Calculation Disclaimer

DIVIDENDS ARE INCLUDED IN THE BACK TESTED PERFORMANCE RESULTS. WE HAVE ALSO CALCULATED THE NET RESULTS BY APPLYING THE HIGHEST MANAGEMENT FEE TO BE CHARGED TO ADVISORY CLIENTS. RESULTS WILL VARY BASED ON THE AMOUNT OF THE FEE APPLIED. THE RESULTS WERE ALSO CALCULATED BY REBALANCING THE LONG AND SHORT PORTFOLIOS ON A WEEKLY BASIS. THE PORTFOLIO SELECTION WAS AND WILL BE GENERATED FROM THE PROPRIETARY ACTIVE ALTS STOCK SELECTION PROCESS WHICH IS BASED ON QUANTITATIVE FACTORS AND MECHANICALLY DRIVEN.

COMMISSIONS WERE ADDED. (2) OTHER CALCULATION CRITERIA: NO TAXES WERE DEDUCTED; NO BORROWING COSTS WERE ADDED; AND NO EX-DIVIDEND COSTS WERE INCLUDED FROM THE SHORT PORTFOLIO. 

INDICES ARE NOT INDICATIVE OF THE STRATEGY AND MAY NOT BE SUITABLE FOR COMPARISON PURPOSES. BACK TESTED RETURNS SHOULD NOT BE CONSIDERED INDICATIVE OF THE SKILL OF AN INVESTMENT ADVISER.

THE DATA AND ANALYSIS CONTAINED WITHIN ARE PROVIDED “AS IS” AND WITHOUT WARRANTY OF ANY KIND, EITHER EXPRESSED OR IMPLIED. THE INFORMATION IS BASED ON DATA BELIEVED TO BE RELIABLE, BUT IT IS NOT GUARANTEED. SENTIMENTRADER DISCLAIMS ANY AND ALL EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, ANY WARRANTIES OF MERCHANTABILITY, SUITABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE. INVESTORS SHOULD CONSULT THEIR TAX ADVISORS BEFORE MAKING INVESTMENT DECISIONS, AS WELL AS REALIZE THAT PAST PERFORMANCE AND RESULTS OF THE MODEL ARE NOT A GUARANTEE OF FUTURE RESULTS. THE ACTIVE ALTS SENTIMENTRADER L/S STRATEGY MODEL IS NOT INTENDED TO BE THE PRIMARY BASIS FOR INVESTMENT DECISIONS AND THE USAGE OF THE MODEL DOES NOT ADDRESS THE SUITABILITY OF ANY PARTICULAR INVESTMENT FOR ANY PARTICULAR INVESTOR.

DOWNSIDE DEVIATION IS A MEASURE OF DOWNSIDE RISK THAT FOCUSES ON RETURNS THAT SELL BELOW A MINIMUM THRESHOLD OF A MINIMAL ACCEPTABLE RETURN (MAR).

SHARPE RATIO IS THE AVERAGE RETURN EARNED IN EXCESS OF THE RISK FREE RATE PER UNIT OF VOLATILITY OF RISK.

TIME TO RECOVERY IS THE DURATION OF TIME IT TAKES TO RESTORE THE VALUE LOST.

BETA IS A MEASURE OF A STOCK’S VOLATILITY IN RELATION TO THE MARKET. BY DEFINITION, THE MARKET HAS A BETA OF 1.0, AND INDIVIDUAL STOCKS ARE RANKED ACCORDING TO HOW MUCH THEY DEVIATE FROM THE MARKET. A STOCK THAT SWINGS MORE THAN THE MARKET OVER TIME HAS A BETAABOVE 1.0.

ANNUALIZED VOLATILITY - HISTORIC VOLATILITY MEASURES A TIME SERIES OF PAST MARKET PRICES. IMPLIED VOLATILITY LOOKS FORWARD IN TIME, BEING DERIVED FROM THE MARKET PRICE OF A MARKET-TRADED DERIVATIVE (IN PARTICULAR, AN OPTION).

MAX DRAWDOWN IS AN INDICATOR OF THE RISK OF A PORTFOLIO CHOSEN BASED ON A CERTAIN STRATEGY. IT MEASURES THE LARGESTSINGLE DROP FROM PEAK TO BOTTOM IN THE VALUE OF A PORTFOLIO (BEFORE A NEW PEAK IS ACHIEVED).

(1) INDICATORS DRIVE THE EXPOSURE WHILE A PROPRIETARY LONG & SHORT PORTFOLIO ARE REBALANCED MONTHLY FOR THE STRATEGIES EQUITY DRIVERS.

(2) COMMISSIONS WERE ADDED TO THE EXPOSURE REBALANCE AS WELL AS THE MONTHLY STOCK REBALANCE.