Imfc Alpha Pres Mar 2011

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PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

The IMFC Global Investment Program

Sustainable Alpha in Managed Futures

March, 2011

THIS DOCUMENT CONTAINS INFORMATION ABOUT INTEGRATED MANAGED FUTURES CORP. (“IMFC”) AND ITS KEY PERSONNEL, A

GENERAL DESCRIPTION OF IMFC’S TRADING PROGRAM AND MODEL AND A PERFORMANCE HISTORY OF THIS PROGRAM AND MODEL.

THIS DOCUMENT IS NOT AN OFFER OR SOLICITATION TO INVEST IN IMFC'S TRADING PROGRAM. SUCH A SOLICITATION CAN ONLY BE

MADE ONCE A PROSPECTIVE CLIENT HAS BEEN PROVIDED A DISCLOSURE DOCUMENT (FOR U.S. RESIDENT INVESTORS) OR OFFERING

DOCUMENTS ( FOR CANADA-RESIDENT INVESTORS). PLEASE CONTACT IMFC FOR FURTHER INFORMATION ABOUT ITS PROGRAM OR TO

RECEIVE A COPY OF IMFC’S DISCLOSURE DOCUMENT OR OFFERING DOCUMENTS. EACH CLIENT MUST ACKNOWLEDGE RECEIVING

IMFC’S DISCLOSURE DOCUMENT OR OFFERING DOCUMENTS PRIOR TO OPENING AN ACCOUNT.

FURTHERMORE, THE PERFORMANCE RESULTS SHOWN IN THIS DOCUMENT ARE BEING SHOWN FOR INFORMATIONAL PURPOSES ONLY

AND ARE NOT MEANT TO IMPLY THAT IMFC’S PROGRAM WILL HAVE SIMILAR RESULTS IN THE FUTURE SINCE PAST PERFORMANCE IS

NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

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Important Information

Past Performance is not indicative of future results

This communication is not and under no circumstances is to be construed as an invitation to make an investment in

the IMFC Global Investment Program nor does it constitute a public offering to sell the program. Applications for

IMFC Global Investment Program will only be considered on the terms set out in the Disclosure Document (for U.S.

resident investors ) or Offering Documents (for Canada-resident investors). Terms defined in the Disclosure Document

and Offering Documents shall have the same meaning in this material. Potential investors should note that alternative

investments can involve significant risks and the value of the investment may go down as well as up. There is no

guarantee of trading performance and past performance is not indicative of future results. Investors should review the

Disclosure Document and Offering Documents in their entirety for a complete description of IMFC Global Investment

Program. An investment should only be made after consultation with independent qualified sources of investment and

tax advice. The information contained in this material is subject to change without notice and IMFC will not be held

liable for any inaccuracies or misprints.

Risks of Investing

There are risks associated with an investment in the Program, as a result of, among other considerations, the

proposed nature and operations of the Program. An investment in the Program should only be made after consultation

with independent qualified sources of investment and tax advice. An investment in the Program is speculative and

involves a high degree of risk and is not intended as a complete investment program. It should be borne in mind that

risks involved in this type of investment are greater than those normally associated with other types of investments.

There is a risk that an investment in the Program will be lost entirely or in part. Only investors who do not require

immediate liquidity of their investment and who can reasonably afford a substantial impairment or loss of their entire

investment should consider investment in the Program. Capitalized terms not defined in this document are defined as

set forth in the Disclosure Documents and Offering Documents.

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Hypothetical Performance Disclaimer

THE RESULTS IN THIS PRESENTATION CONTAIN BOTH ACTUAL AND HYPOTHETICAL RESULTS.

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE

DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO

ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP

DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS

SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY

PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT

INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR

THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND

LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE

MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE

NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF

ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION

OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL

TRADING RESULTS.

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IMFC Global Investment Program vs. naïve trend-following model

In this analysis we start with a simple naïve trend-following model and examine

returns – both actual and hypothetical – from Jan. 1990 to April 2010.

We will then show how the gradual addition of various proprietary IMFC systems

and algorithms greatly improves this model. These consist of:

1. IMFC trend-based algorithms

2. Additional Proprietary IMFC Algorithms

• Short rate strategy

• Value-based long equity index strategy

• Long “positive roll yield” strategy

3. Proprietary IMFC Risk Management Algorithms

Sustainable Alpha in Managed Futures

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Correlation: Model and Actual

Model has 0.97 historical correlation to actual IMFC Global returns

Monthly performance, net of fees and expenses

Please refer to the Hypothetical Performance Disclaimer on p.3

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Beta Model (Pro-Forma)

“Beta” managed futures program is a pure naïve trend-following model

Signals are the trend-following indicators utilized to calculate stops in the IMFC Global Investment Program

Risk-balanced positions based on simple 1-Yr historical volatility

Summary Statistics (net of fees and expenses)

ROR 15.45%

StDev 16.05%

Downside Dev 13.02%

Sortino 1.19

Max Drawdown -21.91%


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Beta Model VAMI (Jan 1990-April 2010) (Pro-Forma)

Daily gross returns


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IMFC Trend Following Signals

Step 1: Replace trend following signals in Beta model with IMFC trend-based algorithms

Use mathematical smoothing and sampling techniques

Quantify risk premia

Probability-weighted price forecast (vol. and direction)

Calculate implied ROR

Determine likely return source (spot, roll yield, both)

Determine type of position (outright, spread)

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IMFC Trend Following Signals (Pro-Forma)


Beta IMFC TF Signals

ROR 15.45% 18.38%

Std. Dev 16.05% 15.57%

Downside Dev 13.02% 13.59%

Sortino 1.19 1.35

Max Drawdown -21.91% -19.40%


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VAMI: IMFC Trend Following Signals (Pro-Forma)

(Jan 1990-April 2010)Daily gross returns


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Other IMFC Trading Algorithms

Step 2: Add Additional Proprietary IMFC Algorithms

1. Short rate strategy

Quickly long flight to quality

Spread opportunities when yields are low but curve is steep

Avoids rising rate environments

2. Value-based long equity index strategy

3. Long “positive roll yield” strategy

Physical commodity futures basket

Systematic re-balancing

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IMFC All Trading Strategies (“All Signals”) (Pro-Forma)


Beta IMFC TF Signals IMFC All Signals

ROR 15.45% 18.38% 22.69%

Std. Dev 16.05% 15.57% 16.50%

Downside Dev 13.02% 13.59% 13.21%

Sortino 1.19 1.35 1.72

Max Drawdown -21.91% -19.40% -17.05%


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VAMI: IMFC All Signals (Jan 1990-April 2010) (Pro-Forma)

Daily gross returns


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IMFC Risk Management

Step 3: Add Proprietary IMFC Risk Management Algorithms

Risk balancing based on forecast of potential volatility, not average historical volatility

Quantitative techniques reduce market exposure

Identify factors associated with transition points and periods of potential future underperformance

New and important information; sentiment shifts

Market irrationality

Volatility shifts

Volatility and non-parametric Value-a-Risk (VaR) overlays

Option-based risk management strategies

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IMFC Global Investment Program (Pro-Forma)


Beta

IMFC TF

Signals

IMFC All

Signals

IMFC Global

Investment

Program

ROR 15.45% 18.38% 22.69% 25.29%

Std. Dev 16.05% 15.57% 16.50% 15.40%

Downside Dev 13.02% 13.59% 13.21% 11.36%

Sortino 1.19 1.35 1.72 2.23

Max

Drawdown -21.91% -19.40% -17.05% -17.22%


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VAMI: IMFC Global Investment Program (Pro-Forma)

Daily gross returns


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Return Distributions (Pro-Forma)


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Actual Performance IMFC Global Investment Program

January 0.00% 4.59% -0.88% -3.36% -0.21%

February -6.55% 18.84% -0.47% 2.31% 3.88%

March -3.03% -1.19% -3.63% 3.52%

April 9.05% -2.77% -1.84% 0.56%

May 5.56% 1.07% -2.95% -3.44%

June 4.44% 4.26% 0.27% -0.62%

July -7.01% -6.98% -0.04% -3.88%

August -3.72% -3.39% 4.39% 9.37%

September 11.52% 4.26% 3.31% 1.80%

October 7.13% 19.65% -4.28% 5.63%

November -1.25% 2.26% 8.77% -1.86%

December 2.27% 2.23% -3.99% 3.07%

YTD Rate of Return 17.69% 47.47% -2.14% 12.94% 3.66%

Month 2010 2011

(computed on a compounded monthly basis in accordance with the “Time-Weighted” method)

percentage rate of return

Actual Performance Capsule ( US $ )

For IMFC Global

Monthly Rate of Return for the IMFC Global Program

2007 2008 2009

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Conclusions

There are demonstrable sources of Alpha in the IMFC Global Investment Program

Enhanced core trading algorithms isolate and evaluate factors responsible for serial correlation in markets and trend-following performance

Diversifying algorithms capture other unrelated sources of market return

Substantial risk management processes and algorithms

Initial risk budgets based on dynamic volatility and correlation arrays

Risk overlays identify factors associated with potential future under-performance

Vol/VaR overlays

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Professional Staff

Roland P. Austrup, B.A.

President & CEO

Registered with the Commodity Futures Trading Commission (CFTC) in the United States as an Associated

Person and Principal since June 1997 and with the Ontario Securities Commission (OSC) as an Advisor since

February 1999. Mr. Austrup is an associate member of the National Futures Association. And a member of the

MFA. He is also a director of the Master of Quantitative Finance program at the University of Waterloo. Mr.

Austrup was an investment advisor with BMO Nesbitt Burns from 1991 to 1996 and a commodities broker with

ScotiaMcLeod from 1988 to 1990. B.A. (Honours), University of Western Ontario.

David G. Mather, B.A., M.A.

Vice President & Director

Executive Vice President, Integrated Asset Management Corp. since 2001. Director since 2004. Vice-President,

Director and Principal, Integrated Managed Futures Corp. since 2003. Registered with the CFTC as an Associated

Person since March, 2010. Associate member of the National Futures Association. Member of the MFA, Director,

River Plate House Capital Management Inc. Previously Managing Director, SEI Investments, and Managing

Director, Fidelity Group Pensions. Senior Vice-President, Elliott & Page, 1990-1997. Vice-President, Crown Life

Investment Management, 1983-1990. Prior experience with Royal Trust and Toronto-Dominion Bank. Presently

Past Chair, Board of Governors, Royal St George's College, Treasurer & Director, Royal St. George’s College

Foundation, Treasurer, Director and Chair, Investment Committee, Boys and Girls Clubs of Canada Foundation,

Chair, Investment Committee, Heart and Stroke Foundation of Ontario, Chair, Pension Committee, Heart and

Stroke Foundation of Canada. Past director Genesis Research Foundation, Toronto Brigantine Inc. B.A. (Honours),

University of Waterloo, M.A., University of Waterloo.

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Professional Staff

Stephen C. Johnson, B.Sc., CA (Scotland), CA, C.B.V.

Principal and Director

Mr. Johnson is CFO and Director of both Integrated Asset Management Corp. and BluMont Capital, Senior Vice-

President, Integrated Partners. Previously, Mr. Johnson was Vice-President, The Poplar Corporation from 1989-

1994, Vice-President, Mergers & Acquisitions, Wood Gundy from 1988-1989, Assistant General Manager, Mergers &

Acquisitions, CIBC from 1986-1988, and was with KPMG in London, England, and Toronto from 1975-1986. B.Sc.

Economics (Honours), Southampton University. Chartered Accountant and Chartered Business Valuator.

Adam Kolkiewicz, Ph.D.

Quantitative Research Associate

Dr. Kolkiewicz is a Professor in the Department of Statistics and Actuarial Science at the University of Waterloo. Over

the last ten years he has been teaching courses in the Master in Statistics-Finance program, Canada's premier

Master's program in quantitative finance. He is an Associate Chair for Graduate Studies and a founding member of

the Institute for Quantitative Finance and Insurance. Dr. Kolkiewicz's research interests include computational and

mathematical finance and methods of statistical inference. In particular, his recent studies deal with the problems of

valuation and hedging of complex financial instruments as well as methods of statistical inference for time series

models .M.Math, Technical University of Wroclaw, Ph.D., University of Waterloo.

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Professional Staff

Robert Koloshuk, B.A.H.

Senior Strategist & Director of Trading

Mr. Robert Koloshuk is the Senior Strategist & Director of Trading. Mr. Koloshuk has been registered with the CFTC as an associated person since June, 2004, and is an associate member of the National Futures Association. Mr. Koloshuk has been conducting research exclusive to the Managed Futures industry since September of 2002, and he has been working extensively in collaboration with Professor Kolkiewiez at the University of Waterloo for the past five years. Mr. Koloshuk is also a computer programmer and a trade execution and account management supervisor. Mr. Koloshuk holds a B.A. (Honours Philosophy) from the University of Guelph, where he specialized in Machine Functionalism.

James Rider, B.A., M.A.

Research Advisor

Founder, President and CEO of FxVolResearch Ltd. Mr. Rider is a Research Advisor to IMFC. He has been registered with the CFTC as a CTA, Associated person and Principal of FxVolResearch Ltd. Since November, 2010. Mr. Rider has been involved in the trading, marketing and researching of FX options markets since 1988. Co-founded Volatility Research & Trading Pte Ltd., a hedge fund company funded by a major London-based alternative investment management firm. As Research Director, Mr. Rider directed on-going research and programming with respect to limited loss volatility based trading strategies in the foreign exchange market. Previously spent over 10 years with Canadian Imperial Bank of Commerce (CIBC) in both Toronto and Singapore, chiefly responsible for overseeing the development of CIBC’s Foreign Exchange options business. As Executive Director of CIBC FP Asia, originated the establishment of an institutional derivative product-marketing desk in the Asia-Pacific region. B.A., University of Toronto, M.A. ( International Relations), Sussex University, post-graduate certificate in Economics from Birkbeck College, University of London.

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Professional Staff

Bryan Chuah, B.Sc.

Director of Quantitative Research

Bryan joined IMFC in June, 2009. Prior to joining IMFC, Mr. Chuah was a proprietary equity trader with Vibe

Equities in Edmonton. Bryan is in the final stage of a Masters in Quantitative Finance degree at the University of

Waterloo, and has a Bachelor of Science (actuarial science) degree from the University of Alberta . He has been

registered with the CFTC as an Associated Person since October 2009, and is an associate member of the

National Futures Association. B.Sc., University of Alberta

John Lukovich, B.A.Sc.

Trader and Research Analyst

John joined IMFC in May, 2009. He has been registered with the CFTC as an Associated Person since October

2009, and is an associate member of the National Futures Association. John was an FPGA/ASIC verification

engineer at Nortel prior to joining IMFC. John is also working towards a Master of Engineering at the Centre for

Management of Technology and Entrepreneurship at the University of Toronto. B.A.Sc., University of Toronto.

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IMFC Contact Information

Integrated Managed Futures Corp.

70 University Avenue, Suite 1200

Toronto, Ontario M5J 2M4

Canada

Contact: David Mather

Vice President

Tel: + 1 416 933 8274

Fax: + 1 416 360 7446

Email: [email protected]

Website: www.imfc.ca

www.iamgroup.ca