.10:1 suggests that the probabilities for profit and loss are approximately equal most of the time.

In comparison, HiProb-I aims at risk-weighted absolute returns , increased potential return with reduced risks. To avoid unnecessary market risks, the strategy often preserved capitals in cash most of the time. As shown in the Table above, HiProb-I has achieved a total net profit of 224.03% (388.62 - 164.60 = 224.03) by experiencing a total loss of 164.60 % (over 80% less than that of S&P500, 986.50% ), and resulted in an average daily return of 0.1421% (about 3.75 times more than that of S&P500, 0.0373%) and standard deviation (a measure of volatility) of 0.5728% (over 50% less than that of S&P500, 1.2608%). It achieves a probability weighted total Profit/Loss of 2.36:1 (in comparison with 1.10:1 for S&P500). It achieves much consistent monthly returns by focusing on high-probability opportunities only . As a result, low volatility has been achieved by preserving capital in cash most of time. In fact, about 40% of days since the inception, our capital was preserved in 100% cash (no trade or position at all). Compared with popular portfolio approaches, we believe that preserving capital in cash may significantly reduce various market risks.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

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BARCLAYHEDGE DATABASE MAY NOT REPRESENT THE ENTIRE UNIVERSE OF CTAS. THE ADEQUACY, ACCURACY, OR COMPLETENESS OF THE BARCLAYHEDGE DATABASE MAY NOT BE INDEPENDENTLY VERIFIED.