· The explanatory notes are an integral part of the performance data used.
· For its Diversified Trend Program Transtrend provides compositized rates of return data of various
· The composite rate of return reflects the pro forma net performance for the period divided by the
beginning aggregate Nominal Account Size. Nominal Account Size means the account size agreed to
by the client and Transtrend that establishes the level of trading. Accounts in which the Nominal
Account Size exceeds the amount of the Actual Funds are Partially-Funded Accounts and such excess
is defined as Notional Funds. Drawdown is expressed as a percentage of the aggregate Nominal
Account Size and is based on month-end figures. Drawdowns are generally larger if intra-month
figures are taken into account.
· Up to July 2003, an adjusted beginning aggregate Nominal Account Size was calculated in certain
months to take account of instructions to increase or decrease the Nominal Account Size of an
individual account intra-month, although in certain instances the composite rate of return was
calculated by excluding accounts with significant instructed increases and/or decreases of the
Nominal Account Size which would materially distort the composite rate of return. As of July 2003,
composite rates of return are calculated on a daily basis which compound to a monthly return. Thus,
instructions to increase or decrease the Nominal Account Size of an individual account intra-month,
are taken into account when they occur without distorting the monthly composite rate of return.
· In order to aggregate and compare the performance of individual accounts a pro forma reporting
format is used, i.e. a standardized format irrespective of specific terms and conditions that may
govern individual accounts in practice.
· The composite rate of return takes into account actual profits and losses, actual transaction costs,
pro forma advisory fees (a monthly management fee of 0.25% and a performance fee of 25%;
management fee is a hurdle rate for performance fee, no performance fee on pro forma interest
income and a book entry reversal of performance fee in down months) and pro forma interest
income. As Transtrend is not privy in all cases to the arrangements between Transtrend’s customers
and their brokers, the amount of interest income actually earned by such accounts is estimated at a
rate equal to 90% of the prevailing interest rate relevant to the underlying currency subset of the
Diversified Trend Program. Before May 1, 2004, pro forma interest income was calculated at a rate
equal to 90% of the relevant 3-month interest rate on the aggregate Nominal Account Size. As of
May 1, 2004, the composite rate of return includes pro forma interest income at a rate equal to 90%
of the relevant 3-month interest rate earned by such accounts on Actual Funds. As of September 1,
2008, pro forma interest income on Actual Funds is calculated at a rate equal to 90% of the relevant
overnight interest rate.
· A negative monthly composite rate of return is mitigated by a consistent book entry reversal of the
accrued pro forma performance fees and, before May 1, 2004, by pro forma interest income on the
aggregate Nominal Account Size instead of Actual Funds, irrespective whether the book entry
reversal was actually effectuated or interest was actually received. A similar effect occurs for a
positive monthly composite rate of return, where a consistent book entry of pro forma performance
fees is made, irrespective whether the book entry was actually effectuated. The consistent book entry
(reversal) of pro forma performance fees likely reduces the volatility of the composite rates of return
in comparison to situations where performance fees are periodically settled. Periodic settlement of
performance fees empties the performance fee reserve so that negative, or positive, rates of return
occurring after the fixed settlement date will only be moderated by the give-back, or accrual,
respectively, of the amount of newly built-up performance fees after this settlement date.
Consistently giving back accrued pro forma performance fees in periods of negative rates of return
may also result in an underestimation of drawdowns in comparison to situations where performance
fees are periodically settled.
· The rate of return on an individual account may deviate from the composite rate of return of the
subset it is part of, e.g. because of differences in Nominal Account Size, portfolio composition or the
amount of Actual Funds in relation to the Nominal Account Size.
· Transtrend’s latest Disclosure Document is available upon request. It can also be retrieved from
Transtrend’s website. The Disclosure Document contains composite performance tables for each
subset. It also provides further explanations and itemizes principal risk factors.
· Although Transtrend has exerted great care in creating this performance report, it cannot be held
responsible for computational or clerical errors, nor for errors in transmission.
THE VALUE OF YOUR INVESTMENT CAN FLUCTUATE. PAST PERFORMANCE IS NOT
NECESSARILY INDICATIVE OF FUTURE RESULTS.