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| Program | Trading Inception | Portfolio Inception | Nominal Level | Cash Invested | Return Type | Retrun Source | Trading Style |
|---|---|---|---|---|---|---|---|
| X4 | September 2013 | September 2013 | $25,000 | $25,000 | Compound | Client | Short Term Momentum |
| iShares ITOT | January 2000 | September 2013 | $25,000 | $25,000 | Compound | NAV | Total Stock Market Exposure |
Historical Hypothetical Pro-Forma Performance
| Portfolio | S&P | MSCI | 60/40 | Perm Port | AWP | |
|---|---|---|---|---|---|---|
| Latest MTD ROR | 1.05% | -0.32% | 0.98% | -0.29% | 0.62% | -0.82% |
| YTD ROR | 23.44% | 16.08% | 30.53% | 12.86% | 22.76% | 13.02% |
| Total Return | 600.73% | 318.10% | 129.57% | 198.59% | 130.10% | 103.61% |
| Annualized ROR | 17.10% | 12.30% | 6.97% | 9.27% | 6.99% | 5.93% |
| Annualized Vol | 10.75% | 17.94% | 14.39% | 10.33% | 6.59% | 7.68% |
| Sharpe Ratio | 1.27 | 0.88 | 0.54 | 0.96 | 1.02 | 0.77 |
| Sortino Ratio | 0.71 | 0.37 | 0.21 | 0.42 | 0.52 | 0.34 |
| Max DD (Monthly Basis) | -14.82% | -24.77% | -28.35% | -20.74% | -15.61% | -20.10% |
| Max DD (Daily Basis) | -17.75% | -33.92% | -35.93% | -21.54% | -17.28% | -22.39% |
| Current Drawdown | 0.00% | -0.32% | 0.00% | -0.29% | 0.00% | -0.82% |
| Correlation to S&P | 0.55 | 1.00 | 0.84 | 0.98 | 0.58 | 0.69 |
| Correlation to CTA | ----- | 0.55 | 0.42 | 0.54 | 0.37 | 0.40 |
| Date of Update | 2025-12-12 | 2025-12-12 | 2025-12-15 | 2024-02-28 | 2025-12-15 | 2025-12-15 |
Hypothetical Monthly Compounded ROR
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Year | DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2013 | -5.02% | 12.25% | 11.44% | 1.37% | 20.43% | -5.02% | ||||||||
| 2014 | 3.32% | 8.45% | 2.42% | -3.83% | 1.57% | 1.25% | 0.11% | 1.27% | -0.16% | 7.30% | 1.37% | -0.12% | 24.81% | -3.83% |
| 2015 | -1.71% | 6.25% | 3.72% | -1.75% | 1.06% | -3.84% | 1.22% | -6.02% | -0.64% | 6.89% | 0.45% | -3.92% | 0.83% | -9.77% |
| 2016 | 2.67% | 2.88% | 4.95% | -4.76% | -0.48% | -5.25% | 1.39% | -6.45% | 6.87% | -3.13% | 7.63% | 5.40% | 10.90% | -14.82% |
| 2017 | -3.56% | 6.42% | 6.82% | 1.47% | -4.05% | 1.42% | 0.86% | 1.65% | -0.12% | 2.95% | -1.94% | 3.06% | 15.34% | -4.05% |
| 2018 | 4.99% | -2.39% | -0.98% | 0.18% | 1.38% | 0.33% | 1.68% | 1.76% | -1.31% | 1.67% | 5.14% | -0.39% | 12.41% | -3.35% |
| 2019 | 2.93% | -1.54% | -3.14% | -3.29% | -4.05% | 4.00% | 4.11% | 1.13% | 6.09% | 1.61% | 1.11% | 6.64% | 15.93% | -11.51% |
| 2020 | 8.72% | -4.05% | -3.38% | 11.26% | 8.63% | 4.13% | 4.60% | 0.48% | -1.38% | -2.01% | 0.94% | 2.01% | 32.69% | -7.29% |
| 2021 | 2.26% | 3.82% | 4.44% | 5.48% | -0.26% | 0.70% | 4.53% | -0.46% | -2.71% | 2.67% | -2.67% | 3.29% | 22.74% | -3.23% |
| 2022 | 4.95% | 5.78% | 3.24% | -0.38% | -4.75% | -6.85% | 7.90% | 0.00% | -5.66% | 7.61% | 0.13% | -1.18% | 9.80% | -11.61% |
| 2023 | 5.75% | -4.23% | 2.94% | -0.08% | -0.47% | 3.38% | 0.86% | -0.96% | -5.69% | -2.09% | 7.16% | 4.81% | 11.06% | -8.54% |
| 2024 | -0.73% | 2.89% | -0.44% | -0.95% | 5.02% | 0.01% | -0.81% | 2.07% | 0.79% | 0.38% | 3.97% | 0.41% | 13.14% | -1.39% |
| 2025 | 1.67% | -1.82% | 0.52% | 3.78% | 3.63% | 3.12% | 2.03% | 2.58% | 2.03% | 2.36% | 0.43% | 1.05% | 23.44% | -1.82% |
THIS COMPOSITE PERFORMANCE RECORD IS HYPOTHETICAL AND THESE TRADING ADVISORS HAVE NOT TRADED TOGETHER IN THE MANNER SHOWN IN THE COMPOSITE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY MULTI-ADVISOR MANAGED ACCOUNT OR POOL WILL OR IS LIKELY TO ACHIEVE A COMPOSITE PERFORMANCE RECORD SIMILAR TO THAT SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD AND THE ACTUAL RECORD SUBSEQUENTLY ACHIEVED. ONE OF THE LIMITATIONS OF A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD IS THAT DECISIONS RELATING TO THE SELECTION OF TRADING ADVISORS AND THE ALLOCATION OF ASSETS AMONG THOSE TRADING ADVISORS WERE MADE WITH THE BENEFIT OF HINDSIGHT BASED UPON THE HISTORICAL RATES OF RETURN OF THE SELECTED TRADING ADVISORS. THEREFORE, COMPOSITE PERFORMANCE RECORDS INVARIABLY SHOW POSITIVE RATES OF RETURN. ANOTHER INHERENT LIMITATION ON THESE RESULTS IS THAT THE ALLOCATION DECISIONS REFLECTED IN THE PERFORMANCE RECORD WERE NOT MADE UNDER ACTUAL MARKET CONDITIONS AND, THEREFORE, CANNOT COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FURTHERMORE, THE COMPOSITE PERFORMANCE RECORD MAY BE DISTORTED BECAUSE THE ALLOCATION OF ASSETS CHANGES FROM TIME TO TIME AND THESE ADJUSTMENTS ARE NOT REFLECTED IN THE COMPOSITE.
X4 + iShares ITOT ETF
This analysis compares a hypothetical composite portfolio of $25K invested in SIF’s X4 program and $25K invested in the iShares ITOT Total Stock Market ETF, combined into a $100K equally weighted portfolio.
We then compare the performance of this portfolio with several popular static asset allocation models, including a 60/40 portfolio, Ray Dailo’s popular All Weather Portfolio and Harry Browne’s Permanent Portfolio. The analysis shows that our hypothetical portfolio delivered equity-like returns with bond fund-like drawdowns during one of the most challenging periods in the history of US equity markets.
Combining an investment with no correlation to US Stocks (X4) and a broad stock market investment (ITOT), this portfolio is designed with the goal of delivering lower volatility and lower drawdowns than typical equity index investments, yet still with the potential for equity-like returns regardless of market condition. We invite you to consider this allocation for your portfolio. (See disclaimers below).
DRAWDOWN COMPARISON
This chart compares the drawdowns of this hypothetical portfolio with the above portfolios, global stocks, bonds and other CTAs.
Drawdown ROR above is based on actual monthly compound returns net of all fees and compound ROR as reported by the indexes. Please see the disclosures below for information on how these returns were computed.
Daily hypothetical ROR is s based on actual monthly compound returns net of all fees. Please see the disclosures below for how these numbers were computed. Please see the disclosures below for information on how these returns were computed.
THIS COMPOSITE PERFORMANCE RECORD IS HYPOTHETICAL AND THESE TRADING ADVISORS HAVE NOT TRADED TOGETHER IN THE MANNER SHOWN IN THE COMPOSITE. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY MULTI-ADVISOR MANAGED ACCOUNT OR POOL WILL OR IS LIKELY TO ACHIEVE A COMPOSITE PERFORMANCE RECORD SIMILAR TO THAT SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD AND THE ACTUAL RECORD SUBSEQUENTLY ACHIEVED. ONE OF THE LIMITATIONS OF A HYPOTHETICAL COMPOSITE PERFORMANCE RECORD IS THAT DECISIONS RELATING TO THE SELECTION OF TRADING ADVISORS AND THE ALLOCATION OF ASSETS AMONG THOSE TRADING ADVISORS WERE MADE WITH THE BENEFIT OF HINDSIGHT BASED UPON THE HISTORICAL RATES OF RETURN OF THE SELECTED TRADING ADVISORS. THEREFORE, COMPOSITE PERFORMANCE RECORDS INVARIABLY SHOW POSITIVE RATES OF RETURN. ANOTHER INHERENT LIMITATION ON THESE RESULTS IS THAT THE ALLOCATION DECISIONS REFLECTED IN THE PERFORMANCE RECORD WERE NOT MADE UNDER ACTUAL MARKET CONDITIONS AND, THEREFORE, CANNOT COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FURTHERMORE, THE COMPOSITE PERFORMANCE RECORD MAY BE DISTORTED BECAUSE THE ALLOCATION OF ASSETS CHANGES FROM TIME TO TIME AND THESE ADJUSTMENTS ARE NOT REFLECTED IN THE COMPOSITE.
Accounting Notes:
Results above are of a hypothetical composite $50K portfolio combining a $25K investment in both the SIF Trading Systems X4 trading program and the iShares ITOT Core S&P Total US Stock Market ETF using net of all fee actual returns for each program. The monthly profit and loss (P&L) for each program is calculated by creating a tracking account with a $25K starting nominal investment for each program and multiplying each investment’s net of fee rate of return by the nominal trading level of each tracking account at the prior month end. Trading P&L is reinvested in each program’s individual tracking account of the portfolio for each period. The portfolio is rebalanced annually to equal weighting on the first trading day of each year. Rates of return for the composite portfolio are presented in a compounded format by combining the net P&L from each tracking account and dividing by the portfolio trading level. X4’s results are client composite results, net of a $16 round turn commission and a monthly subsription fee of $100 amortized daily. The expense ratio for the ITOT is generally 0.03% and commissions at most brokers rage from $0 to $7 per order, please refer to the ITOT prospectus for more information. A $0 commission is assumed for the ITOT tracking account. Please review the returns of each individual program in this portfolio on subsequent pages of this document, as well as the disclosure document for each program. Returns are considered hypothetical as the programs have not traded together in the manner shown above. DISCLAIMER: Past performance is not necessarily indicative of future results. There is always a risk of loss in futures trading. Actual returns may differ from reported results due to differences in contribution dates, commission and fee structures. The above benchmark portfolios are for illustrative purposes only. Be advised that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. Further, there can be limitations and biases to indices such as survivorship, self reporting and instant history. No warranty, representation or guarantee is made with regard to the accuracy of index data. Please review the subsequent disclosures on the following pages regarding the components and calculation of these portfolios. THIS COMMUNICATION IS NOT TO BE CONSTRUED AS AN OFFER TO SELL OR THE SOLICITATION OF AN OFFER TO INVEST IN ANY MANAGED FUTURES PRODUCT. ANY SUCH OFFER OR SOLICITATION CAN BE MADE ONLY BY MEANS OF A DISCLOSURE DOCUMENT AND ADVISOR AGREEMENT (WHICH CONTAIN A DETAILED DESCRIPTION OF RISK FACTORS).
This analysis compares a hypothetical portfolio of trading programs to hypothetical portfolios which recreate several popular static asset allocation models, as well as a few benchmarks. To replicate the performance of these portfolios, we create a hypothetical tracking account for each portfolio and benchmark. Each tracking account allocates hypothetical capital to exchange traded funds or a benchmark index representing the asset classes in the allocation model. The rate of return for each allocation for each period (daily and monthly) is determined by multiplying the compound rate of return for each asset (inclusive of amortized dividends, distributions and fees, exclusive of trading commissions as these funds trade commission free) to the ending nominal balance for the allocation for the prior period (daily or monthly). The rate of return for the portfolio is computed by adding up the profits and losses for each allocation and dividing by the ending nominal portfolio balance for the prior period. Whenever possible, we use Blackrock’s iShares ETFs in our hypothetical portfolios, given their liquidity, transparency and cost-effectiveness. Profits and losses are reinvested in each allocation and on an annual basis each portfolio is rebalanced to its original weighting. The constituents and investability of each portfolio are discussed below. Please note, our portfolio construction does not represent the entire universe of investments available to create these portfolios, nor do these portfolios represent the entire universe of asset allocation models available to investors. Past performance is not necessarily indicative of future results.60/40 Portfolio:
The 60/40 Portfolio is designed to mimic the returns of a portfolio with a 60% allocation to stocks and a 40% allocation to bonds. Our hypothetical portfolio allocates 60% of its capital to the iShares ITOT S&P Total US Stock Market ETF and 40% to the iShares AGG Aggregate Bond ETF. All constituents are directly investable, the portfolio rebalances this allocation annually and is inclusive of fees, dividends and distributions (rebalancing trades are computed commission free).
PERMANENT PORTFOLIO:
Popularized in his 2001 book “Fail Safe Investing”, Harry Browne’s Permanent Portfolio consists of an equally weighted allocation to stocks, long-term bonds, gold and cash. Each asset was included to correspond to four economic climates: expansion (stocks), deflation (bonds), recession (cash) and inflation (gold). Our hypothetical Permanent Portfolio is constructed as follows: 25% Stocks (iShares ITOT S&P Total US Stock Market ETF), 25% Long-Term Bonds (iShares TLT 20+ Year Treasury Bond ETF), 25% Cash (iShares SHY 1-3 Year Treasury Bond ETF) and 25% Gold (iShares IAU Gold Trust ETF). All constituents are directly investable, the portfolio rebalances this allocation annually and is inclusive of fees, dividends and distributions (rebalancing trades are computed commission free).
ALL WEATHER PORTFOLIO:
Created by Bridgewater founder Ray Dalio, the All Weather Portfolio is a risk-parity based asset allocation designed to ‘weather’ all economic environments. It consists of the following asset allocation: 30% Stocks, 40% Long Term Bonds, 15% Intermediate Term Bonds, 7.5% Gold, 7.5% Commodities. Our hypothetical All Weather Portfolio is constructed as follows: 30% Stocks (iShares ITOT S&P Total US Stock Market ETF), 40% Long Term Bonds (iShares TLT 20+ Year Treasury Bond ETF), 15% Intermediate Term Bonds (iShares IEI 3-7 Year Treasury Bond ETF), 7.5% Gold (iShares IAU Gold Trust ETF), 7.5% Commodities (iShares S&P GSCI Commodity-Indexed Trust). All constituents are directly investable, the portfolio rebalances this allocation annually and is inclusive of fees, dividends and distributions (rebalancing trades are computed commission free).
MCSI STOCKS:
Included to compare performance to international stocks, we use the iShares Core MSCI Total International Stock ETF. It is directly investable, inclusive of fees, dividends and distributions and, as this is the only asset, there is no rebalancing.
SG CTA INDEX:
Included to compare performance to trend-following commodity trading advisors, the SG CTA Index is designed to track the largest 20 (by assets under management) CTAs and be representative of the managed futures space. The CTA Index is equally weighted, rebalanced and reconstituted annually and uses net of fee compound rates of return for each constituent. It is not directly investable.
ADDITIONAL DISCLAIMERS, DISCLOSURES AND NOTES:
THE RISK OF LOSS IN TRADING COMMODITY FUTURES AND OPTIONS CAN BE SUBSTANTIAL AND MAY NOT BE SUITABLE FOR ALL INVESTORS. Prior to investing in a trading program with a registered commodity trading representative, investors need to carefully consider whether such trading is suitable for them in light of their own specific financial condition. In some cases, futures accounts are subject to substantial charges for commission, management, incentive or advisory fees. It may be necessary for accounts subject to these charges to make substantial trading profits to avoid depletion or exhaustion of their assets. In addition, one should carefully study the accompanying prospectus, account forms, disclosure documents and/or risk disclosure statements required by the CFTC or NFA, which are provided directly by the CTAs and/or the broker carrying your account. Trading methodologies which may be described on this tear sheet–including such terms as systematic, discretionary, day trading, swing trading, trend following, arbitrage, relative value, volatility trading, spread trading, options trading, contrarian, counter-trend, global macro, etc.–carry unique and specific risks. Please consult the disclosure document of this CTA for a detailed description of risk factors specific to this trading program. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’S DISCLOSURE DOCUMENT. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. ANY RESULTS FROM THE COMBINING OF CTAS OR OTHER INVESTMENTS SHOULD BE CONSIDERED HYPOTHETICAL AND HAVE THE ADVANTAGE OF HINDSIGHT.
SHARPE RATIO:
The Sharpe Ratio is a statistical measure that indicates the average return minus the risk free rate divided by the monthly standard deviation of the return of an investment. Generally, the greater the value of this ratio, the better the risk-adjusted return of the measured investment. Our risk free rate changes daily, based on the closing price of the 13 week T-Bill rate as tracked by the CBOE’s $IRX index. For annual Sharpe Ratios, we use an average of the $IRX for that year.
SORTINO RATIO:
Using compounded monthly returns, the Sortino Ratio measures the excess return over the risk-free rate (90 day T-Bill rate) divided by the downside semi-variance, resulting in a measure of simple return to bad volatility. Our risk free rate changes daily, based on the closing price of the 13 week T-Bill rate as tracked by the CBOE’s $IRX index.
CORRELATIONS:
Correlation represents the degree to which monthly rates of returns for this hypothetical portfolio correlate to monthly returns for each hypothetical portfolio and benchmark, with a maximum positive correlation of 1 and a minimum negative correlation of -1.
ANNUALIZED VOLATILITY:
Volatility is a statistical measure of the dispersion of returns. In most cases, the higher the volatility, the riskier the investment. Volatility is often measured as either the standard deviation or variance between returns from that same investment. We calculate this volatility by taking the standard deviation of daily returns for each hypothetical portfolio, then annualizing them by multiplying that times the square root of the number of trading days in a calendar year.