Important notice

Prospective clients should read Transtrend’s latest commodity trading advisor disclosure document (Disclosure Document) or the relevant fund documentation. The performance overview that these notes form part of are for informational purposes only and do not constitute a solicitation to open an account advised by Transtrend or to invest in a fund for which Transtrend acts as commodity trading advisor or alternative investment fund manager. Trading in derivatives such as futures, forwards and swaps pursuant to one of Transtrend’s trading programs entails significant risks. No assurance can be given that a client will realize a profit on its investment or that it will not lose some, all or amounts in excess of its investment. Derivatives trading is speculative and can be highly leveraged. Derivatives prices are volatile. Derivatives trading may be illiquid and it may not be possible to execute a buy or a sell order due to various circumstances. An investment may be subject to substantial charges for advisory fees, brokerage commissions and taxes. Please review the Disclosure Document for a more detailed description of the principal risk factors associated with trading derivatives.

Explanatory notes to the performance data of Transtrend's Diversified Trend Program

  • These explanatory notes are an integral part of the performance data presented.
  • Transtrend’s Diversified Trend Program has two risk profiles investable in various currencies. In the performance overview, Transtrend provides composite rates of return data of one or more subsets.
  • The composite rate of return reflects the pro forma net performance for the period divided by the aggregate Nominal Account Size at the beginning of such period. Nominal Account Size means the account size agreed to by the client and Transtrend that establishes the level of trading. Accounts in which the Nominal Account Size exceeds the amount of the Actual Funds are Partially-Funded Accounts and such excess is defined as Notional Funds. Drawdown is expressed as a percentage of the aggregate Nominal Account Size and is based on monthly returns. Peak-to-valley drawdowns based on daily returns are generally larger than peak-to-valley drawdowns based on monthly returns.
  • Up to July 2003, an adjusted aggregate Nominal Account Size was calculated in certain months to take account of instructions to increase or decrease the Nominal Account Size of an individual account intra-month, although in certain instances the composite rate of return was calculated by excluding accounts with significant instructed increases or decreases of the Nominal Account Size which would materially distort the composite rate of return. As of July 2003, composite rates of return are calculated on a daily basis which compound to a monthly return. Thus, instructed increases or decreases of the Nominal Account Size of an individual account intra-month, are taken into account when they occur without distorting the monthly composite rate of return.
  • In order to aggregate and compare the performance of individual accounts a pro forma reporting format is used, i.e. a standardized format irrespective of specific terms and conditions that may govern individual accounts in practice.
  • The composite rate of return takes into account actual trading profits and losses, actual transaction costs, pro forma advisory fees (as of January 1, 2017, a monthly management fee of 1/12 of 1% of the aggregate Nominal Account Size at the beginning of the month taking into account intra-month instructed increases or decreases on a pro rata basis, and a performance fee of 20%; from January 1, 2014 until December 31, 2016 these rates were 2% and 20% and before January 1, 2014 they were 3% and 25%), pro forma operating expenses (as of January 1, 2017, 1/12 of 0.25% of the aggregate Nominal Account Size at the beginning of the month taking into account intra-month instructed increases or decreases on a pro rata basis; before January 1, 2017, operating expenses were assumed to be included in the management fee and were not separately taken into account) and pro forma interest income or expenses. Management fee and operating expenses are hurdle rates for performance fee, no performance fee on pro forma interest income and a book entry reversal of performance fee in down months are taken into account. As Transtrend is not privy in all cases to the arrangements between Transtrend’s customers and their brokers, the amount of interest income earned by such accounts is estimated at a rate relevant to the underlying currency subset of the Diversified Trend Program. Before May 1, 2004, pro forma interest income was calculated at a rate equal to 90% of the relevant 3-month interest rate on the aggregate Nominal Account Size. From May 1, 2004 until August 31, 2008, the composite rate of return included pro forma interest income at a rate equal to 90% of the relevant 3-month interest rate on Actual Funds. As of September 1, 2008, pro forma interest income on Actual Funds is calculated at a rate equal to 90% of the relevant overnight interest rate with a floor of 0%. As of January 1, 2017, in case of a negative relevant overnight interest rate, the pro forma interest expenses on Actual Funds are calculated at a rate equal to 100% of the relevant overnight interest rate.
  • A negative monthly composite rate of return is mitigated by a consistent book entry reversal of the accrued pro forma performance fees and, before May 1, 2004, by pro forma interest income on the aggregate Nominal Account Size instead of Actual Funds, irrespective whether the book entry reversal was actually effectuated or interest was actually received. A similar effect occurs for a positive monthly composite rate of return, where a consistent book entry of pro forma performance fees is made, irrespective whether the book entry was actually effectuated. The consistent book entry (reversal) of pro forma performance fees likely reduces the volatility of the composite rates of return in comparison to situations where performance fees are periodically settled. Periodic settlement of performance fees empties the performance fee reserve so that negative, or positive, rates of return occurring after the fixed settlement date will only be moderated by the give-back, or accrual, respectively, of the amount of newly built-up performance fees after this settlement date. Consistently giving back accrued pro forma performance fees in periods of negative rates of return may also result in an underestimation of drawdowns in comparison to situations where performance fees are periodically settled.
  • As the rates of the management fees and performance fees charged by Transtrend to its clients have come down considerably, the pro forma advisory fees were adjusted over the years to bring them more in line with actual advisory fees. Lowering the pro forma management fee has, with all other things being equal, the following effects: a) drawdowns will be less deep and b) the duration of peak-to-valley drawdowns may be shorter. Due to the consistent book entry (reversal) of pro forma performance fees, lowering the pro forma performance fee has, with all other things being equal, the following effects: a) drawdowns will be deeper and b) volatility will be higher.
  • The rate of return on an individual account may deviate from the composite rate of return of the subset it is part of, e.g. because of differences in Nominal Account Size, portfolio composition, advisory fee structure, currency fluctuations, actual operating expenses or the amount of Actual Funds in relation to the Nominal Account Size.
  • Transtrend’s latest Disclosure Document is available upon request. The Disclosure Document contains composite performance tables for each subset. It also provides further explanations and itemizes principal risk factors.
  • Although Transtrend has exerted great care in creating the performance overview, it cannot be held responsible for computational or clerical errors.

THE VALUE OF YOUR INVESTMENT CAN FLUCTUATE. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.