John Locke Investments

Cyril Systematic Strategy *QEP*


Monthly Performance (%)

Date Range: 06/00 - 01/20
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2020 2.91   2.91 
2019 -3.29 -2.88 6.71 0.58 8.72 1.07 5.09 2.47 -0.44 -2.69 0.83 -0.96  15.41 
2018 8.56 -5.01 -4.61 -2.78 -0.85 -1.47 -0.03 3.77 -2.39 2.06 -4.79 0.42  -7.69 
2017 -3.11 6.54 -0.80 2.92 3.05 -0.69 3.74 0.28 -1.40 4.34 0.87 0.59  17.12 
2016 11.23 5.51 -3.68 -0.38 -3.29 8.03 1.74 -3.71 -5.29 -4.73 5.98 3.90  14.51 
2015 6.16 1.52 -0.17 -3.19 0.12 -7.02 -1.33 -1.59 2.08 -5.05 1.52 -3.67  -10.76 
2014 -3.14 4.37 -3.52 -0.93 3.05 2.88 -0.14 6.17 3.48 0.98 8.40 2.42  26.00 
2013 -0.82 -0.88 1.12 4.47 -1.84 -3.13 -2.90 -2.28 -1.16 2.05 4.44 1.33  0.02 
2012 -0.76 1.37 -3.35 0.80 4.90 -5.49 6.54 -1.47 -2.97 -5.05 -0.51 1.55  -5.06 
2011 -3.00 1.18 -3.96 2.66 -4.23 -2.89 4.81 2.88 2.67 -7.54 -1.85 0.36  -9.26 
2010 -2.21 -0.80 0.45 -0.57 0.98 1.16 -1.33 5.13 0.96 2.37 -3.99 5.25  7.22 
2009 -1.09 -0.24 -4.96 -4.87 6.93 -0.59 0.56 -0.13 0.65 -3.40 3.63 -3.48  -7.38 
2008 4.79 6.95 0.55 -0.07 2.62 -1.05 -4.11 6.71 -0.04 6.48 1.10 1.66  28.00 
2007 0.92 -2.14 -1.15 0.49 -2.45 5.24 0.66 -0.23 7.01 2.47 4.02 0.53  15.98 
2006 5.28 -3.33 -1.49 16.24 1.62 -8.02 -2.60 0.66 0.42 -0.26 1.75 -5.44  2.92 
2005 -9.69 6.93 -4.85 -1.42 2.91 3.13 -0.77 5.98 -1.16 1.99 5.46 0.13  7.62 
2004 2.12 6.42 0.80 2.50 1.44 -5.89 2.26 2.10 -3.56 0.43 3.89 -2.84  9.42 
2003 3.01 2.72 -4.52 -5.12 9.63 -1.94 5.11 -2.67 8.29 2.45 -6.88 4.29  13.58 
2002 -2.04 -8.94 5.90 -1.76 -1.74 11.77 4.10 -0.40 3.58 -6.03 -1.72 9.10  10.29 
2001 2.75 -0.15 6.25 -3.03 2.28 -2.63 -2.77 4.01 2.08 4.63 -4.03 -0.42  8.67 
2000 -4.39 1.13 -3.31 -2.82 4.43 11.93  6.20 

Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

Adopts a systematic approach to investing in global futures markets. Multiple trend detection techniques are employed, over multiple time horizons to a diverse basket of futures markets. Risk is equalized across all contracts through the use of real time volatility measures. A dynamic risk management tool also analyzes risk factors such as rising correlations and reversal risk at the portfolio level. The average holding period is approximately three weeks, provides for daily liquidity.

Performance Statistics

Date Range: 06/00 - 01/20
  Program S&P 500 Coquest 40 
Total Return 267.99% 233.68% 147.05% 
Annualized Return 6.88% 6.32% 4.71% 
Annualized Std. Deviation 14.07% 14.35% 10.04% 
Correlation -0.14 0.66 
Sharpe Ratio (rf=2.5%) 0.31 0.27 0.22 
Worst Month -9.69% -16.79% -7.77% 
Date of Worst Month 01/2005 10/2008 11/2001 
Worst Drawdown -20.77% -50.95% -15.74% 
Date of Worst Drawdown 12/08 - 9/13 10/07 - 2/09 4/11 - 9/13 

Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 06/00 - 01/20
Year or YTD Program S&P 500 Coquest 40 
2020 2.91 -0.04 1.01 
2019 15.41 31.50 7.53 
2018 -7.69 -4.38 -4.29 
2017 17.12 21.84 1.24 
2016 14.51 11.98 -3.13 
2015 -10.76 1.41 0.09 
2014 26.00 13.69 15.75 
2013 0.02 32.41 -2.45 
2012 -5.06 15.98 -4.75 
2011 -9.26 2.12 -3.23 
2010 7.22 15.06 11.33 
2009 -7.38 26.45 -7.98 
2008 28.00 -36.99 15.47 
2007 15.98 5.50 7.18 
2006 2.92 15.79 6.70 
2005 7.62 4.89 4.51 
2004 9.42 10.87 2.57 
2003 13.58 28.69 15.99 
2002 10.29 -22.10 15.22 
2001 8.67 -11.88 5.39 
2000 6.20 -8.71 15.67 

Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 06/00 - 01/20
Date: 1/31/2020
Perf: $2,509.42 Date: 12/31/2019
Perf: $2,484.33 Date: 11/30/2019
Perf: $2,499.83 Date: 10/31/2019
Perf: $2,475.57 Date: 9/30/2019
Perf: $2,531.52 Date: 8/31/2019
Perf: $2,603.64 Date: 7/31/2019
Perf: $2,512.68 Date: 6/30/2019
Perf: $2,429.82 Date: 5/31/2019
Perf: $2,382.18 Date: 4/30/2019
Perf: $2,429.80 Date: 3/31/2019
Perf: $2,364.77 Date: 2/28/2019
Perf: $2,282.82 Date: 1/31/2019
Perf: $2,268.30 Date: 12/31/2018
Perf: $2,310.35 Date: 11/30/2018
Perf: $2,300.69 Date: 10/31/2018
Perf: $2,328.63 Date: 9/30/2018
Perf: $2,387.60 Date: 8/31/2018
Perf: $2,398.40 Date: 7/31/2018
Perf: $2,338.76 Date: 6/30/2018
Perf: $2,356.43 Date: 5/31/2018
Perf: $2,336.80 Date: 4/30/2018
Perf: $2,367.34 Date: 3/31/2018
Perf: $2,342.05 Date: 2/28/2018
Perf: $2,344.16 Date: 1/31/2018
Perf: $2,496.44 Date: 12/31/2017
Perf: $2,413.89 Date: 11/30/2017
Perf: $2,387.86 Date: 10/31/2017
Perf: $2,384.76 Date: 9/30/2017
Perf: $2,288.85 Date: 8/31/2017
Perf: $2,338.19 Date: 7/31/2017
Perf: $2,300.01 Date: 6/30/2017
Perf: $2,291.07 Date: 5/31/2017
Perf: $2,359.99 Date: 4/30/2017
Perf: $2,355.51 Date: 3/31/2017
Perf: $2,369.73 Date: 2/28/2017
Perf: $2,404.84 Date: 1/31/2017
Perf: $2,353.53 Date: 12/31/2016
Perf: $2,384.29 Date: 11/30/2016
Perf: $2,366.31 Date: 10/31/2016
Perf: $2,392.63 Date: 9/30/2016
Perf: $2,455.99 Date: 8/31/2016
Perf: $2,488.09 Date: 7/31/2016
Perf: $2,556.87 Date: 6/30/2016
Perf: $2,531.05 Date: 5/31/2016
Perf: $2,427.86 Date: 4/30/2016
Perf: $2,471.11 Date: 3/31/2016
Perf: $2,534.73 Date: 2/29/2016
Perf: $2,609.63 Date: 1/31/2016
Perf: $2,546.97 Date: 12/31/2015
Perf: $2,461.32 Date: 11/30/2015
Perf: $2,519.26 Date: 10/31/2015
Perf: $2,436.19 Date: 9/30/2015
Perf: $2,479.33 Date: 8/31/2015
Perf: $2,426.67 Date: 7/31/2015
Perf: $2,469.39 Date: 6/30/2015
Perf: $2,376.47 Date: 5/31/2015
Perf: $2,506.82 Date: 4/30/2015
Perf: $2,525.00 Date: 3/31/2015
Perf: $2,626.38 Date: 2/28/2015
Perf: $2,569.59 Date: 1/31/2015
Perf: $2,573.71 Date: 12/31/2014
Perf: $2,459.12 Date: 11/30/2014
Perf: $2,416.59 Date: 10/31/2014
Perf: $2,280.87 Date: 9/30/2014
Perf: $2,247.83 Date: 8/31/2014
Perf: $2,214.83 Date: 7/31/2014
Perf: $2,124.94 Date: 6/30/2014
Perf: $2,142.08 Date: 5/31/2014
Perf: $2,123.82 Date: 4/30/2014
Perf: $2,070.80 Date: 3/31/2014
Perf: $2,055.18 Date: 2/28/2014
Perf: $2,086.06 Date: 1/31/2014
Perf: $2,069.09 Date: 12/31/2013
Perf: $2,124.54 Date: 11/30/2013
Perf: $2,127.52 Date: 10/31/2013
Perf: $2,089.70 Date: 9/30/2013
Perf: $2,042.91 Date: 8/31/2013
Perf: $2,055.25 Date: 7/31/2013
Perf: $2,095.48 Date: 6/30/2013
Perf: $2,113.87 Date: 5/31/2013
Perf: $2,197.14 Date: 4/30/2013
Perf: $2,295.86 Date: 3/31/2013
Perf: $2,238.12 Date: 2/28/2013
Perf: $2,206.35 Date: 1/31/2013
Perf: $2,219.22 Date: 12/31/2012
Perf: $2,177.84 Date: 11/30/2012
Perf: $2,167.22 Date: 10/31/2012
Perf: $2,161.17 Date: 9/30/2012
Perf: $2,242.34 Date: 8/31/2012
Perf: $2,279.96 Date: 7/31/2012
Perf: $2,311.40 Date: 6/30/2012
Perf: $2,220.58 Date: 5/31/2012
Perf: $2,307.33 Date: 4/30/2012
Perf: $2,264.31 Date: 3/31/2012
Perf: $2,250.80 Date: 2/29/2012
Perf: $2,303.08 Date: 1/31/2012
Perf: $2,293.68 Date: 12/31/2011
Perf: $2,286.36 Date: 11/30/2011
Perf: $2,264.62 Date: 10/31/2011
Perf: $2,257.85 Date: 9/30/2011
Perf: $2,350.95 Date: 8/31/2011
Perf: $2,352.36 Date: 7/31/2011
Perf: $2,357.07 Date: 6/30/2011
Perf: $2,275.39 Date: 5/31/2011
Perf: $2,336.13 Date: 4/30/2011
Perf: $2,424.63 Date: 3/31/2011
Perf: $2,333.61 Date: 2/28/2011
Perf: $2,369.87 Date: 1/31/2011
Perf: $2,330.26 Date: 12/31/2010
Perf: $2,362.63 Date: 11/30/2010
Perf: $2,265.44 Date: 10/31/2010
Perf: $2,348.58 Date: 9/30/2010
Perf: $2,260.86 Date: 8/31/2010
Perf: $2,220.45 Date: 7/31/2010
Perf: $2,132.17 Date: 6/30/2010
Perf: $2,160.04 Date: 5/31/2010
Perf: $2,151.86 Date: 4/30/2010
Perf: $2,205.23 Date: 3/31/2010
Perf: $2,171.78 Date: 2/28/2010
Perf: $2,088.85 Date: 1/31/2010
Perf: $2,069.40 Date: 12/31/2009
Perf: $2,122.25 Date: 11/30/2009
Perf: $2,210.67 Date: 10/31/2009
Perf: $2,125.03 Date: 9/30/2009
Perf: $2,180.86 Date: 8/31/2009
Perf: $2,130.17 Date: 7/31/2009
Perf: $2,123.16 Date: 6/30/2009
Perf: $2,125.50 Date: 5/31/2009
Perf: $2,183.58 Date: 4/30/2009
Perf: $2,153.86 Date: 3/31/2009
Perf: $2,226.67 Date: 2/28/2009
Perf: $2,290.11 Date: 1/31/2009
Perf: $2,291.25 Date: 12/31/2008
Perf: $2,306.24 Date: 11/30/2008
Perf: $2,248.46 Date: 10/31/2008
Perf: $2,168.86 Date: 9/30/2008
Perf: $2,062.63 Date: 8/31/2008
Perf: $2,058.31 Date: 7/31/2008
Perf: $2,114.78 Date: 6/30/2008
Perf: $2,216.51 Date: 5/31/2008
Perf: $2,158.87 Date: 4/30/2008
Perf: $2,115.30 Date: 3/31/2008
Perf: $2,139.91 Date: 2/29/2008
Perf: $2,149.36 Date: 1/31/2008
Perf: $2,033.65 Date: 12/31/2007
Perf: $1,997.30 Date: 11/30/2007
Perf: $2,001.90 Date: 10/31/2007
Perf: $2,015.00 Date: 9/30/2007
Perf: $1,931.74 Date: 8/31/2007
Perf: $1,845.55 Date: 7/31/2007
Perf: $1,917.06 Date: 6/30/2007
Perf: $1,978.19 Date: 5/31/2007
Perf: $1,922.62 Date: 4/30/2007
Perf: $1,856.35 Date: 3/31/2007
Perf: $1,781.53 Date: 2/28/2007
Perf: $1,824.21 Date: 1/31/2007
Perf: $1,895.29 Date: 12/31/2006
Perf: $1,863.42 Date: 11/30/2006
Perf: $1,802.50 Date: 10/31/2006
Perf: $1,759.39 Date: 9/30/2006
Perf: $1,740.25 Date: 8/31/2006
Perf: $1,758.89 Date: 7/31/2006
Perf: $1,739.41 Date: 6/30/2006
Perf: $1,765.54 Date: 5/31/2006
Perf: $1,790.07 Date: 4/30/2006
Perf: $1,838.79 Date: 3/31/2006
Perf: $1,795.00 Date: 2/28/2006
Perf: $1,748.15 Date: 1/31/2006
Perf: $1,779.83 Date: 12/31/2005
Perf: $1,746.47 Date: 11/30/2005
Perf: $1,778.66 Date: 10/31/2005
Perf: $1,705.50 Date: 9/30/2005
Perf: $1,702.77 Date: 8/31/2005
Perf: $1,676.95 Date: 7/31/2005
Perf: $1,667.94 Date: 6/30/2005
Perf: $1,666.94 Date: 5/31/2005
Perf: $1,611.97 Date: 4/30/2005
Perf: $1,563.66 Date: 3/31/2005
Perf: $1,602.93 Date: 2/28/2005
Perf: $1,611.95 Date: 1/31/2005
Perf: $1,600.91 Date: 12/31/2004
Perf: $1,671.09 Date: 11/30/2004
Perf: $1,665.60 Date: 10/31/2004
Perf: $1,580.11 Date: 9/30/2004
Perf: $1,527.86 Date: 8/31/2004
Perf: $1,507.51 Date: 7/31/2004
Perf: $1,517.98 Date: 6/30/2004
Perf: $1,535.49 Date: 5/31/2004
Perf: $1,587.89 Date: 4/30/2004
Perf: $1,613.54 Date: 3/31/2004
Perf: $1,720.56 Date: 2/29/2004
Perf: $1,737.59 Date: 1/31/2004
Perf: $1,644.82 Date: 12/31/2003
Perf: $1,629.18 Date: 11/30/2003
Perf: $1,561.57 Date: 10/31/2003
Perf: $1,566.27 Date: 9/30/2003
Perf: $1,531.80 Date: 8/31/2003
Perf: $1,538.88 Date: 7/31/2003
Perf: $1,524.55 Date: 6/30/2003
Perf: $1,559.80 Date: 5/31/2003
Perf: $1,599.96 Date: 4/30/2003
Perf: $1,511.25 Date: 3/31/2003
Perf: $1,489.36 Date: 2/28/2003
Perf: $1,579.72 Date: 1/31/2003
Perf: $1,490.72 Date: 12/31/2002
Perf: $1,404.62 Date: 11/30/2002
Perf: $1,323.99 Date: 10/31/2002
Perf: $1,361.56 Date: 9/30/2002
Perf: $1,435.95 Date: 8/31/2002
Perf: $1,372.67 Date: 7/31/2002
Perf: $1,340.36 Date: 6/30/2002
Perf: $1,272.42 Date: 5/31/2002
Perf: $1,169.07 Date: 4/30/2002
Perf: $1,139.56 Date: 3/31/2002
Perf: $1,167.10 Date: 2/28/2002
Perf: $1,170.49 Date: 1/31/2002
Perf: $1,204.46 Date: 12/31/2001
Perf: $1,219.09 Date: 11/30/2001
Perf: $1,193.90 Date: 10/31/2001
Perf: $1,294.48 Date: 9/30/2001
Perf: $1,240.87 Date: 8/31/2001
Perf: $1,203.80 Date: 7/31/2001
Perf: $1,168.85 Date: 6/30/2001
Perf: $1,166.28 Date: 5/31/2001
Perf: $1,179.25 Date: 4/30/2001
Perf: $1,178.90 Date: 3/31/2001
Perf: $1,256.29 Date: 2/28/2001
Perf: $1,179.83 Date: 1/31/2001
Perf: $1,168.73 Date: 12/31/2000
Perf: $1,156.70 Date: 11/30/2000
Perf: $1,068.74 Date: 10/31/2000
Perf: $1,005.78 Date: 9/30/2000
Perf: $985.19 Date: 8/31/2000
Perf: $1,002.64 Date: 7/31/2000
Perf: $982.40 Date: 6/30/2000
Perf: $1,000.00 Date: 1/31/2020
Perf: $3,256.36 Date: 12/31/2019
Perf: $3,257.67 Date: 11/30/2019
Perf: $3,162.17 Date: 10/31/2019
Perf: $3,051.40 Date: 9/30/2019
Perf: $2,986.59 Date: 8/31/2019
Perf: $2,931.77 Date: 7/31/2019
Perf: $2,978.83 Date: 6/30/2019
Perf: $2,936.55 Date: 5/31/2019
Perf: $2,743.16 Date: 4/30/2019
Perf: $2,929.16 Date: 3/31/2019
Perf: $2,815.14 Date: 2/28/2019
Perf: $2,761.57 Date: 1/31/2019
Perf: $2,675.68 Date: 12/31/2018
Perf: $2,477.25 Date: 11/30/2018
Perf: $2,723.15 Date: 10/31/2018
Perf: $2,668.71 Date: 9/30/2018
Perf: $2,864.65 Date: 8/31/2018
Perf: $2,848.42 Date: 7/31/2018
Perf: $2,758.49 Date: 6/30/2018
Perf: $2,659.56 Date: 5/31/2018
Perf: $2,643.17 Date: 4/30/2018
Perf: $2,580.97 Date: 3/31/2018
Perf: $2,571.20 Date: 2/28/2018
Perf: $2,638.21 Date: 1/31/2018
Perf: $2,739.29 Date: 12/31/2017
Perf: $2,590.83 Date: 11/30/2017
Perf: $2,562.39 Date: 10/31/2017
Perf: $2,486.07 Date: 9/30/2017
Perf: $2,429.46 Date: 8/31/2017
Perf: $2,380.42 Date: 7/31/2017
Perf: $2,373.07 Date: 6/30/2017
Perf: $2,325.17 Date: 5/31/2017
Perf: $2,310.84 Date: 4/30/2017
Perf: $2,278.71 Date: 3/31/2017
Perf: $2,255.48 Date: 2/28/2017
Perf: $2,252.78 Date: 1/31/2017
Perf: $2,166.76 Date: 12/31/2016
Perf: $2,126.36 Date: 11/30/2016
Perf: $2,085.07 Date: 10/31/2016
Perf: $2,010.68 Date: 9/30/2016
Perf: $2,047.95 Date: 8/31/2016
Perf: $2,047.54 Date: 7/31/2016
Perf: $2,044.68 Date: 6/30/2016
Perf: $1,971.91 Date: 5/31/2016
Perf: $1,966.80 Date: 4/30/2016
Perf: $1,932.02 Date: 3/31/2016
Perf: $1,924.52 Date: 2/29/2016
Perf: $1,802.32 Date: 1/31/2016
Perf: $1,804.67 Date: 12/31/2015
Perf: $1,898.85 Date: 11/30/2015
Perf: $1,929.33 Date: 10/31/2015
Perf: $1,923.56 Date: 9/30/2015
Perf: $1,773.85 Date: 8/31/2015
Perf: $1,818.77 Date: 7/31/2015
Perf: $1,935.48 Date: 6/30/2015
Perf: $1,895.67 Date: 5/31/2015
Perf: $1,933.18 Date: 4/30/2015
Perf: $1,908.56 Date: 3/31/2015
Perf: $1,890.41 Date: 2/28/2015
Perf: $1,920.76 Date: 1/31/2015
Perf: $1,816.32 Date: 12/31/2014
Perf: $1,872.49 Date: 11/30/2014
Perf: $1,877.19 Date: 10/31/2014
Perf: $1,828.01 Date: 9/30/2014
Perf: $1,784.47 Date: 8/31/2014
Perf: $1,809.81 Date: 7/31/2014
Perf: $1,740.20 Date: 6/30/2014
Perf: $1,764.55 Date: 5/31/2014
Perf: $1,728.77 Date: 4/30/2014
Perf: $1,689.07 Date: 3/31/2014
Perf: $1,676.67 Date: 2/28/2014
Perf: $1,662.70 Date: 1/31/2014
Perf: $1,590.03 Date: 12/31/2013
Perf: $1,647.02 Date: 11/30/2013
Perf: $1,606.38 Date: 10/31/2013
Perf: $1,558.84 Date: 9/30/2013
Perf: $1,490.28 Date: 8/31/2013
Perf: $1,444.91 Date: 7/31/2013
Perf: $1,488.07 Date: 6/30/2013
Perf: $1,415.99 Date: 5/31/2013
Perf: $1,435.22 Date: 4/30/2013
Perf: $1,402.41 Date: 3/31/2013
Perf: $1,375.85 Date: 2/28/2013
Perf: $1,326.12 Date: 1/31/2013
Perf: $1,308.33 Date: 12/31/2012
Perf: $1,243.90 Date: 11/30/2012
Perf: $1,232.68 Date: 10/31/2012
Perf: $1,225.57 Date: 9/30/2012
Perf: $1,248.67 Date: 8/31/2012
Perf: $1,217.27 Date: 7/31/2012
Perf: $1,190.48 Date: 6/30/2012
Perf: $1,174.16 Date: 5/31/2012
Perf: $1,127.70 Date: 4/30/2012
Perf: $1,199.81 Date: 3/31/2012
Perf: $1,207.41 Date: 2/29/2012
Perf: $1,168.95 Date: 1/31/2012
Perf: $1,120.55 Date: 12/31/2011
Perf: $1,072.50 Date: 11/30/2011
Perf: $1,061.67 Date: 10/31/2011
Perf: $1,064.01 Date: 9/30/2011
Perf: $959.17 Date: 8/31/2011
Perf: $1,031.70 Date: 7/31/2011
Perf: $1,090.94 Date: 6/30/2011
Perf: $1,113.55 Date: 5/31/2011
Perf: $1,132.46 Date: 4/30/2011
Perf: $1,145.40 Date: 3/31/2011
Perf: $1,112.47 Date: 2/28/2011
Perf: $1,112.03 Date: 1/31/2011
Perf: $1,075.15 Date: 12/31/2010
Perf: $1,050.26 Date: 11/30/2010
Perf: $984.49 Date: 10/31/2010
Perf: $984.39 Date: 9/30/2010
Perf: $948.27 Date: 8/31/2010
Perf: $870.61 Date: 7/31/2010
Perf: $911.73 Date: 6/30/2010
Perf: $852.00 Date: 5/31/2010
Perf: $899.02 Date: 4/30/2010
Perf: $977.09 Date: 3/31/2010
Perf: $961.89 Date: 2/28/2010
Perf: $907.19 Date: 1/31/2010
Perf: $879.91 Date: 12/31/2009
Perf: $912.77 Date: 11/30/2009
Perf: $895.49 Date: 10/31/2009
Perf: $844.80 Date: 9/30/2009
Perf: $860.81 Date: 8/31/2009
Perf: $829.86 Date: 7/31/2009
Perf: $800.94 Date: 6/30/2009
Perf: $744.65 Date: 5/31/2009
Perf: $743.16 Date: 4/30/2009
Perf: $703.82 Date: 3/31/2009
Perf: $642.35 Date: 2/28/2009
Perf: $590.61 Date: 1/31/2009
Perf: $661.01 Date: 12/31/2008
Perf: $721.86 Date: 11/30/2008
Perf: $714.29 Date: 10/31/2008
Perf: $769.54 Date: 9/30/2008
Perf: $924.82 Date: 8/31/2008
Perf: $1,015.28 Date: 7/31/2008
Perf: $1,000.77 Date: 6/30/2008
Perf: $1,009.24 Date: 5/31/2008
Perf: $1,102.16 Date: 4/30/2008
Perf: $1,088.01 Date: 3/31/2008
Perf: $1,037.49 Date: 2/29/2008
Perf: $1,041.97 Date: 1/31/2008
Perf: $1,076.97 Date: 12/31/2007
Perf: $1,145.71 Date: 11/30/2007
Perf: $1,153.67 Date: 10/31/2007
Perf: $1,204.00 Date: 9/30/2007
Perf: $1,185.15 Date: 8/31/2007
Perf: $1,142.43 Date: 7/31/2007
Perf: $1,125.54 Date: 6/30/2007
Perf: $1,161.55 Date: 5/31/2007
Perf: $1,181.16 Date: 4/30/2007
Perf: $1,141.33 Date: 3/31/2007
Perf: $1,092.91 Date: 2/28/2007
Perf: $1,080.81 Date: 1/31/2007
Perf: $1,102.41 Date: 12/31/2006
Perf: $1,086.01 Date: 11/30/2006
Perf: $1,071.02 Date: 10/31/2006
Perf: $1,051.05 Date: 9/30/2006
Perf: $1,017.87 Date: 8/31/2006
Perf: $992.27 Date: 7/31/2006
Perf: $969.20 Date: 6/30/2006
Perf: $963.23 Date: 5/31/2006
Perf: $961.88 Date: 4/30/2006
Perf: $990.41 Date: 3/31/2006
Perf: $977.31 Date: 2/28/2006
Perf: $965.34 Date: 1/31/2006
Perf: $962.74 Date: 12/31/2005
Perf: $937.89 Date: 11/30/2005
Perf: $937.60 Date: 10/31/2005
Perf: $903.45 Date: 9/30/2005
Perf: $918.80 Date: 8/31/2005
Perf: $911.42 Date: 7/31/2005
Perf: $919.79 Date: 6/30/2005
Perf: $886.80 Date: 5/31/2005
Perf: $885.56 Date: 4/30/2005
Perf: $858.26 Date: 3/31/2005
Perf: $874.89 Date: 2/28/2005
Perf: $890.65 Date: 1/31/2005
Perf: $872.33 Date: 12/31/2004
Perf: $894.15 Date: 11/30/2004
Perf: $864.75 Date: 10/31/2004
Perf: $831.09 Date: 9/30/2004
Perf: $818.57 Date: 8/31/2004
Perf: $809.82 Date: 7/31/2004
Perf: $806.59 Date: 6/30/2004
Perf: $834.20 Date: 5/31/2004
Perf: $818.33 Date: 4/30/2004
Perf: $807.27 Date: 3/31/2004
Perf: $820.15 Date: 2/29/2004
Perf: $832.72 Date: 1/31/2004
Perf: $821.30 Date: 12/31/2003
Perf: $806.46 Date: 11/30/2003
Perf: $766.31 Date: 10/31/2003
Perf: $759.63 Date: 9/30/2003
Perf: $718.93 Date: 8/31/2003
Perf: $726.64 Date: 7/31/2003
Perf: $712.74 Date: 6/30/2003
Perf: $700.41 Date: 5/31/2003
Perf: $691.56 Date: 4/30/2003
Perf: $656.94 Date: 3/31/2003
Perf: $606.93 Date: 2/28/2003
Perf: $601.10 Date: 1/31/2003
Perf: $610.25 Date: 12/31/2002
Perf: $626.67 Date: 11/30/2002
Perf: $665.75 Date: 10/31/2002
Perf: $628.72 Date: 9/30/2002
Perf: $577.86 Date: 8/31/2002
Perf: $648.34 Date: 7/31/2002
Perf: $644.09 Date: 6/30/2002
Perf: $698.58 Date: 5/31/2002
Perf: $752.13 Date: 4/30/2002
Perf: $757.74 Date: 3/31/2002
Perf: $806.62 Date: 2/28/2002
Perf: $777.39 Date: 1/31/2002
Perf: $792.69 Date: 12/31/2001
Perf: $804.43 Date: 11/30/2001
Perf: $797.41 Date: 10/31/2001
Perf: $740.61 Date: 9/30/2001
Perf: $726.73 Date: 8/31/2001
Perf: $790.61 Date: 7/31/2001
Perf: $843.41 Date: 6/30/2001
Perf: $851.75 Date: 5/31/2001
Perf: $872.97 Date: 4/30/2001
Perf: $867.16 Date: 3/31/2001
Perf: $804.64 Date: 2/28/2001
Perf: $859.10 Date: 1/31/2001
Perf: $945.32 Date: 12/31/2000
Perf: $912.91 Date: 11/30/2000
Perf: $908.46 Date: 10/31/2000
Perf: $986.17 Date: 9/30/2000
Perf: $990.33 Date: 8/31/2000
Perf: $1,045.53 Date: 7/31/2000
Perf: $984.40 Date: 6/30/2000
Perf: $1,000.00 Date: 1/31/2020
Perf: $3,679.89 Date: 12/31/2019
Perf: $3,575.83 Date: 11/30/2019
Perf: $3,610.50 Date: 10/31/2019
Perf: $3,580.78 Date: 9/30/2019
Perf: $3,679.76 Date: 8/31/2019
Perf: $3,696.02 Date: 7/31/2019
Perf: $3,606.93 Date: 6/30/2019
Perf: $3,432.23 Date: 5/31/2019
Perf: $3,395.90 Date: 4/30/2019
Perf: $3,123.52 Date: 3/31/2019
Perf: $3,105.51 Date: 2/28/2019
Perf: $2,910.24 Date: 1/31/2019
Perf: $2,996.54 Date: 12/31/2018
Perf: $3,098.48 Date: 11/30/2018
Perf: $3,085.52 Date: 10/31/2018
Perf: $3,240.75 Date: 9/30/2018
Perf: $3,175.34 Date: 8/31/2018
Perf: $3,253.08 Date: 7/31/2018
Perf: $3,134.90 Date: 6/30/2018
Perf: $3,135.84 Date: 5/31/2018
Perf: $3,182.62 Date: 4/30/2018
Perf: $3,209.91 Date: 3/31/2018
Perf: $3,301.70 Date: 2/28/2018
Perf: $3,461.26 Date: 1/31/2018
Perf: $3,643.82 Date: 12/31/2017
Perf: $3,356.50 Date: 11/30/2017
Perf: $3,336.81 Date: 10/31/2017
Perf: $3,308.03 Date: 9/30/2017
Perf: $3,170.43 Date: 8/31/2017
Perf: $3,215.45 Date: 7/31/2017
Perf: $3,206.47 Date: 6/30/2017
Perf: $3,090.87 Date: 5/31/2017
Perf: $3,112.35 Date: 4/30/2017
Perf: $3,020.23 Date: 3/31/2017
Perf: $2,934.54 Date: 2/28/2017
Perf: $2,958.21 Date: 1/31/2017
Perf: $2,776.62 Date: 12/31/2016
Perf: $2,865.74 Date: 11/30/2016
Perf: $2,758.17 Date: 10/31/2016
Perf: $2,602.54 Date: 9/30/2016
Perf: $2,731.75 Date: 8/31/2016
Perf: $2,884.34 Date: 7/31/2016
Perf: $2,995.47 Date: 6/30/2016
Perf: $2,944.24 Date: 5/31/2016
Perf: $2,725.39 Date: 4/30/2016
Perf: $2,818.10 Date: 3/31/2016
Perf: $2,828.85 Date: 2/29/2016
Perf: $2,936.93 Date: 1/31/2016
Perf: $2,783.56 Date: 12/31/2015
Perf: $2,502.53 Date: 11/30/2015
Perf: $2,597.87 Date: 10/31/2015
Perf: $2,558.97 Date: 9/30/2015
Perf: $2,695.07 Date: 8/31/2015
Perf: $2,640.16 Date: 7/31/2015
Perf: $2,682.81 Date: 6/30/2015
Perf: $2,718.98 Date: 5/31/2015
Perf: $2,924.26 Date: 4/30/2015
Perf: $2,920.75 Date: 3/31/2015
Perf: $3,017.00 Date: 2/28/2015
Perf: $3,022.13 Date: 1/31/2015
Perf: $2,976.89 Date: 12/31/2014
Perf: $2,804.15 Date: 11/30/2014
Perf: $2,737.89 Date: 10/31/2014
Perf: $2,525.73 Date: 9/30/2014
Perf: $2,501.22 Date: 8/31/2014
Perf: $2,417.10 Date: 7/31/2014
Perf: $2,276.64 Date: 6/30/2014
Perf: $2,279.83 Date: 5/31/2014
Perf: $2,216.01 Date: 4/30/2014
Perf: $2,150.42 Date: 3/31/2014
Perf: $2,170.61 Date: 2/28/2014
Perf: $2,249.80 Date: 1/31/2014
Perf: $2,155.60 Date: 12/31/2013
Perf: $2,225.48 Date: 11/30/2013
Perf: $2,196.27 Date: 10/31/2013
Perf: $2,102.90 Date: 9/30/2013
Perf: $2,060.66 Date: 8/31/2013
Perf: $2,084.84 Date: 7/31/2013
Perf: $2,133.48 Date: 6/30/2013
Perf: $2,197.20 Date: 5/31/2013
Perf: $2,268.20 Date: 4/30/2013
Perf: $2,310.71 Date: 3/31/2013
Perf: $2,211.84 Date: 2/28/2013
Perf: $2,187.35 Date: 1/31/2013
Perf: $2,206.77 Date: 12/31/2012
Perf: $2,225.01 Date: 11/30/2012
Perf: $2,191.05 Date: 10/31/2012
Perf: $2,202.28 Date: 9/30/2012
Perf: $2,319.41 Date: 8/31/2012
Perf: $2,390.41 Date: 7/31/2012
Perf: $2,426.07 Date: 6/30/2012
Perf: $2,277.14 Date: 5/31/2012
Perf: $2,409.42 Date: 4/30/2012
Perf: $2,296.88 Date: 3/31/2012
Perf: $2,278.65 Date: 2/29/2012
Perf: $2,357.63 Date: 1/31/2012
Perf: $2,325.76 Date: 12/31/2011
Perf: $2,343.57 Date: 11/30/2011
Perf: $2,335.17 Date: 10/31/2011
Perf: $2,379.18 Date: 9/30/2011
Perf: $2,573.20 Date: 8/31/2011
Perf: $2,506.28 Date: 7/31/2011
Perf: $2,436.12 Date: 6/30/2011
Perf: $2,324.32 Date: 5/31/2011
Perf: $2,393.50 Date: 4/30/2011
Perf: $2,499.21 Date: 3/31/2011
Perf: $2,434.46 Date: 2/28/2011
Perf: $2,534.84 Date: 1/31/2011
Perf: $2,505.27 Date: 12/31/2010
Perf: $2,582.76 Date: 11/30/2010
Perf: $2,453.93 Date: 10/31/2010
Perf: $2,555.91 Date: 9/30/2010
Perf: $2,496.73 Date: 8/31/2010
Perf: $2,472.99 Date: 7/31/2010
Perf: $2,352.32 Date: 6/30/2010
Perf: $2,384.03 Date: 5/31/2010
Perf: $2,356.69 Date: 4/30/2010
Perf: $2,333.82 Date: 3/31/2010
Perf: $2,347.20 Date: 2/28/2010
Perf: $2,336.68 Date: 1/31/2010
Perf: $2,355.53 Date: 12/31/2009
Perf: $2,408.76 Date: 11/30/2009
Perf: $2,495.61 Date: 10/31/2009
Perf: $2,408.19 Date: 9/30/2009
Perf: $2,492.95 Date: 8/31/2009
Perf: $2,476.85 Date: 7/31/2009
Perf: $2,480.07 Date: 6/30/2009
Perf: $2,466.26 Date: 5/31/2009
Perf: $2,480.90 Date: 4/30/2009
Perf: $2,320.12 Date: 3/31/2009
Perf: $2,438.89 Date: 2/28/2009
Perf: $2,566.17 Date: 1/31/2009
Perf: $2,572.35 Date: 12/31/2008
Perf: $2,600.69 Date: 11/30/2008
Perf: $2,558.23 Date: 10/31/2008
Perf: $2,530.39 Date: 9/30/2008
Perf: $2,376.40 Date: 8/31/2008
Perf: $2,377.35 Date: 7/31/2008
Perf: $2,227.86 Date: 6/30/2008
Perf: $2,323.35 Date: 5/31/2008
Perf: $2,348.01 Date: 4/30/2008
Perf: $2,288.06 Date: 3/31/2008
Perf: $2,289.66 Date: 2/29/2008
Perf: $2,277.14 Date: 1/31/2008
Perf: $2,129.16 Date: 12/31/2007
Perf: $2,031.84 Date: 11/30/2007
Perf: $2,021.12 Date: 10/31/2007
Perf: $1,943.02 Date: 9/30/2007
Perf: $1,896.18 Date: 8/31/2007
Perf: $1,771.96 Date: 7/31/2007
Perf: $1,776.05 Date: 6/30/2007
Perf: $1,764.40 Date: 5/31/2007
Perf: $1,676.55 Date: 4/30/2007
Perf: $1,718.66 Date: 3/31/2007
Perf: $1,710.28 Date: 2/28/2007
Perf: $1,730.18 Date: 1/31/2007
Perf: $1,768.01 Date: 12/31/2006
Perf: $1,751.90 Date: 11/30/2006
Perf: $1,852.68 Date: 10/31/2006
Perf: $1,820.82 Date: 9/30/2006
Perf: $1,825.56 Date: 8/31/2006
Perf: $1,817.93 Date: 7/31/2006
Perf: $1,806.01 Date: 6/30/2006
Perf: $1,854.22 Date: 5/31/2006
Perf: $2,015.89 Date: 4/30/2006
Perf: $1,983.76 Date: 3/31/2006
Perf: $1,706.60 Date: 2/28/2006
Perf: $1,732.42 Date: 1/31/2006
Perf: $1,792.09 Date: 12/31/2005
Perf: $1,702.22 Date: 11/30/2005
Perf: $1,700.01 Date: 10/31/2005
Perf: $1,611.99 Date: 9/30/2005
Perf: $1,580.54 Date: 8/31/2005
Perf: $1,599.09 Date: 7/31/2005
Perf: $1,508.86 Date: 6/30/2005
Perf: $1,520.57 Date: 5/31/2005
Perf: $1,474.42 Date: 4/30/2005
Perf: $1,432.73 Date: 3/31/2005
Perf: $1,453.36 Date: 2/28/2005
Perf: $1,527.44 Date: 1/31/2005
Perf: $1,428.45 Date: 12/31/2004
Perf: $1,581.72 Date: 11/30/2004
Perf: $1,627.95 Date: 10/31/2004
Perf: $1,567.00 Date: 9/30/2004
Perf: $1,560.29 Date: 8/31/2004
Perf: $1,617.89 Date: 7/31/2004
Perf: $1,584.61 Date: 6/30/2004
Perf: $1,549.59 Date: 5/31/2004
Perf: $1,646.57 Date: 4/30/2004
Perf: $1,623.20 Date: 3/31/2004
Perf: $1,583.61 Date: 2/29/2004
Perf: $1,571.04 Date: 1/31/2004
Perf: $1,476.26 Date: 12/31/2003
Perf: $1,445.62 Date: 11/30/2003
Perf: $1,386.15 Date: 10/31/2003
Perf: $1,488.56 Date: 9/30/2003
Perf: $1,452.97 Date: 8/31/2003
Perf: $1,341.74 Date: 7/31/2003
Perf: $1,378.54 Date: 6/30/2003
Perf: $1,311.52 Date: 5/31/2003
Perf: $1,337.47 Date: 4/30/2003
Perf: $1,219.99 Date: 3/31/2003
Perf: $1,285.82 Date: 2/28/2003
Perf: $1,346.69 Date: 1/31/2003
Perf: $1,311.03 Date: 12/31/2002
Perf: $1,272.72 Date: 11/30/2002
Perf: $1,166.56 Date: 10/31/2002
Perf: $1,186.98 Date: 9/30/2002
Perf: $1,263.15 Date: 8/31/2002
Perf: $1,219.49 Date: 7/31/2002
Perf: $1,224.39 Date: 6/30/2002
Perf: $1,176.17 Date: 5/31/2002
Perf: $1,052.31 Date: 4/30/2002
Perf: $1,070.94 Date: 3/31/2002
Perf: $1,090.13 Date: 2/28/2002
Perf: $1,029.39 Date: 1/31/2002
Perf: $1,130.46 Date: 12/31/2001
Perf: $1,154.00 Date: 11/30/2001
Perf: $1,158.87 Date: 10/31/2001
Perf: $1,207.53 Date: 9/30/2001
Perf: $1,154.10 Date: 8/31/2001
Perf: $1,130.58 Date: 7/31/2001
Perf: $1,086.99 Date: 6/30/2001
Perf: $1,117.96 Date: 5/31/2001
Perf: $1,148.16 Date: 4/30/2001
Perf: $1,122.56 Date: 3/31/2001
Perf: $1,157.64 Date: 2/28/2001
Perf: $1,089.54 Date: 1/31/2001
Perf: $1,091.18 Date: 12/31/2000
Perf: $1,061.97 Date: 11/30/2000
Perf: $948.78 Date: 10/31/2000
Perf: $908.54 Date: 9/30/2000
Perf: $934.90 Date: 8/31/2000
Perf: $966.90 Date: 7/31/2000
Perf: $956.10 Date: 6/30/2000
Perf: $1,000.00

Note: All performance data is since program inception.

Monthly Returns

Date Range: 06/00 - 01/20
Date: 1/31/2020
Return: 2.91 % Date: 12/31/2019
Return: -0.96 % Date: 11/30/2019
Return: 0.83 % Date: 10/31/2019
Return: -2.69 % Date: 9/30/2019
Return: -0.44 % Date: 8/31/2019
Return: 2.47 % Date: 7/31/2019
Return: 5.09 % Date: 6/30/2019
Return: 1.07 % Date: 5/31/2019
Return: 8.72 % Date: 4/30/2019
Return: 0.58 % Date: 3/31/2019
Return: 6.71 % Date: 2/28/2019
Return: -2.88 % Date: 1/31/2019
Return: -3.29 % Date: 12/31/2018
Return: 0.42 % Date: 11/30/2018
Return: -4.79 % Date: 10/31/2018
Return: 2.06 % Date: 9/30/2018
Return: -2.39 % Date: 8/31/2018
Return: 3.77 % Date: 7/31/2018
Return: -0.03 % Date: 6/30/2018
Return: -1.47 % Date: 5/31/2018
Return: -0.85 % Date: 4/30/2018
Return: -2.78 % Date: 3/31/2018
Return: -4.61 % Date: 2/28/2018
Return: -5.01 % Date: 1/31/2018
Return: 8.56 % Date: 12/31/2017
Return: 0.59 % Date: 11/30/2017
Return: 0.87 % Date: 10/31/2017
Return: 4.34 % Date: 9/30/2017
Return: -1.40 % Date: 8/31/2017
Return: 0.28 % Date: 7/31/2017
Return: 3.74 % Date: 6/30/2017
Return: -0.69 % Date: 5/31/2017
Return: 3.05 % Date: 4/30/2017
Return: 2.92 % Date: 3/31/2017
Return: -0.80 % Date: 2/28/2017
Return: 6.54 % Date: 1/31/2017
Return: -3.11 % Date: 12/31/2016
Return: 3.90 % Date: 11/30/2016
Return: 5.98 % Date: 10/31/2016
Return: -4.73 % Date: 9/30/2016
Return: -5.29 % Date: 8/31/2016
Return: -3.71 % Date: 7/31/2016
Return: 1.74 % Date: 6/30/2016
Return: 8.03 % Date: 5/31/2016
Return: -3.29 % Date: 4/30/2016
Return: -0.38 % Date: 3/31/2016
Return: -3.68 % Date: 2/29/2016
Return: 5.51 % Date: 1/31/2016
Return: 11.23 % Date: 12/31/2015
Return: -3.67 % Date: 11/30/2015
Return: 1.52 % Date: 10/31/2015
Return: -5.05 % Date: 9/30/2015
Return: 2.08 % Date: 8/31/2015
Return: -1.59 % Date: 7/31/2015
Return: -1.33 % Date: 6/30/2015
Return: -7.02 % Date: 5/31/2015
Return: 0.12 % Date: 4/30/2015
Return: -3.19 % Date: 3/31/2015
Return: -0.17 % Date: 2/28/2015
Return: 1.52 % Date: 1/31/2015
Return: 6.16 % Date: 12/31/2014
Return: 2.42 % Date: 11/30/2014
Return: 8.40 % Date: 10/31/2014
Return: 0.98 % Date: 9/30/2014
Return: 3.48 % Date: 8/31/2014
Return: 6.17 % Date: 7/31/2014
Return: -0.14 % Date: 6/30/2014
Return: 2.88 % Date: 5/31/2014
Return: 3.05 % Date: 4/30/2014
Return: -0.93 % Date: 3/31/2014
Return: -3.52 % Date: 2/28/2014
Return: 4.37 % Date: 1/31/2014
Return: -3.14 % Date: 12/31/2013
Return: 1.33 % Date: 11/30/2013
Return: 4.44 % Date: 10/31/2013
Return: 2.05 % Date: 9/30/2013
Return: -1.16 % Date: 8/31/2013
Return: -2.28 % Date: 7/31/2013
Return: -2.90 % Date: 6/30/2013
Return: -3.13 % Date: 5/31/2013
Return: -1.84 % Date: 4/30/2013
Return: 4.47 % Date: 3/31/2013
Return: 1.12 % Date: 2/28/2013
Return: -0.88 % Date: 1/31/2013
Return: -0.82 % Date: 12/31/2012
Return: 1.55 % Date: 11/30/2012
Return: -0.51 % Date: 10/31/2012
Return: -5.05 % Date: 9/30/2012
Return: -2.97 % Date: 8/31/2012
Return: -1.47 % Date: 7/31/2012
Return: 6.54 % Date: 6/30/2012
Return: -5.49 % Date: 5/31/2012
Return: 4.90 % Date: 4/30/2012
Return: 0.80 % Date: 3/31/2012
Return: -3.35 % Date: 2/29/2012
Return: 1.37 % Date: 1/31/2012
Return: -0.76 % Date: 12/31/2011
Return: 0.36 % Date: 11/30/2011
Return: -1.85 % Date: 10/31/2011
Return: -7.54 % Date: 9/30/2011
Return: 2.67 % Date: 8/31/2011
Return: 2.88 % Date: 7/31/2011
Return: 4.81 % Date: 6/30/2011
Return: -2.89 % Date: 5/31/2011
Return: -4.23 % Date: 4/30/2011
Return: 2.66 % Date: 3/31/2011
Return: -3.96 % Date: 2/28/2011
Return: 1.18 % Date: 1/31/2011
Return: -3.00 % Date: 12/31/2010
Return: 5.25 % Date: 11/30/2010
Return: -3.99 % Date: 10/31/2010
Return: 2.37 % Date: 9/30/2010
Return: 0.96 % Date: 8/31/2010
Return: 5.13 % Date: 7/31/2010
Return: -1.33 % Date: 6/30/2010
Return: 1.16 % Date: 5/31/2010
Return: 0.98 % Date: 4/30/2010
Return: -0.57 % Date: 3/31/2010
Return: 0.45 % Date: 2/28/2010
Return: -0.80 % Date: 1/31/2010
Return: -2.21 % Date: 12/31/2009
Return: -3.48 % Date: 11/30/2009
Return: 3.63 % Date: 10/31/2009
Return: -3.40 % Date: 9/30/2009
Return: 0.65 % Date: 8/31/2009
Return: -0.13 % Date: 7/31/2009
Return: 0.56 % Date: 6/30/2009
Return: -0.59 % Date: 5/31/2009
Return: 6.93 % Date: 4/30/2009
Return: -4.87 % Date: 3/31/2009
Return: -4.96 % Date: 2/28/2009
Return: -0.24 % Date: 1/31/2009
Return: -1.09 % Date: 12/31/2008
Return: 1.66 % Date: 11/30/2008
Return: 1.10 % Date: 10/31/2008
Return: 6.48 % Date: 9/30/2008
Return: -0.04 % Date: 8/31/2008
Return: 6.71 % Date: 7/31/2008
Return: -4.11 % Date: 6/30/2008
Return: -1.05 % Date: 5/31/2008
Return: 2.62 % Date: 4/30/2008
Return: -0.07 % Date: 3/31/2008
Return: 0.55 % Date: 2/29/2008
Return: 6.95 % Date: 1/31/2008
Return: 4.79 % Date: 12/31/2007
Return: 0.53 % Date: 11/30/2007
Return: 4.02 % Date: 10/31/2007
Return: 2.47 % Date: 9/30/2007
Return: 7.01 % Date: 8/31/2007
Return: -0.23 % Date: 7/31/2007
Return: 0.66 % Date: 6/30/2007
Return: 5.24 % Date: 5/31/2007
Return: -2.45 % Date: 4/30/2007
Return: 0.49 % Date: 3/31/2007
Return: -1.15 % Date: 2/28/2007
Return: -2.14 % Date: 1/31/2007
Return: 0.92 % Date: 12/31/2006
Return: -5.44 % Date: 11/30/2006
Return: 1.75 % Date: 10/31/2006
Return: -0.26 % Date: 9/30/2006
Return: 0.42 % Date: 8/31/2006
Return: 0.66 % Date: 7/31/2006
Return: -2.60 % Date: 6/30/2006
Return: -8.02 % Date: 5/31/2006
Return: 1.62 % Date: 4/30/2006
Return: 16.24 % Date: 3/31/2006
Return: -1.49 % Date: 2/28/2006
Return: -3.33 % Date: 1/31/2006
Return: 5.28 % Date: 12/31/2005
Return: 0.13 % Date: 11/30/2005
Return: 5.46 % Date: 10/31/2005
Return: 1.99 % Date: 9/30/2005
Return: -1.16 % Date: 8/31/2005
Return: 5.98 % Date: 7/31/2005
Return: -0.77 % Date: 6/30/2005
Return: 3.13 % Date: 5/31/2005
Return: 2.91 % Date: 4/30/2005
Return: -1.42 % Date: 3/31/2005
Return: -4.85 % Date: 2/28/2005
Return: 6.93 % Date: 1/31/2005
Return: -9.69 % Date: 12/31/2004
Return: -2.84 % Date: 11/30/2004
Return: 3.89 % Date: 10/31/2004
Return: 0.43 % Date: 9/30/2004
Return: -3.56 % Date: 8/31/2004
Return: 2.10 % Date: 7/31/2004
Return: 2.26 % Date: 6/30/2004
Return: -5.89 % Date: 5/31/2004
Return: 1.44 % Date: 4/30/2004
Return: 2.50 % Date: 3/31/2004
Return: 0.80 % Date: 2/29/2004
Return: 6.42 % Date: 1/31/2004
Return: 2.12 % Date: 12/31/2003
Return: 4.29 % Date: 11/30/2003
Return: -6.88 % Date: 10/31/2003
Return: 2.45 % Date: 9/30/2003
Return: 8.29 % Date: 8/31/2003
Return: -2.67 % Date: 7/31/2003
Return: 5.11 % Date: 6/30/2003
Return: -1.94 % Date: 5/31/2003
Return: 9.63 % Date: 4/30/2003
Return: -5.12 % Date: 3/31/2003
Return: -4.52 % Date: 2/28/2003
Return: 2.72 % Date: 1/31/2003
Return: 3.01 % Date: 12/31/2002
Return: 9.10 % Date: 11/30/2002
Return: -1.72 % Date: 10/31/2002
Return: -6.03 % Date: 9/30/2002
Return: 3.58 % Date: 8/31/2002
Return: -0.40 % Date: 7/31/2002
Return: 4.10 % Date: 6/30/2002
Return: 11.77 % Date: 5/31/2002
Return: -1.74 % Date: 4/30/2002
Return: -1.76 % Date: 3/31/2002
Return: 5.90 % Date: 2/28/2002
Return: -8.94 % Date: 1/31/2002
Return: -2.04 % Date: 12/31/2001
Return: -0.42 % Date: 11/30/2001
Return: -4.03 % Date: 10/31/2001
Return: 4.63 % Date: 9/30/2001
Return: 2.08 % Date: 8/31/2001
Return: 4.01 % Date: 7/31/2001
Return: -2.77 % Date: 6/30/2001
Return: -2.63 % Date: 5/31/2001
Return: 2.28 % Date: 4/30/2001
Return: -3.03 % Date: 3/31/2001
Return: 6.25 % Date: 2/28/2001
Return: -0.15 % Date: 1/31/2001
Return: 2.75 % Date: 12/31/2000
Return: 11.93 % Date: 11/30/2000
Return: 4.43 % Date: 10/31/2000
Return: -2.82 % Date: 9/30/2000
Return: -3.31 % Date: 8/31/2000
Return: 1.13 % Date: 7/31/2000
Return: -4.39 % Date: 6/30/2000
Return: 0.00 %

Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 06/00 - 01/20
Return: 11.00 %
Count: 1 Return: -8.00 %
Count: 2 Return: 16.00 %
Count: 1 Return: -1.00 %
Count: 25 Return: 7.00 %
Count: 8 Return: -10.00 %
Count: 1 Return: -7.00 %
Count: 2 Return: 8.00 %
Count: 3 Return: 10.00 %
Count: 1 Return: -5.00 %
Count: 14 Return: 9.00 %
Count: 3 Return: -6.00 %
Count: 2 Return: -9.00 %
Count: 1 Return: -2.00 %
Count: 13 Return: 5.00 %
Count: 11 Return: 2.00 %
Count: 22 Return: 6.00 %
Count: 9 Return: 3.00 %
Count: 15 Return: 12.00 %
Count: 2 Return: 4.00 %
Count: 15 Return: -3.00 %
Count: 25 Return: 1.00 %
Count: 25 Return: -4.00 %
Count: 11 Return: 0.00 %
Count: 24

Note: All performance data is since program inception.

Underwater Curve

Date Range: 06/00 - 01/20
Date: 1/31/2020
Drawdown: -0.44 % Date: 12/31/2019
Drawdown: -3.25 % Date: 11/30/2019
Drawdown: -2.31 % Date: 10/31/2019
Drawdown: -3.12 % Date: 9/30/2019
Drawdown: -0.44 % Date: 8/31/2019
Drawdown: 0.00 % Date: 7/31/2019
Drawdown: -1.01 % Date: 6/30/2019
Drawdown: -5.81 % Date: 5/31/2019
Drawdown: -6.80 % Date: 4/30/2019
Drawdown: -14.28 % Date: 3/31/2019
Drawdown: -14.77 % Date: 2/28/2019
Drawdown: -20.13 % Date: 1/31/2019
Drawdown: -17.76 % Date: 12/31/2018
Drawdown: -14.97 % Date: 11/30/2018
Drawdown: -15.32 % Date: 10/31/2018
Drawdown: -11.06 % Date: 9/30/2018
Drawdown: -12.86 % Date: 8/31/2018
Drawdown: -10.72 % Date: 7/31/2018
Drawdown: -13.97 % Date: 6/30/2018
Drawdown: -13.94 % Date: 5/31/2018
Drawdown: -12.66 % Date: 4/30/2018
Drawdown: -11.91 % Date: 3/31/2018
Drawdown: -9.39 % Date: 2/28/2018
Drawdown: -5.01 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: 0.00 % Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: -1.40 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: 0.00 % Date: 6/30/2017
Drawdown: -0.69 % Date: 5/31/2017
Drawdown: 0.00 % Date: 4/30/2017
Drawdown: -0.06 % Date: 3/31/2017
Drawdown: -2.90 % Date: 2/28/2017
Drawdown: -2.12 % Date: 1/31/2017
Drawdown: -8.12 % Date: 12/31/2016
Drawdown: -5.17 % Date: 11/30/2016
Drawdown: -8.73 % Date: 10/31/2016
Drawdown: -13.88 % Date: 9/30/2016
Drawdown: -9.61 % Date: 8/31/2016
Drawdown: -4.56 % Date: 7/31/2016
Drawdown: -0.88 % Date: 6/30/2016
Drawdown: -2.58 % Date: 5/31/2016
Drawdown: -9.82 % Date: 4/30/2016
Drawdown: -6.75 % Date: 3/31/2016
Drawdown: -6.40 % Date: 2/29/2016
Drawdown: -2.82 % Date: 1/31/2016
Drawdown: -7.89 % Date: 12/31/2015
Drawdown: -17.19 % Date: 11/30/2015
Drawdown: -14.04 % Date: 10/31/2015
Drawdown: -15.33 % Date: 9/30/2015
Drawdown: -10.82 % Date: 8/31/2015
Drawdown: -12.64 % Date: 7/31/2015
Drawdown: -11.23 % Date: 6/30/2015
Drawdown: -10.03 % Date: 5/31/2015
Drawdown: -3.24 % Date: 4/30/2015
Drawdown: -3.35 % Date: 3/31/2015
Drawdown: -0.17 % Date: 2/28/2015
Drawdown: 0.00 % Date: 1/31/2015
Drawdown: 0.00 % Date: 12/31/2014
Drawdown: 0.00 % Date: 11/30/2014
Drawdown: 0.00 % Date: 10/31/2014
Drawdown: -2.88 % Date: 9/30/2014
Drawdown: -3.82 % Date: 8/31/2014
Drawdown: -7.06 % Date: 7/31/2014
Drawdown: -12.46 % Date: 6/30/2014
Drawdown: -12.34 % Date: 5/31/2014
Drawdown: -14.79 % Date: 4/30/2014
Drawdown: -17.31 % Date: 3/31/2014
Drawdown: -16.54 % Date: 2/28/2014
Drawdown: -13.49 % Date: 1/31/2014
Drawdown: -17.11 % Date: 12/31/2013
Drawdown: -14.43 % Date: 11/30/2013
Drawdown: -15.55 % Date: 10/31/2013
Drawdown: -19.14 % Date: 9/30/2013
Drawdown: -20.77 % Date: 8/31/2013
Drawdown: -19.84 % Date: 7/31/2013
Drawdown: -17.96 % Date: 6/30/2013
Drawdown: -15.51 % Date: 5/31/2013
Drawdown: -12.78 % Date: 4/30/2013
Drawdown: -11.15 % Date: 3/31/2013
Drawdown: -14.95 % Date: 2/28/2013
Drawdown: -15.89 % Date: 1/31/2013
Drawdown: -15.15 % Date: 12/31/2012
Drawdown: -14.45 % Date: 11/30/2012
Drawdown: -15.75 % Date: 10/31/2012
Drawdown: -15.32 % Date: 9/30/2012
Drawdown: -10.82 % Date: 8/31/2012
Drawdown: -8.09 % Date: 7/31/2012
Drawdown: -6.71 % Date: 6/30/2012
Drawdown: -12.44 % Date: 5/31/2012
Drawdown: -7.35 % Date: 4/30/2012
Drawdown: -11.68 % Date: 3/31/2012
Drawdown: -12.38 % Date: 2/29/2012
Drawdown: -9.35 % Date: 1/31/2012
Drawdown: -10.57 % Date: 12/31/2011
Drawdown: -9.89 % Date: 11/30/2011
Drawdown: -10.21 % Date: 10/31/2011
Drawdown: -8.52 % Date: 9/30/2011
Drawdown: -1.06 % Date: 8/31/2011
Drawdown: -3.63 % Date: 7/31/2011
Drawdown: -6.33 % Date: 6/30/2011
Drawdown: -10.63 % Date: 5/31/2011
Drawdown: -7.97 % Date: 4/30/2011
Drawdown: -3.90 % Date: 3/31/2011
Drawdown: -6.39 % Date: 2/28/2011
Drawdown: -2.53 % Date: 1/31/2011
Drawdown: -3.67 % Date: 12/31/2010
Drawdown: -0.69 % Date: 11/30/2010
Drawdown: -5.64 % Date: 10/31/2010
Drawdown: -1.72 % Date: 9/30/2010
Drawdown: -4.00 % Date: 8/31/2010
Drawdown: -4.91 % Date: 7/31/2010
Drawdown: -9.55 % Date: 6/30/2010
Drawdown: -8.33 % Date: 5/31/2010
Drawdown: -9.38 % Date: 4/30/2010
Drawdown: -10.26 % Date: 3/31/2010
Drawdown: -9.75 % Date: 2/28/2010
Drawdown: -10.15 % Date: 1/31/2010
Drawdown: -9.43 % Date: 12/31/2009
Drawdown: -7.38 % Date: 11/30/2009
Drawdown: -4.04 % Date: 10/31/2009
Drawdown: -7.40 % Date: 9/30/2009
Drawdown: -4.14 % Date: 8/31/2009
Drawdown: -4.76 % Date: 7/31/2009
Drawdown: -4.64 % Date: 6/30/2009
Drawdown: -5.17 % Date: 5/31/2009
Drawdown: -4.61 % Date: 4/30/2009
Drawdown: -10.79 % Date: 3/31/2009
Drawdown: -6.22 % Date: 2/28/2009
Drawdown: -1.33 % Date: 1/31/2009
Drawdown: -1.09 % Date: 12/31/2008
Drawdown: 0.00 % Date: 11/30/2008
Drawdown: 0.00 % Date: 10/31/2008
Drawdown: 0.00 % Date: 9/30/2008
Drawdown: -0.04 % Date: 8/31/2008
Drawdown: 0.00 % Date: 7/31/2008
Drawdown: -5.12 % Date: 6/30/2008
Drawdown: -1.05 % Date: 5/31/2008
Drawdown: 0.00 % Date: 4/30/2008
Drawdown: -0.07 % Date: 3/31/2008
Drawdown: 0.00 % Date: 2/29/2008
Drawdown: 0.00 % Date: 1/31/2008
Drawdown: 0.00 % Date: 12/31/2007
Drawdown: 0.00 % Date: 11/30/2007
Drawdown: 0.00 % Date: 10/31/2007
Drawdown: -3.62 % Date: 9/30/2007
Drawdown: -5.94 % Date: 8/31/2007
Drawdown: -12.10 % Date: 7/31/2007
Drawdown: -11.90 % Date: 6/30/2007
Drawdown: -12.48 % Date: 5/31/2007
Drawdown: -16.83 % Date: 4/30/2007
Drawdown: -14.74 % Date: 3/31/2007
Drawdown: -15.16 % Date: 2/28/2007
Drawdown: -14.17 % Date: 1/31/2007
Drawdown: -12.30 % Date: 12/31/2006
Drawdown: -13.10 % Date: 11/30/2006
Drawdown: -8.10 % Date: 10/31/2006
Drawdown: -9.68 % Date: 9/30/2006
Drawdown: -9.44 % Date: 8/31/2006
Drawdown: -9.82 % Date: 7/31/2006
Drawdown: -10.41 % Date: 6/30/2006
Drawdown: -8.02 % Date: 5/31/2006
Drawdown: 0.00 % Date: 4/30/2006
Drawdown: 0.00 % Date: 3/31/2006
Drawdown: -4.77 % Date: 2/28/2006
Drawdown: -3.33 % Date: 1/31/2006
Drawdown: 0.00 % Date: 12/31/2005
Drawdown: 0.00 % Date: 11/30/2005
Drawdown: 0.00 % Date: 10/31/2005
Drawdown: -2.10 % Date: 9/30/2005
Drawdown: -4.01 % Date: 8/31/2005
Drawdown: -2.88 % Date: 7/31/2005
Drawdown: -8.36 % Date: 6/30/2005
Drawdown: -7.65 % Date: 5/31/2005
Drawdown: -10.46 % Date: 4/30/2005
Drawdown: -12.99 % Date: 3/31/2005
Drawdown: -11.73 % Date: 2/28/2005
Drawdown: -7.23 % Date: 1/31/2005
Drawdown: -13.25 % Date: 12/31/2004
Drawdown: -3.94 % Date: 11/30/2004
Drawdown: -1.13 % Date: 10/31/2004
Drawdown: -4.83 % Date: 9/30/2004
Drawdown: -5.24 % Date: 8/31/2004
Drawdown: -1.74 % Date: 7/31/2004
Drawdown: -3.76 % Date: 6/30/2004
Drawdown: -5.89 % Date: 5/31/2004
Drawdown: 0.00 % Date: 4/30/2004
Drawdown: 0.00 % Date: 3/31/2004
Drawdown: 0.00 % Date: 2/29/2004
Drawdown: 0.00 % Date: 1/31/2004
Drawdown: -0.83 % Date: 12/31/2003
Drawdown: -2.89 % Date: 11/30/2003
Drawdown: -6.88 % Date: 10/31/2003
Drawdown: 0.00 % Date: 9/30/2003
Drawdown: 0.00 % Date: 8/31/2003
Drawdown: -2.67 % Date: 7/31/2003
Drawdown: 0.00 % Date: 6/30/2003
Drawdown: -2.61 % Date: 5/31/2003
Drawdown: -0.68 % Date: 4/30/2003
Drawdown: -9.41 % Date: 3/31/2003
Drawdown: -4.52 % Date: 2/28/2003
Drawdown: 0.00 % Date: 1/31/2003
Drawdown: 0.00 % Date: 12/31/2002
Drawdown: 0.00 % Date: 11/30/2002
Drawdown: -7.65 % Date: 10/31/2002
Drawdown: -6.03 % Date: 9/30/2002
Drawdown: 0.00 % Date: 8/31/2002
Drawdown: -0.40 % Date: 7/31/2002
Drawdown: 0.00 % Date: 6/30/2002
Drawdown: -2.60 % Date: 5/31/2002
Drawdown: -12.85 % Date: 4/30/2002
Drawdown: -11.31 % Date: 3/31/2002
Drawdown: -9.72 % Date: 2/28/2002
Drawdown: -14.75 % Date: 1/31/2002
Drawdown: -6.38 % Date: 12/31/2001
Drawdown: -4.43 % Date: 11/30/2001
Drawdown: -4.03 % Date: 10/31/2001
Drawdown: 0.00 % Date: 9/30/2001
Drawdown: -0.31 % Date: 8/31/2001
Drawdown: -2.34 % Date: 7/31/2001
Drawdown: -6.10 % Date: 6/30/2001
Drawdown: -3.43 % Date: 5/31/2001
Drawdown: -0.82 % Date: 4/30/2001
Drawdown: -3.03 % Date: 3/31/2001
Drawdown: 0.00 % Date: 2/28/2001
Drawdown: -0.15 % Date: 1/31/2001
Drawdown: 0.00 % Date: 12/31/2000
Drawdown: 0.00 % Date: 11/30/2000
Drawdown: -5.12 % Date: 10/31/2000
Drawdown: -9.15 % Date: 9/30/2000
Drawdown: -6.51 % Date: 8/31/2000
Drawdown: -3.31 % Date: 7/31/2000
Drawdown: -4.39 %

Note: All performance data is since program inception.

Manager Information

Manager Name:  John Locke Investments
Address: 38 Avenue Franklin Roosevelt
City: Fontainebleau-Avon
State:
Zip: 77210
Country: France

Key People

Name:  Francois Bonnin
Position:  Principal
Biography: 

Francois Bonnin is the CEO and Founding Partner of John Locke Investments SA, a company which was set up near Paris, France in 2001. The team is composed of 26 individuals, among which 13 are dedicated to research, based in 4 locations, Fontainebleau and Garches close to Paris, Drogheda, Ireland and Geneva, Illinois, USA. The firm offers systematic managed futures strategies, and the current assets under management are in excess of USD 650 million. JLI proprietary investment programs are based on the systematic application of computerized trading strategies, qualified within a quantified risk management framework. The strategies are purely technical and based on in-depth analysis of market price movements. The recognition of particular price configurations (patterns formed over time by market price movements) is key to John Locke's strategies. John Locke Investments' systems follow the markets’ price activity on a continuous basis and immediately detect any upcoming opportunity. Prior to creating John Locke Investments, he was in charge of research and alternative investments at ING France from September 1998 to June 2001. Between March 1992 and September 1998, Mr. Bonnin was Managing Director and Founding Partner of CAP STARDEX SA, a French AMF regulated asset management company, specialized in alternative systematic strategies. From September 1989 to March 1992, Mr. Bonnin was a director of the convertible bonds trading desk at RAFE SA. Mr. Bonnin graduated from International University of America with an MBA (Paris-France) and with a major in Finance in 1986.


Name:  Marc Botter
Position:  Principal
Biography: 

August 2002 - May 2004: Chairman of Botter Dupont , Research Company, FRANCE. June 2004 – June 2006: Chairman of QuantAM, alternative investment firm, FRANCE. Since July 2006: Managing partner of JOHN LOCKE INVESTMENTS SA, Avon, FRANCE. Mr Botter is active in Research, Risk management.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Investment Methodology
 Trend Following Yes 
 Systematic Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Investment Terms & Information
 Managed Account Minimum: $10,000,000 
 Margin / Equity Ratio: 12% 
 Managed Account Availability: Open 
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