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Lyncestis LLP - FX Index Arb - Currency Trading Prg (P)

Principal(s): Dejan Trajkovski
Strategy: Interbank Trader
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Investment Restrictions: Non-US Investors Only

Statistics & Program Information

Nov 2025 Return 0.29%	Worst Drawdown ⁽²⁾ -11.67%	Minimum Investment $100,000
YTD Return: 1.61%	Losing Streak ⁽³⁾: 0%	AUM ⁽⁵⁾: $30,000
Annualized CROR⁽¹⁾ 2.8%	Sharpe Ratio 4% RF ROR⁽⁴⁾: -0.25	Calmar Ratio ⁽⁶⁾: N/A
2) Annualized ACROR is based on compounding. Please see Footnotes for more information.

Trading Methodology 100% Systematic	Style Sub-Categories Arbitrage Quantitative	Trading Style 50% Trend Following 50% Contrarian
Market Sector 100% Currencies	Holding Period 100% Short Term	Geographic Sector Global Contracts: Forex

Start Date Sep-2012	Currency US Dollar	Management Fee 0.00%
Accepting New Accounts Yes	Min Investment $100,000	Incentive Fee 0.00
NFA Member No	Fund Minimum $0	Other Fees No
NFA Number Non NFA-Member	Margin ⁽⁷⁾ 3%	Avg Comm ⁽⁸⁾
Notional Funds Yes	Round Turns Per Million ⁽¹⁰⁾ 2,000	Max Comm ⁽⁹⁾ 0.00

Starting Date: Sep-2012	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $30,000
Open to US Investors: Yes	Annualized CROR: 2.69%
Minimum Fund Investment: $0
Minimum Managed Account: $100,000	Current Losing Streak: 0 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 4% RF ROR -0.25
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 0.00%	Auditor: Not Listed
Incentive Fee: 20.00%	NFA Member: No
Selling Fee: 0.00%	FINRA Member: No
Other Fees: No	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: Lyncestis LLP

Correlations:

Growth of $1,000 VAMI and Monthly Returns

Trading Description, Risk Strategy & Background

Trading Description

FX INDEX ARB (FXIA) is a systematic, quantitative trading program, which trades currencies in the cash ("spot") markets. The strategy creates a complex portfolio of 10 global (G10) currencies and adjusts its components daily.

The strategy forms indexes of the 10 base currencies, which depend on the prices of the remaining 9 currencies against the selected index currency. It trades (counter trend, short volatility) the components of each index against the index itself (trend following, long volatility). Exactly the same rules are used for trend and counter trend trading. The point is to exploit the difference between the higher volatility of individual components and the lower volatility of indexes (as proven by the Modern Portfolio Theory).

Based on positions of all components and indexes (a total of 90 currency crosses), positions are consolidated into the base 10 currencies, i.e. 9 currency pairs against the US Dollar. The resulting positions are then implemented in the market. The trading strategy is always in the market, but portfolio weights are adjusted daily.

Risk Strategy

Risk control is achieved through a variety of means which in most market conditions should minimize drawdowns. The first is portfolio construction and diversification (trend and counter trend trading in indexes and their components); second is portfolio concentration control through position size adjustment according to account size, volatility and risk-reward analysis (the position size limit for each currency is 0.8 of NAV); and third is a catastrophic stop based on money management rules (can be selected by the investor).

Background

The trading methodology is based on a fully computerized trading system developed by Dejan Trajkovski, Ph.D. Dejan received his M.S. degree in Applied Mechanics of Deformable Body and Ph.D. in Computational Mechanics from University of Belgrade, Yugoslavia (1992) and University of Skopje, Macedonia (1995). Throughout his successful career as a professor at University of Bitola, Macedonia, Dejan Trajkovski gained significant experience in the fields of Theoretical and Applied Mechanics, Mechatronics, Computerized Motion Control and Robotics. Dejan Trajkovski was employed at the Faculty of Technical Sciences in Bitola, Macedonia as Assistant professor (1995-2000), Associate Professor (2000-2005) and Professor (2005 to present). The foreign currency and equity market became his field of work in 2001. Dejan was confident that financial markets were the the right place where the mathematically precise instruments of quantitative analysis could be applied. In the following years he has been involved in research and development of trading systems, and his quantitative trading systems are currently used by Lyncestis LLP.

Performance

Monthly Performance Since Sep 2012

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2025	0.49%	0.07%	-3.95%	2.63%	0.56%	0.18%	0.97%	0.23%	-0.24%	0.37%	0.29%		1.50%	-3.95%
2024	0.69%	-0.03%	-1.10%	-0.09%	0.10%	0.68%	-1.76%	1.26%	0.11%	0.99%	0.91%	0.42%	2.15%	-2.21%
2023	1.66%	0.95%	0.66%	-0.07%	0.08%	1.32%	-0.54%	0.54%	-1.25%	0.72%	0.50%	-0.26%	4.38%	-1.25%
2022	0.46%	1.25%	-0.31%	0.02%	1.00%	1.04%	1.01%	1.18%	-1.99%	2.89%	0.39%	-0.03%	7.05%	-1.99%
2021	0.98%	0.05%	-0.01%	1.67%	0.47%	0.75%	0.60%	0.44%	-0.04%	-0.95%	-0.51%	1.30%	4.82%	-1.49%
2020	-0.98%	0.39%	-11.09%	0.61%	-0.17%	0.23%	0.55%	0.27%	0.08%	1.23%	-0.02%	1.54%	-7.74%	-11.62%
2019	1.43%	0.61%	1.34%	0.30%	-0.87%	0.17%	-0.17%	-0.56%	0.98%	0.83%	0.37%	-0.05%	4.45%	-1.43%
2018	0.53%	0.26%	0.12%	-1.22%	0.30%	0.96%	0.93%	-0.97%	0.49%	0.93%	-2.63%	-0.64%	-0.99%	-3.25%
2017	0.98%	0.66%	-0.21%	-1.61%	1.19%	-0.18%	-2.12%	-0.11%	0.19%	0.41%	0.48%	1.32%	0.93%	-3.04%
2016	1.30%	1.76%	0.91%	-0.18%	1.09%	-0.28%	-0.27%	0.07%	0.25%	-1.76%	1.08%	0.12%	4.10%	-1.99%
2015	1.40%	3.19%	0.76%	0.51%	-0.55%	-0.34%	1.82%	0.51%	1.71%	0.01%	-1.38%	-0.21%	7.60%	-1.59%
2014	1.79%	0.83%	-0.05%	0.50%	0.10%	-0.74%	0.01%	-0.44%	-0.69%	2.27%	0.84%	-1.95%	2.42%	-1.95%
2013	0.23%	1.84%	-0.56%	1.27%	-1.35%	0.19%	1.31%	0.88%	0.58%	1.39%	-0.91%	-0.45%	4.43%	-1.36%
2012									0.70%	0.60%	0.45%	-0.23%	1.53%	-0.23%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

Footnotes

1. The Annualized Compounded ROR ("Rate of Return") is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth. 2. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % the time-period. 3. Sharpe Ratio uses a 4% Risk Free ROR (Rate of Return) 4. Calmar Ratio Uses last 36 months of Data 5. The hypothetical growth of $1,000

++Qualified Eligible Investors Only:

A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions).

Exemptions:

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

RISK DISCLOSURE

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS, FOREIGN EXCHANGE ('FOREX') AND/OR CRYPTOCURRENCIES IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.