Marchese Capital Management

Diversified Futures Program

Year-to-Date
N/A
Nov-4.44%
Minimum Investment
100k
Management Fee2.00%
Performance Fee20.00%
Annualized Volatility34.11%
Sharpe (RFR=1%)0.86
CAROR27.85%
AUM444K
Worst Drawdown-31.15
S&P Correlation-0.05
Annualized Vol
34.11%
Sharpe (RFR=1%)
0.86
CAROR
27.85%
Worst DD
-31.15
S&P Correlation
-0.05
Growth of $1,000 — VAMI
Created with Highcharts 9.1.02006200720082009ZoomView 1 month1mView 3 months3mView 6 months6mView year to dateYTDView 1 year1yView allAllJul 1, 2005Nov 1, 2009Sep '05Jan '06May '06Sep '06Jan '07May '07Sep '07Jan '08May '08Sep '08Jan '09May '09Sep '099291.39k1.85k2.31k2.78k3.24k

Monthly Performance

Export Data
YearJanFebMarAprMayJunJulAugSepOctNovDecYTDDD
20098.13-1.94-1.11-1.6314.94-2.680.330.05-4.890.83-4.446.14-10.48
20086.4417.80-4.50-2.83-4.8311.55-1.0613.67-4.0813.841.974.1461.09-11.68
2007-3.27-7.29-15.480.773.701.311.52-6.0811.91-1.391.797.85-7.31-24.20
20063.35-11.1733.839.88-13.02-16.92-4.729.62-0.4220.673.663.9331.91-31.15

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange (“forex”) is substantial.

Period Returns

Program / Index
Nov
Qtr
YTD
1yr
3yr
5yr
10yr
Since 7/2005
Diversified Futures Program-4.44189.96
S&P 5005.74-75.0521.30261.16
+/- S&P 500-10.1875.05-21.30-71.20
Account & Fees
TypeManaged Account
Minimum Investment
100k
Management Fee2.00%
Performance Fee20.00%
Available to US InvestorsYes
Investor RequirementsAny Investor
High Water Markyes
Subscription FrequencyAnytime
Redemption FrequencyAnytime
Decision-Making
Trading
Trading Frequency0 RT/YR/$M
Avg. Margin-Equity Ratio15.00%
Targeted Worst DD0.00%
Worst Peak-to-Trough35.00%
Sector Focus
Holding Periods
Over 12 Months0.00%
4-12 Months0.00%
1-3 Months0.00%
1-30 Days0.00%
Intraday0.00%