About Atheta Capital Partners, LLC – TMR Systematic Commodities (TMRSC)

Summary: Atheta TMSRC can loosely classified as a contrarian program, however, there are some aspects that make it unique. The algorithm was developed by analyzing trend-following programs and inherently doing the opposite. It was developed to be contrarian to trend-followers and is completely uncorrelated to trend-following systems. Trades entrances, as well as position size are defined by implied option volatility although options are not traded. The program is 100% systematic and only executed at the closing time of each exchange when liquidity is the greatest. Discretion is only taken when fundamental factors cause the trader to opt out of entering a position. Only commodity futures are traded. There are no financial, equity index, or FX contracts traded. Margin usage averages at 5-6% but may spike to 10% so it is advantageous to leverage this program. Minimum account size is $250,000. The program currently has 6 accounts and AUM is currently __________. Round turns per million is approximately 6500 and all trades are executed at MF Global. Execution costs are comparatively low at $0.25 a side for electronic execution and $1.50 at the LME. Trailing stops are used Fee structure is 2X20%. The program has a 3 year track record but was traded as a proprietary program at Schroeders until August 2009. Minimum account size is $250,000

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