SAR Liquid Equity Alpha Market Neutral Strategy - Managed Account 2 x

Managed by Systematic Absolute Return AG

Marktgasse 12, 8001 Zurich, Switzerland
Contact: as@sar-ag.ch Phone: +41 (43) 268 8444

STRATEGY DESCRIPTION

TERMS AND STRUCTURE

SAR applies a quantitative intraday mean-reversion strategy to about 2'000

of the most liquid US stocks and ETFs. The system is 100% systematic and
price driven. It enters long positions via limit orders, and simultaneously shorts

Investment manager

Systematic Absolute Return AG

Structure
Minimum investment

Managed Account
$250,000

an equal amount of QQQs. Positions are either closed out via stop loss, profit

Leverage and exposures

Maximum 400% gross and 0% net exposure

target or time exit orders. The order execution is fully computer automated. Two
redundant servers are set up in low latency professional server housings. The

Currency
Management fee

Any
2% p.a. on trading level charged monthly

maximum position size per trade is 1.5% of its trading level and its size is limited

Performance fee
Liquidity

20% charged monthly subject to High-Water-Mark

Daily

Notice period

Three days notice with no lockups or gates

Interactive Brokers LLC

to 5% of a stocks average daily trading volume. Maximum loss per trade is limited
to 0.375% of the trading level. There is a maximum of 4 trades per day per stock.
The strategy is available via an offshore fund or managed account.

Prime Broker, Custodian

MONTHLY RETURNS (NET OF ALL FEES AND COSTS)

Jan

Feb

Mar

2013
2012

-0.40%
-0.97%

2011

-0.47%

5.34%

-5.50%

2010
2009

3.49%
-0.95%

3.86%
-1.05%

-2.58%
1.72%

2008
2007
2006

18.97%
0.56%
3.14%
4.60%
18.50%

-0.53%
19.70%
0.26%
2.31%
6.14%

-2.42%
13.97%

-6.63%
8.49%

2005
2004
2003
2002
2001
2000

2.82%

10.23%
8.46%
58.20% *1 20.45%

3.63%

Apr
1.80%

Jun

Jul

Aug

Sep

Oct

Nov

Dec

Daily MDD*4

YTD

Annualized

-0.40%

-4.65%

-3.37%

-4.02%

0.44%

3.55%

6.59%

-3.13%

0.58%

1.08%

0.19%

12.77%

12.77%

-6.57%

1.21% *3 1.27%
1.74% 15.02%

-0.14%
-0.43%

3.91%
4.01%

4.32%
-0.91%

-0.13%
0.22%

-2.13%
-3.15%

1.44%
1.99%

2.25%
1.40%

11.45%
26.21%

11.45%
26.21%

-7.24%
-6.58%

8.13%
-1.03%
-0.41%

3.87%
-2.75%
-1.02%

2.31%
1.05%
19.60%

6.91%
-6.68%
27.92%

1.87%
42.50%
0.64%

5.81%
5.80%
4.80%

-1.55%
0.71%
9.30%

-0.50%
34.49%
-0.36% *2 64.35%
-1.77%
105.62%

34.49%
64.35%
105.62%

-5.09%
-14.12%
-5.86%

7.38%
1.97%
2.04%

-3.54%
4.62%
-0.30%

3.05%
3.72%
2.71%

0.51%
3.84%
-7.47%

2.75%
3.45%
1.71%

1.68%
12.99%
3.86%

4.34%
1.78%
4.92%

-2.82%
-2.08%
5.63%

22.21%
42.73%
65.22%

22.21%
42.73%
65.22%

-7.58%
-3.75%
-8.13%

7.80%
-0.16%
2.33%
4.80%

10.01%
0.63%
4.51%
7.95%

4.57%
4.82%
2.20%
6.02%

4.04%
2.43%
0.15%
1.04%

14.28%
0.06%
9.15%
14.51%

2.84%
2.61%
-1.36%
24.82%

3.40%
2.59%
2.48%
11.98%

6.07%
1.66%
-3.32%
1.79%

48.54%
59.24%
42.27%
607.51%

48.54%
59.24%
42.27%
607.51%

-19.29%
-4.68%
-6.35%
-7.13%

4.00%
4.89% -3.58%
3.51% -3.36%
-0.92% 4.95%
-1.05% 0.71%
3.60% 12.02%
-8.82% 7.53%
2.53% 8.75%
-4.61%
74.75%

May

6.86%
7.61%

*1 In-sample backtesting commenced January 2000. *2 Out-of-sample backtesting commenced beginning of December 2008. *3 Actual trading commenced 19 April 2011
*4 Daily MDD = Maximum Drawdown calculated on daily net retuns. *5 SAR Intraday Index = mean open to close (intraday) return for the eligible stock universe - see presentation

KEY STATISTICS (DAILY DATA)

512

1.03%
0.49%
2.77
33.20
2.13

16.32%

256

256

128

128

3.57
2.06
7.50
1.98
-51.17
58%
65%

DRAWDOWN ANALYSIS (DAILY DATA)

Depth
-19.29%
-14.12%
-8.13%

Length
72
60
38

Recovery
45
49
41

Peak
19.12.02
16.04.08
26.07.04

Valley
09.06.03
18.09.08
12.11.04

EXPOSURE ANALYSIS
Mean number of trades per month
Mean annual portfolio turnover
Mean annual transaction costs
Maximum gross exposure
Maximum long and short exposure
Maximum net exposure

64
32
16
8
4
2

64
32
16
8
4
2
1

DAILY CORRELATION STATISTICS

Index
392
135 x or 13528% SAR Intraday Index *5
S&P 500 Index
5.89%
400%
200%
0%

HFRX North America Index

HFRX Equity Hedge Index
HFRX Systematic Diversified Index

DISCLAIMER

TIME WINDOWS ANALYSIS

No representation or assurance is made that an investment

will or is likely to achieve its objectives, or that any investor will
or is likely to achieve a profit or will be able to avoid incurring
substantial losses. Past performance is not indicative of
future results.

Months
Last Return
Median Return
Best Return
Worst Return

1 Day
0.03%
16.41%
-7.13%

1 Mth
3 Mth
6 Mth
-0.40%
0.87%
4.75%
2.43%
8.24% 17.18%
74.75% 232.99% 305.41%
-8.82% -16.94% -11.11%

Correlation

When Up

When Down

-0.024
0.010
0.000
-0.088
-0.036

-0.013
0.005
0.089
0.127
-0.042

-0.138
-0.002
0.003
-0.153
-0.059

12 Mth
13.43%
42.27%
607.51%
3.17%

24 Mth
25.77%
126.69%
906.57%
18.34%

36 Mth
52.65%
258.18%
1502.85%
52.65%

Daily Net Equity

4.17
23.99
7.66 (monthly)

Actual Trading commenced

Omega Ratio (Threshold 0%)

Sharpe Ratio (RF T-Bills)
Sterling Ratio
Sortino Ratio
Calmar Ratio
Treynor Ratio (SAR Intraday Index) *5
Jensen Alpha (SAR Intraday Index) *5
Alpha (SAR Intraday Index) *5

7.78%
Out-Of-Sample Backtesting commenced

Excess Kurtosis

512

In-Sample Backtesting Commenced

Standard Deviation
Downside Deviation
Skewness

Annualized
60.48%

Daily Net Equity

Compounded Return

Daily Net Equity Curve

Daily
0.19%