Definitions of Terms

Annualized rate of return (AROR) is the geometric average return for a period greater than or equal to one year, expressed on an annual basis or as a return per year.

Beta is a measure of the volatility, or systematic risk, of a security or a portfolio in comparison to the markets as a whole.

Commodity trading advisors (“CTAs”) are traders who may invest in more than 150 global futures markets. They seek to generate profit in both bull or bear markets, due to their ability to go long (buy) futures positions, in anticipation

Contrarian, unlike trend-following models, which generate buy (sell) signals in the early stage of an upward (or downward) trend, contrarian models generate buy (or sell) signals at the end of the turning point of a downward (or upward) trend.

Correlation is measured on a scale from 1.00 to -1.00. [1.00] Investments with high correlation tend to rise and fall together. [0.00] Non-correlated investments tend to move up and down with no relation to one another. [-1.00] Investments with negative correlation tend to move in opposite directions.

Counter-Trend Trading is a type of swing-trading strategy that assumes a current trading trend will reverse and attempts to profit form that reversal.

Discretionary spread trading is a trading approach that uses fundamental analysis of underlying economic factors. A spread tracks the difference between a long and short position. In spread trading, risks move beyond price fluctuation to risks that involve the difference between two or more sides of a spread.

Diversified trend is a strategy that encompasses all three horizons – short, medium, and long-term.

A drawdown is the peak-to-trough decline during a specific record period of an investment, fund or commodity. A drawdown is usually quoted as the percentage between the peak and the trough. Max drawdown refers to the greatest drawdown in the programs history.

Dynamic position sizing describes an approach where the trader adjusts their position size based on the quality of the trade and based on their historic success.

Enhanced carry strategies aim to benefit from diversified carry signals while seeking to mitigate drawdowns through a dynamic risk management approach.

An Exchange-Traded Fund (ETF) is an investment fund that tracks an index, specific asset or basket of assets to which it is pegged. ETFs are bought and sold throughout the day like securities on the stock exchange.

Global macro is a strategy that trades equity, bond, currency and commodity markets based generally on global macroeconomic developments. Within the global macro category, systematic macro strategies use mathematical or computer models to identify trends and select investments, in contrast to discretionary macro strategies, which use primarily fundamental analysis.

Idiosyncratic risk is risk specific to an asset or a small group of assets. Idiosyncratic risk has little or no correlation with market risk, and can therefore be substantially mitigated or eliminated from a portfolio by using adequate diversification.

Intermediate-term focuses on the average time period between short-term and long-term (approximately two to four months).

Long Position refers to the buying of a security such as a stock, commodity or currency, with the expectation that the asset will rise in value.

Long-term trend is a strategy that uses long-term indicators and averages, general five months or longer.

Managed futures is an alternative investment strategy in which professional portfolio managers use futures contracts as part of their overall investment strategy. Managed futures provide portfolio diversification among various types of investment styles and asset classes to help mitigate portfolio risk in a way that may not be possible in direct equity investments.

Mean Reversion Models or Strategies are trading models that assume prices will eventually return to a long-term average level.

A Medium-term Trend Following or Momentum Trading Strategy seeks to capitalize on momentum or price trends across global asset classes by taking either long or short positions when a trend is determined to have been established. The strategy is applied using a medium-term time-frame of generally between one to six months.

Modern Portfolio Theory (MPT) is a theory on how risk-averse investors can construct portfolios to optimize or maximize expected return based on a given level of market risk, emphasizing that risk is an inherent part of higher reward.

Pattern recognition is defined as the categorization of input data into identifiable classes via the extraction of significant futures or attributes of the data from a background of irrelevant detail.

Risk-adjusted performance is a concept that refines an investment’s return by measuring how much risk is involved in producing that return, which is generally expressed as a number or rating. Risk-adjusted returns are applied to individual securities and investment funds and portfolios.

Relative value trading is a method of determining an asset’s value that takes into account the value of similar assets. Calculations used to measure the relative value of stocks include the enterprise ratio and the price-to-earnings ratio.

Sharpe ratio is a risk-adjusted measure developed by William F. Sharpe, calculated using annualized standard deviation and excess return to determine reward per unit of risk. The higher the Sharpe ratio, the better the funds historical risk-adjusted performance (assumed risk-free rate is 0%).

Short Position is a position whereby an investor sells borrowed securities in anticipation of a price decline and is required to return an equal number of shares at some point in the future.

Short-selling is the sale of a security that is not owned by the seller, or that the seller has borrowed. Short selling is motivated by the belief that a security’s price will decline, enabling it to be bought back at a lower price to make a profit.

Short-term multi-strategy refers to a futures trading methodology that generally holds its positions for less than three months. Trading decisions are based on multiple trading strategies that may include a trend-following methodology as well as pattern recognition, spread trading, discretionary, contrarian and/or other approaches.

Short-term pattern recognition refers to the identification of price trends that occur over short periods of time, typically anywhere from a day, to a week, to months in time.

Short-term trading refers to a futures trading methodology that generally holds its positions for less than three months. Trading decisions are based on multiple trading strategies that may include a trend-following methodology as well as pattern recognition, spread trading, discretionary, contrarian and/or other approaches.

Standard Deviation is a statistical measure (single number) that sheds light on historical volatility. A volatile investment will have a higher stand deviation, while the more stable investment will have a lower standard deviation.

A Stop-loss is a stop order for which the specified price is below the current market price and the order is to sell.

Systematic (also known as Quantitative) employs computer-driven, mathematical models to identify when to buy or sell an instrument according to rules determined before a trade is made, generally with little or no human intervention once a mathematical formula has been entered.

A treasury bill (T-Bill) is a short-term debt obligation backed by the US government with a maturity of less than one year

Trend anticipation is the act of investors choosing investments that have performed well within another portfolio inanticipation that the trend will continue.

A Trend-Following Strategy seeks to capitalize on momentum or price trends across global asset classes by taking either long or short positions as a trend is underway. Price trends are created when investors are slow to act on new information or sell prematurely and hold on to losing investments to long. Price trends continue when investors continue to buy and investment that is going up in price or sell an investment that is going down in price.

Volatility is a measure of fluctuation in the value of an asset or investment. Lower volatility improves the stability and lowers the risk of an investment portfolio.

A volatility targeting approach uses dynamic asset allocation to achieve a stable level of volatility in all market environments by taking advantage of the negative relationship between volatility and return as well as the persistence of volatility.


Investors cannot directly invest in an index and unmanaged index returns do not reflect any fees, expenses or sales charges.

Barclay BTOP50 Index® (Managed Futures) The Index seeks to replicate the overall composition of the managed futures industry with regard to trading style and overall market exposure

Barclays Capital Global Treasury Ex-US Bond Index® Includes government bonds issued by investment-grade countries outside the United States, in local currencies, that have a remaining maturity of one year or more and are rated investment grade.

Barclays Capital US Aggregate Bond Index® (Fixed-Income) Covers the USD denominated, investment-grade, fixed-rate, taxable bond market of SEC-registered securities. The index includes bonds from the Treasury, Government-Related, Corporate, MBS, ABS, and CMBS sectors.

Dow Jones REIT Composite IndexSM Aims to represent all publicly traded real estate investment trusts (REITs) included in the Dow Jones Indices US stock universe and covers approximately 100% of the total REIT market value.

HFRX® Equity Hedge Index Seeks to replicate equity hedge strategies that maintain positions, both long and short, primarily equity and equity derivative securities.

ICE Futures US Dollar Index (USDX®) Is a leading benchmark for the international value of the US dollar and the world’s most widely recognized, publicly traded currency Index.

MSCI® EAFE® Index (Europe, Australasia, Far East) A free float-adjusted market capitalization index that is designed to measure the equity market performance of 21 developed markets, excluding the US & Canada.

MSCI World Index (Global Equities) A free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets.

S&P 500® Total Return Index (Equities) Widely regarded as the best single gauge of the US equities market, this world-renowned Index includes 500 leading companies in leading industries of the US economy.

S&P GSCI® Total Return Index (Commodities) Widely recognized as a leading measure of general price movements and inflation in the world economy. It provides investors with a reliable and publicly available benchmark for investment performance in the commodity markets.