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Integrated Managed Futures 

IMFC Global Investment Program

Manager: Roland Austrup

Address: 70 University Avenue, suite 1200, Toronto, m5j2m4, Canada

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:CTA
Inception Date:Feb 15, 2007
AUM:$29,503,023
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:2%
Min Investment:$2,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:68.31%83.50%
Annual ROR:5.12%6.00%
YTD:-11.32%15.81%
1 Year:-11.52%17.88%
Alpha:0.04
Beta:0.00
Statistics Program S&P 500
Average Monthly Gain:3.93%2735.30%
Average Monthly Loss:-2.84%-2.63%
Winning Months:6294
Losing Months:6331
Current DD:32.600.00
Max DD:32.6052.56
Sharpe Ratio (RF 1%):0.26
Annualized Std Dev:15.87

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategyMulti-Strategy
DirectionalLong / Short
Holding PeriodLong Term
---------------------------
Trend Following:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2017-1.52-1.83-3.22-0.83-3.01-1.46-11.32
20163.601.72-3.60-3.23-4.775.18-0.31-5.82-3.13-4.96-5.68-0.23-19.91
201513.11-1.180.76-4.700.85-2.375.301.060.34-3.973.23-1.4610.23
2014-2.851.26-3.610.130.180.345.193.372.77-0.318.503.8219.76
20133.16-0.520.694.04-0.080.35-2.87-3.761.062.163.362.3310.03
2012-2.74-2.75-1.513.166.99-6.021.22-1.46-4.51-4.78-1.500.63-13.14
2011-0.213.88-1.433.73-2.92-2.322.961.03-4.08-4.290.671.32-2.10
2010-3.362.313.520.56-3.44-0.62-3.889.371.805.63-1.863.0712.94
2009-0.88-0.47-3.63-1.84-2.950.27-0.044.393.31-4.288.77-3.99-2.14
20084.5918.84-1.19-2.771.074.26-6.98-3.394.2619.652.262.2347.47
2007-6.55-3.039.055.564.44-7.01-3.7211.527.13-1.252.2717.69

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

IMFC has developed a proprietary systematic trading strategy to manage client accounts. Investment decisions are made based on clearly quantifiable information and are executed in a rational and methodical manner unaffected by behavioral or judgmental biases.

IMFC's strategies utilize multiple non-correlated signal generators that have the effect of reducing position sizes in markets at equilibrium often to the point of having no exposure to those markets, and increasing position sizes in markets that are trending. Proprietary smoothing techniques are also used to separate underlying trend-persistence from random noise, resulting in continuous exposure to long-term market trends of one year or longer. In addition, IMFC's strategies incorporate portfolio management algorithms that adjust overall market exposure based on mean reverting characteristics evident at the portfolio level.

IMFC generally invests fifty percent of the portfolio in physical commodity futures such as metals, energy futures and agricultural and soft commodities and 50 % in global currency and treasury debt futures, as well equity indices.

Company Info

IMFC, a Toronto-based CTA , is part of Integrated Asset Management Corp., a leading Canadian alternative asset management company with approximately $2.3 billion in assets and committed capital under management.

IMFC focuses on extremely long-term price trends that generally last one year or longer, with the objective of realizing superior absolute and risk-adjusted returns. IMFC's portfolios are broadly diversified across industrial, agricultural and financial sectors, allocated 50% to financial futures and 50% to physical commodities.

Manager Info

Roland P. Austrup, B.A.
CEO & CIO

Registered with the Commodity Futures Trading Commission (CFTC) in the United States as an Associated Person and Principal since June 1997 and with the Ontario Securities Commission (OSC) as an Advisor since February 1999. Mr. Austrup is an associate member of the National Futures Association and a member of the Managed Funds Association. Previously, Mr. Austrup was an investment advisor with BMO Nesbitt Burns from 1991 to 1996 and a commodities broker with Scotia McLeod from 1988 to 1990. B.A. (Honours), University of Western Ontario.

Adam Kolkiewicz, Ph.D.
Quantitative Research Associate

Dr. Kolkiewicz is an Associate Professor in the Department of Statistics and Actuarial Science at the University of Waterloo. Over the last ten years he has been teaching courses in the Master in Statistics-Finance program, Canada's premier Master's program in quantitative finance. He is an Associate Chair for Graduate Studies. Ph.D., University of Waterloo and a founding member of the Institute for Quantitative Finance and Insurance. Dr. Kolkiewicz's research interests include computational and mathematical finance and methods of statistical inference. In particular, his recent studies deal with the problems of valuation and hedging of complex financial instruments as well as methods of statistical inference for time series models. Ph.D., University of Waterloo.

Robert Koloshuk, B.A.H.
Senior Strategist & Director of Trading

Mr. Koloshuk has been registered with the CFTC as an associated person since June, 2004, and is an associate member of the National Futures Association. Previously, Mr. Koloshuk was engaged by Integrated Asset Management from 2002-2003 to conduct a comprehensive review of the managed futures industry. B.A. (Honours), University of Guelph.James Rider, B.A., M.A.

David G. Mather, B.A., M.A.
President & Director

Executive Vice President, Integrated Asset Management Corp. since 2001. Director since 2004. Vice-President, Director and Principal, Integrated Managed Futures Corp. since 2003. Previously Managing Director, SEI Investments, and Managing Director, Fidelity Group Pensions. Senior Vice-President, Elliott & Page, 1990-1997. Vice-President, Crown Life Investment Management, 1983-1990. Prior experience with Royal Trust and Toronto-Dominion Bank. Presently Chair, Board of Governors, Royal St George's College, Treasurer & Director, Royal St. George's College Foundation, Treasurer, Director and Chair, Investment Committee, Boys and Girls Clubs of Canada Foundation, Chair, Investment Committee, Heart and Stroke Foundation of Ontario, Vice chair, Pension Committee, Heart and Stroke Foundation of Canada. Past director Genesis Research Foundation, Toronto Brigantine Inc. B.A. (Honours), University of Waterloo, M.A., University of Waterloo.