MutualHedge Frontier Legends Fund Portfolio Holdings Report

Cantab is founded on the belief that statistically rigorous and robust analysis of markets identifies sources of returns, which persist due to inefficiencies and the behavior of market participants. The firm uses a strict methodology to postulate these sources of returns initially and then tests the hypothesis using real-world data out of sample. Its systematic strategies are un-tuned and are predominately parameter-free. Cantab takes a strictly quantitative approach to all aspects of trading. Strategy selection, portfolio construction, execution, and risk control are all specified by algorithmic and systematic processes. Its proprietary portfolio algorithms allow Cantab not only to construct an optimal portfolio, but to also adapt the portfolio construction in various market states. Cantab also recognizes that existing inefficiencies are likely to change and/or decay over time, rendering the existing set of algorithms less effective at extracting alpha. The overall approach is driven first and foremost by research and development, in which the firm invests substantially to improve and extend its algorithms. The team is continually searching for new sources of and more effective ways of extracting alpha.

Emil van Essen, LLC is a $339M CTA. The program is not correlated to trend following or other industry benchmarks. The EvE Spread Trading Program employs discretion supported by modeling and quantitative research to seek profit opportunities throughout the term structures of 16 commodity markets and one interest rate market. The strategy is designed to be opportunistic and flexible with the aim of generating strong uncorrelated returns in changing market environments. Contracts traded include, but are not limited to Cotton, WTI and Brent Crude Oil, Heating Oil, Unleaded Gas, Natural Gas, Corn, Wheat, Soybeans, Silver, Live Cattle, Lean Hogs, Cocoa, Copper, Sugar, Coffee, Eurodollars, Euribor, Short Sterling, and other exchange listed interest rate futures.

The JEM Commodity Relative Value ("CRV") Program is one of the few purely relative value strategies in the commodity arena.  CRV seeks to profit from changes in relative supply and demand between related commodity contracts by using a combination of market and fundamental indicators.

The JE Moody CRV strategy is diversified across the primary commodity sectors (energies, metals, grains, livestock and softs), offers exceptional risk management, and has extremely low drawdowns.  CRV is a market-neutral strategy, capturing commodity alpha with almost no commodity beta, and nearly zero correlation to all major asset classes and hedge fund strategies, including CTAs and commodity traders.

The CRV portfolio is designed to achieve an overall target volatility, while limiting the exposure to any single market. Diversification and risk are controlled through the use of per-market and per-sector, exposure (volatility) targets.  Money stops may provide downside protection.  The individual trading systems are optimized using risk-sensitive performance measures.

The Cyril Systematic Program (the "Program") aims to capture bullish and bearish trends an advanced statistical analysis of historical prices.  In order to achieve this, John Locke has developed proprietary mathematical algorithms, which exploit price movements on time horizons ranging from intra-day to long-term, and over a wide variety of markets. The Program seeks to avoid short-term phenomena and identify deeply engrained market patterns with the help of the models developed at John Locke. All investment methodologies employed must prove the ability to generate returns across timeframes and markets.  Risk management is at the core of the investment approach. Diversification is achieved across models (trend-following, mean reversion, breakout, and volatility expansion), time horizons, and markets. Position sizing reflects underlying market volatility. A dynamic risk management system is used on a daily basis to monitor and identify risk factors that may adversely affect the profitability of the portfolio.  John Locke has invested substantially in its research process and infrastructure, which determine the selection of markets and the development of strategies. It facilitates the use of a standardized data set, which allows it to perform high-speed back-tests under difficult trading conditions.

The Lynx Program is purely systematic and is based on applying a predetermined set of models to a broad range of futures markets. The models can be divided into 4 different categories: trend-following models, contrarian models, inter-market models, and short-term models. The trend-following models are designed to participate in the major trends that occur within different timeframes ranging from about a week to several months. The contrarian models try to locate short-term exhaustion points in a trend. The inter-market models incorporate other data than the time series itself to make predictions on the future path of the market. Lastly, the short-term models look for trends on a very short time scale. Risk management and stop loss strategies are integral components of the models. The long-term volatility target is 18% measured as yearly standard deviation. The volatility in a shorter perspective can be significantly higher with a maximum daily VaR in the portfolio of 4.0% (95% confidence).

The Quantica Managed Futures Program ("QMFP") has the objective of generating capital growth by investing in liquid financial futures and forward contracts in different asset classes. The investment universe includes the most liquid global equity indices, fixed income, interest rate, currency and commodity contracts, and investment decisions are based on a proprietary quantitative model designed to identify and exploit market inefficiencies in relative price movements across the different instruments. QMFP is fully systematic and takes long and short positions in futures and forward contracts within the different asset classes in accordance with well defined risk parameters.

QCM's flagship product, the Global Diversified Program ("GDP"), is a long/short managed futures product run using a proprietary, systematic macro/CTA approach that pursues skewed upside returns. GDP trades 115 financial and commodity futures on recognized exchanges worldwide. The strategy focuses strongly on convexity opportunities and takes an agnostic view on assets as well as timeframes, relying instead on relative moves across the portfolio. The investment process uses robust, non-parametric models. It does not employ traditional binary market timing indicators and operates endogenously, dynamically shifting the portfolio asset allocation. The approach is holistic and looks for investment opportunities in trending and non-trending markets on a daily basis. QCM's proprietary Advanced Resource Allocator is an innovative tool that attempts to move scarce risk capital between assets and strategies, at all times looking for strong asymmetry of returns. The strategy is designed to produce long-term capital appreciation while maintaining a low correlation to traditional asset classes. QCM's risk management protocols are embedded within the firm's systematic investment process.

The QIM Global Program (the "Global Program") employs quantitative models that utilize pattern recognition techniques to predict price movements.  The program seeks to deliver strong, risk- adjusted returns through the use of proprietary, machine- learning, and predictive techniques. Only those models that prove to be the most robust, statistically significant, and conceptually diverse are used in actual trading.  The resulting system of models offers reliable signals that guide market timing and trade allocation. The portfolio is diversified across the 6 sectors (i.e., currencies, metals, agriculturals, equity indices, interest rates, and energy) and multiple markets. The Global Program has a short-term trading horizon with average holding period of 7 to 8 days. The average trade length for the Global Program is 1 to 2 weeks. The holding period for all trades ranges from 1 to 50 days. 

New York, NY

The Quest Tracker Index ("QTI") seeks to track generally the performance generated by the broad class of managed futures trading strategies of trend-following CTAs, and to match or exceed the performance of widely followed CTA indexes on a risk-adjusted basis. QTI comprises 47 specified futures contracts in markets for currencies, fixed-income, equity indices, and commodities.

The Diversified Program employs what is traditionally known as a "systematic" approach to trading financial instruments. In this context, the term "systematic" implies that the vast majority of the trading decisions are executed, without discretion, either electronically or by a team responsible for the placement of orders, based upon the instructions generated by the Winton Computer Trading System. A majority of the trades in the Diversified Program are executed electronically. The Diversified Program blends short-term trading with long-term trend following, using multiple time frames in addition to multiple models. As its name implies, the Diversified Program allocates for maximum diversification. A sophisticated system of risk management is evident in all aspects of the Program.