Summary

Blackheath AI Global Macro Strategy aims to earn significant uncorrelated returns in foreign exchange by taking speculative 1-month long positions in liquid global currency futures. Starting in July 2018, the track record shows the composite performance of the strategy, calculated using the Only Accounts Traded (OAT) method. From Nov 2017 to Jun 2018, (colored background), the performance shown is the proprietary, pro-forma net returns of the strategy, based on the actual trading results as observed in proprietary accounts traded under the strategy, assuming a fee structure of a 2% Management Fee and 20% Incentive Fee paid quarterly. In reality, these accounts could have different fee structure. Such a fee related assumption can lead to moderate leveraging in the account over certain time periods during the course of this track record. Also, please note that the proprietary account has favourably negotiated trading commissions. Additional details of this computation and calculation of the performance are available upon request. **Net returns are calculated assuming a fee structure of a 2% Management Fee accrued monthly and a 20% Incentive Fee paid quarterly. Separately Managed Account performance can be higher or lower than the above reported performance of the program depending on several factors, such as commission and fee levels, investment amount, duration, the actual prices achieved, the portfolio composition and government taxes (if any). While the results here are based on pro-forma adjustments assuming the given fee structure, in reality, accounts may have a different fee structure, a different fee payment periodicity, different (higher or lower) commission levels and government taxes (if applicable) which may significantly distort the net performance observed in an actual account. Also, in reality, some managed accounts can be traded with a higher leverage and such leverage changes over time and this could result in significantly different performance in an actual account.