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ARB Asset Management, LLC - Systematic Behavorial Global Macro

Principal(s): Adam Passaglia, Amnon Baazov, & Mark Downing
Strategy: Systematic Macro / Diversified
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Investment Restrictions: 4.7 Exempt - QEPs Only

Statistics & Program Information

Oct 2025 Return 2.15%	Worst Drawdown ⁽²⁾ -4.37%	Minimum Investment $5,000,000
YTD Return: 4.55%	Losing Streak ⁽³⁾: 0%	AUM ⁽⁵⁾: $67,000,000
Annualized CROR⁽¹⁾ 7.57%	Sharpe Ratio 4% RF ROR⁽⁴⁾: 0.44	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 Pattern Recognition Volatility Quantitative	Trading Style 100% Quantitative
Market Sector 100% Stock Indices 100% Diversified	Holding Period 100% Short Term	Geographic Sector US Contracts: Futures

Start Date Jan-2024	Currency US Dollars	Management Fee 2.00%
Accepting New Accounts Yes	Min Investment $5,000,000	Incentive Fee 0.00
NFA Member Yes	Fund Minimum $0	Other Fees None
NFA Number 0532191	Margin ⁽⁷⁾ 10-25%	Avg Comm ⁽⁸⁾ $0.00
Notional Funds No	Round Turns Per Million ⁽¹⁰⁾ 9,000	Max Comm ⁽⁹⁾

Starting Date: Jan-2024	Currency: US Dollars
Open to New Investors: Yes	Current Assets: $67,000,000
Open to US Investors: Yes	Annualized CROR: 7.22%
Minimum Fund Investment: $0
Minimum Managed Account: $5,000,000	Current Losing Streak: 0 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 4% RF ROR 0.44
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: 2.00%	Auditor: Not Listed
Incentive Fee: 20.00%	NFA Member: Yes
Selling Fee: 0.00%	FINRA Member: No
Other Fees: None	Other Memberships: None

Type of Fund: Futures Fund Single Advisor Fund	Domicile:	Strategy: Global Macro

Correlations:

Growth of $1,000 VAMI and Monthly Returns

Trading Description, Risk Strategy & Background

Trading Description

The fully systematic strategy targets opportunities in Equity Index, Fixed Income, Energy, Metals, Currency, Agricultural, and Crypto futures contracts. Assets in general exhibit periods of panic buying and selling caused by herd mentality. A multi-dimensional set of proprietary quantitative models are employed to describe and measure the psychological behavior in its early stages. Market neutral signals are aggregated and translated to extract alpha from impending price moves.

Saleem Mahjub, Portfolio Manager: Saleem Mahjub began his trading career at Tradelink in 2005 after graduating from the University of Illinois with a degree in mechanical engineering, and first found success in the Chicago prop trading world. Relying on his background of engineering and software development, he started creating the framework of the quantitative models that would become the Systematic Behavioral Global Macro strategy. His belief in a disciplined and systematic approach have been reaffirmed through various market cycles, including the 2008-2009 Financial crisis, the zero interest rate policy (ZIRP) markets of the 20-teens, and the market volatility induced in 2020 by COVID lockdowns. With more than a decade of experience as a systematic trader, spanning numerous market regimes, Saleem has developed a deep insight into the discovery of alpha, realistic back testing procedures, robust portfolio creation and efficient risk management. His consistent risk-adjusted results combined with his approach to risk management have made him a valuable asset to the ARB team.

Risk Strategy

Background

ARB's Principals include:
Adam Passaglia, Managing Partner: As co-founder of ARB Trading Group, Mr. Passaglia has overseen ARB's business beyond proprietary trading to create a vertically integrated financial services company. He led ARB's expansion into broker / dealer services, IB services, trading execution and risk management software, alternative asset management, and hedge fund services. Mr. Passaglia started his trading career in 2000 at a proprietary firm in Frankfurt, Germany and was soon hailed by Futures Magazine as one of the most consistent disciplined traders in Europe. He holds a B.A. in Finance from the University of Illinois.

Amnon Baazov, Managing Partner: Mr. Baazov, as a founding partner of ARB Trading Group, has led the firm's automated algorithmic trading division since 2009. He has overseen the creation and implementation of numerous automated trading strategies, covering multiple asset classes and statistical approaches. Mr. Baazov started his trading career in 1996 focusing on interest rate differentials. He holds a B.A. in International Finance from HEC Montreal.

Mark Downing, Chief Operating Officer: Mark is responsible for overseeing the launch of ARB AM funds and strategies. Prior to joining ARB, he served as COO of a Chicago based hedge fund with $150m AUM. Mark also previously traded interest rate options as a market maker for both his own proprietary firm as well as for a leading institutional market maker starting in 2006. He holds a B.S. in Finance and Computer Information Systems from Indiana University Kelley School of Business.

Performance

Return from January 2024 represent an ARB proprietary account.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2025	-0.25%	0.01%	1.47%	1.63%	-0.75%	-1.10%	0.66%	-0.66%	1.39%	2.15%			4.58%	-1.85%
2024	-1.40%	1.63%	2.18%	-1.42%	4.38%	-2.03%	6.76%	1.15%	0.80%	-3.39%	-1.01%	1.14%	8.65%	-4.37%

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.