Hypothetical Performance

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE 15 FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACTOF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE,THE ABILITY TO WITHSTAND LOSSES OR ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADINGLOSSES ARE MATERIAL POINTS WHICH CAN ALSOADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

CYGNUS HAS HAD LITTLE OR NO EXPERIENCE IN TRADING ACTUAL ACCOUNTS FOR ITSELF OF FOR CUSTOMERS. BECAUSE THERE ARE (LITTLE OR) NO ACTUAL TRADING RESULTS TO COMPARE TO THE HYPOTHETICAL RESULTS, CUSTOMERS SHOULD BE PARTICULARLY WARY OF PLACING UNDUE RELIANCE ON THESE HYPOTHETICAL PERFORMANCE RESULTS.

HYPOTHETICAL PERFORMANCE

CYGNUS’S algorithms have been “back tested” using actual market data provided directly by Interactive Data under various scenarios for a 5-year “look back” period. Hypothetical results are listed below:


Monthly performance

Year Jan Feb Mar April May June July Aug Sep Oct Nov Dec YTD
2011 0.96% 2.50% 0.21% 4.12% -4.15% -0.91 % 2.48% 2.19% 7.06% -6.87% 0.82% 1.11% 9.17%
2012 -1.49 % 3.37% 1.31% 0.28% 7.49% -5.72 % 3.96% 0.08% 1.39% -0.45 % 1.23% 3.57% 15.41%
2013 3.21% 0.11% 1.85% 1.64% 3.51% 1.16% 2.62% -0.29% -0.84% 0.13% 2.74% 4.35% 21.99%
2014 -3.03% 0.41% -0.07% -0.12% 0.42% 2.27% 1.93% 3.46% 7.19% -1.23% 5.24% 3.04% 20.88%
2015 11.07% -5.95% 4.28% -7.89% 1.69% 1.75% 3.20% -0.29% 0.47% -1.08% 2.24% 0.58% 9.19%
2016 -0.17% 2.90% 2.00% 2.72% -1.16% 0.83% -0.72% 0.60% 0.25% 0.66% 3.46% 1.62% 13.64%
2017 -4.68 -0.69 -1.51 0.15 0.55 0.28 2.66 0.88 -5.27

Comparsion with S&P


Ratios

Compounded RoR 14.57 Max DD 10.84 Longest DD period (months) 3.00
Annualized Volatility 3.11 Sharpe Ratio 3.08 Sterling Ratio 0.95
Sortino Ratio NA MAR Ratio 1.34 % Months Profitable 72.46
Avg Monthly RoR 1.17 Avg Winning Month RoR 2.33 Avg Losing Month RoR -1.91
Worst 12 Months -1.37 Average Margin Used 5.36 Total RoR 116.48


Risk Disclosure Statement

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