Absolute Return Program

The Absolute Return Program targets maximum absolute return with a low but positive equity beta of approximately +0.4 to the S&P 500. The program carries the best risk-adjusted performance record of any R. G. Niederhoffer Capital Management program since 2000 and has never had a down calendar year in a down year for the S&P 500.

Strategy

Absolute Return applies the full suite of the firm’s 60+ diverse, systematic trading rules – the result of over 30 years of research into how cognitive and behavioral biases impact financial markets – across equities, fixed income, foreign exchange, and commodities. The average investment duration is approximately three days. The program’s positive equity beta allows it to participate meaningfully in rising equity markets while its behavioral trading overlay provides meaningful downside protection during periods of market stress.

Performance Highlights (since January 2020)

• Annualized return: +25% vs. +15% for the S&P 500
• Sharpe Ratio: +1.17 vs. +0.71 for the S&P 500
• Maximum drawdown: –14% vs. –24% for the S&P 500
• Beta to S&P 500: +0.4
• Correlation to S&P 500: +0.33

Longer-Term Track Record (since January 2000)

• Annualized return: +13.0%
• Total return: +2,299%
• Sharpe Ratio: +0.62
• Maximum drawdown: –24%

Key Characteristics

• Highest risk-adjusted returns of any firm program since 2000
• No down calendar year in any down year for the S&P 500
• Average monthly return in S&P down months: –0.4%
• Average monthly return in S&P up months: +2.0%
• Upside capture of +72% in rising equity markets
• Daily liquidity available

Note: AR Share Class began live trading January 1, 2026. Prior results are pro forma based on actual trading records with mathematical adjustments for leverage and fee targets.