Richard Davis, Maria Davis 1275 Gator Trl, West Palm Beach, FL 33409 USA ph. +1-203-722-8824 fax http://www.maycrestcapital.com Primary Category: Equity Long-Bias ANNUAL RETURNS 2014 2015 2016 2017 2018 YTD Advisor 14.02% -0.18% 12.49% 24.32% 1.49% Barclay HF 2.88% 0.04% 6.10% 10.36% 2.10% Funds Managed (Mil.) $ 0.61 $ 0.61 $ 0.69 $ 1.05 $ 0.00 ACCOUNT INFORMATION REWARD/RISK RATIOS 3-Years Cumulative Mgmt. Fee: 1.20% Open: Open Sharpe Ratio: 0.89 0.72 Incentive Fee: 0.00% High Water: No Sterling Ratio: 0.78 0.78 Min. Acc: $ 200K Redemptions: Monthly Barclay Ratio: 2.16 0.86 Fund Assets: 0M Efficiency Index: 0.94 0.77 PERFORMANCE ANALYSIS GEO. ALLOCATIONS EXPOSURES Start Date: January 2007 North America: 90% Long: 95% Total Return Since Inception: 225.54% Western Europe: YES Short: 5% Compounded Annual Return: 11.15% Eastern Europe: YES Net: 90% Average Monthly ROR: 0.97% Pacific Rim: YES Std. Deviation of Monthly ROR: 4.19% Other: YES Winning Months: 84 Average Gain: 3.37% Losing Months: 50 Average Loss: -3.05% RELATIVE VOLATILITY CORRELATIONS Loss of 25% or more: 3.62% Barclay Hedge: 0.71 S&P 500 0.84 Loss of 50% or more: 0.01% US Treasury Bonds: -0.31 EAFE 0.74 Loss of 75% or more: 0% World Bonds: -0.24 DRAWDOWN REPORT TIME WINDOWS Depth Length Recovery Length Start Date End Date (Mos.) (Mos.) (Mos.) Best Worst Average 25.95% 15 7 Nov 07 Feb 09 1 11.94% -12.61% 0.97% 18.93% 5 5 Apr 11 Sep 11 3 23.95% -15.31% 2.99% 13.14% 2 6 Apr 10 Jun 10 6 31.88% -19.71% 5.93% 13.03% 2 2 Nov 09 Jan 10 9 48.39% -21.88% 8.83% 10.32% 4 8 May 15 Sep 15 12 47.24% -20.72% 11.63% 6.45% 2 3 Mar 12 May 12 18 44.97% -21.98% 17.70% 4.90% 1 * Jan 18 Feb 18 24 69.60% -13.90% 24.50%
V A M I vs B A R C L A Y vs S&P 500 RETURNS FOR PRECEDING 12-MO. PERIODS DISTRIBUTION OF MONTHLY RETURNS
UP CAPTURE VS S&P 500 DOWN CAPTURE VS S&P 500 LAST 48 MONTHS OF PERFORMANCE JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD 2018 6.72-4.90 1.49% 2017 2.12 4.46-0.27 1.25 1.41 0.42 2.53 0.17 2.00 3.01 3.56 1.41 24.32% 2016-5.77 0.21 7.57 0.81 1.64-0.06 4.21-0.01-0.42-1.83 4.10 1.99 12.49% 2015-3.08 6.14-2.42 1.33 1.31-2.75 2.32-7.09-3.00 10.51 0.31-2.56-0.18% 2014 0.57 0.84 2.30 1.85-1.40 4.24-1.87 3.50 2.92-0.77 14.02% ASSETS UNDER MANAGEMENT FOR THE LAST 48 MONTHS ($ MILLIONS) JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC 2018 1.12 0 2017 0.7 0.74 0.73 0.74 0.75 0.76 0.88 0.88 0.9 0.93 1.04 1.05 2016 0.58 0.58 0.62 0.63 0.64 0.64 0.66 0.66 0.66 0.65 0.68 0.69 2015 0.6 0.63 0.62 0.62 0.63 0.62 0.63 0.59 0.57 0.63 0.63 0.61 2014 0.57 0.57 0.59 0.58 0.57 0.59 0.58 0.6 0.62 0.61
TRADING METHOD Maycrest Capital is the advisor of the Maycrest Balanced Fund. The Maycrest Balanced Fund is managed following the Maycrest Balanced Fund Strategy (the "Strategy"), which is an equity long-short strategy with a long bias. A few highlights: - The benchmark of the Strategy is the S&P 500 Index. - The Strategy takes an active risk management approach to investing in the stock market. - The Strategy invests in the U.S. stock market in bull and sideways markets and is designed to capture the return of the broad U.S equity market. Assets are typically invested in exchange traded funds ("ETFs") and leveraged ETFs. - Equity market exposure is reduced when an equity market decline is anticipated as a result of weak economic conditions or a contraction in the economy. Assets held may include bonds, inverse ETFs and other hedging instruments. The Strategy may also enter into short positions to profit from a declining equity market. The Strategy is designed to achieve - over a business cycle - returns in excess of a buy-and-hold strategy by limiting drawdowns typically experienced in recessionary periods. To implement the Strategy and determine the level of economic strength, Maycrest Capital uses its proprietary BearCasting Model. The BearCasting model is designed to identify times when investments in the stock market should be reduced to pare down the risk. The BearCasting model utilizes a variety of macroeconomic indicators and composites, as well a sentiment and market technical analyses. The performance of the Strategy from January 1, 2007 to July 31, 2015 (implemented through an individual account until 2010 and through the Maycrest Balanced Fund since) was examined by an independent certified public accountant. The examination was conducted in accordance with attestation standards established by the AICPA. KEY PRINCIPALS - BIO RICHARD DAVIS Educational Background 1980: BA in Physics and Mathematics (magna cum laude) from the University of North Carolina at Asheville Professional Experience 2002 - Present: Maycrest Capital Inc. - Chief Executive Officer and Chief Investment Officer 1997-2002: Rifex Software Inc. - Software Engineer 1993-1997: HypoVereinsbank UniCredit Bank AG - Software Engineer 1991-1993: Rifex Software Inc. - Software Engineer 1988-1990: HypoVereinsbank UniCredit Bank AG - Head of Foreign Exchange Options Desk 1987-1988: Skandinaviska Enskilda Banken - Head of Foreign Exchange Options Desk 1988: Proprietary Research - Software Developer 1981-1985: Aerospace Engineer MARIA DAVIS Educational Background 1993: Master of Accountancy, University of North Florida 1987: Bachelor's Degree in Accounting and Finance, Munich University of Applied Sciences Professional Experience 2017 - Present: Maycrest Capital Inc. - Chief Operating Officer 2010-2017: Public Company Accounting Oversight Board - Associate Director 1993-2017: Deloitte - Audit Manager- Audit Partner 1988-1991: Deloitte - Audit Staff
ADVISOR, INVESTMENT, OR INFORMATION DISCLAIMER The funds are unregistered private investment funds or pools that employ different investment, hedging, leverage and arbitrage methodologies with exposure to many different securities and futures markets. The funds are not subject to the same regulatory requirements as mutual funds, including mutual funds requirements to provide certain periodic and standardized pricing and valuation information to investors. You should note the following: * The funds represent speculative investments and involve a high degree of risk. An investor could lose all or a substantial portion of his or her investment. * Any investment in the funds should be discretionary capital set aside strictly for speculative purposes. * An investment in a fund is not suitable for all investors. * The funds can be leveraged and a fund's performance can be volatile. * Some funds may use a single advisor or employ a single strategy, which could mean a lack of diversification * Some funds may execute a substantial portion of trades on foreign exchanges, which could mean higher risk. * An investment in the funds may be illiquid and there are significant restrictions on transferring interests in a fund. There is no secondary market for an investor's investment in a fund and none is expected to develop. * A fund's fees and expenses - which may be substantial regardless of any positive return - will offset the fund's trading profits. * Some funds may involve complex tax structures and delays in distributing important tax information. * This summary is not a complete list of the risks and other important disclosures involved in investing in the funds and is subject to the more complete disclosures contained in the fund's respective offering documents, which should be reviewed carefully. * All performance information is believed to be Net All Fees unless otherwise specifically noted. This material is provided for information purposes only as of the date hereof and is subject to change without notice. This material may not be suitable for all investors and is not intended to be an offer, or the solicitation of any offer, to buy or sell any securities. No offer or solicitation may be made prior to the delivery of appropriate offering documents to qualified investors. The information contained herein including investment returns, valuations, fund targets and strategies, has been supplied by the funds or their agents and although believed to be reliable, has not been independently verified and cannot be guaranteed. We make no representations or warranties as to the accuracy or completeness of such information. This material is not complete and is subject to the more complete disclosures and terms and conditions contained in a particular fund's offering documents, which may be obtained directly from the fund. Although we may provide our analysis, we do not provide due diligence on an investor's behalf and we are not responsible for an investor's decision. Past performance is no guarantee of future results.