Theta Research Valuation Methodology
The Theta Research (“Theta”) performance data is calculated based on the activity and valuation of an actual representative managed account traded to mimic all other accounts using the same strategic model. Valuations and transaction information for all daily tracked programs is obtained via a direct daily download from Guggenheim/ Rydex Funds or ProFunds.
For monthly tracked programs, Theta seeks to gain access to transaction and valuation information directly from a third-party custodian, brokerage or mutual fund using an online password. When online access is not feasible, paper statements or their equivalent may be substituted.
Results are net of management and other fees and include reinvestment of any dividends or earnings. Wherever possible, fees are based on actual fee withdrawals from the account. However, when actual fee reductions are infeasible, such as in an IRA account owned by the Investment Manager, “synthetic” fee withdrawals are calculated and the account balance adjusted accordingly.
The synthetic fee calculation process is based on the Investment Manager’s highest fee charged to a retail client and will vary from Manager to Manager. Synthetic fees are calculated in arrears for all models and differ based on tracking frequency. For daily tracked strategies, synthetic fees are calculated based on the average daily value of the account over the prior quarter, while fees for monthly tracked models are based on the prior quarter’s ending value.
All synthetic fees are assumed to be taken against the account on the first trading day of each calendar quarter. Actual fees may be withdrawn at a different time and could result in a slight performance variance.
Theta’s performance tracking service works best on accounts that have few or no additions or withdrawals, but recognizes that this is not always feasible. In cases where additions and/or withdrawals are made on daily tracked accounts, such transactions are automatically represented in the daily valuation downloads and included in performance calculations. For monthly tracked accounts, additions are assumed to have occurred at the beginning of the month and withdrawals at the end of the month.
Theta’s performance data may include historical returns. In such cases, Theta employs the same techniques described above to verify actual daily or monthly performance as evidenced in a statement or data download obtained from a third-party custodian or mutual fund representing real-time trading in an actual representative account.
Theta hereby certifies that the performance statistics published for each model strategy are calculated using its proprietary process based on the actual performance of a representative account as evidenced by brokerage, custodial or mutual fund statements covering the entire time window from inception through the most current date shown.
The date of inception of any given model is provided by the Investment Manager and is not independently verified by Theta. In some cases, a series of representative accounts being traded based on the same strategic model and covering different time windows may be used to reconstruct the actual performance of the model over time.
The performance verification provided by Theta is not considered an “audit” or “attestation” as those terms are defined by the American Institute of Certified Public Accountants (AICPA). However, in some cases, Theta Research has relied upon historical performance numbers calculated and verified by such attestations and/or audits conducted by AICPA member firms and in accordance with AICPA guidelines.
Likewise, Theta’s published performance data should not be considered as compliant with or equivalent to the Global Investment Performance Standards (GIPS).
Theta further certifies that it maintains archives of source documents used to calculate performance, including historical statements and/or audits used to reconstruct past track records.
Every effort is made to represent performance data accurately from sources believed to be reliable but mistakes do happen. Whether they are because of a problem with the source data received from custodians, a computer error or human error on Theta’s part, Theta commits to correcting any such errors as soon as possible after they are brought to its attention. Theta assumes no responsibility for damages due to errors or omissions, nor does Theta guarantee the accuracy of any source information provided by brokerage firms, mutual fund companies or other custodians.
As tools for comparison, certain benchmark index products may be used, the trademarks and service marks of which are properties of their respective owners. Benchmarks represent unmanaged, passive buy-and-hold strategies and are designed to illustrate specific equity and bond markets. The volatility and investment characteristics of these indexes may differ materially (more or less) from that of the managed account models documented by Theta.
The return statistics in accounts tracked by Theta may not reflect the exact performance of any given client accounts due to the effects and timing of contributions and withdrawals from client accounts, tax loss sales, fee processing, client-imposed investment restrictions and other factors.
The information contained on Theta’s database is copyrighted and neither Investment Managers nor Subscribers may use or reproduce this information without Theta’s prior written approval.
Theta has not relied upon the Investment Manager for any performance calculations or adjustments. All performance information has been calculated by Theta by comparing the total ending value of sequential daily positions or monthly statements, adjusted for contributions, and/or withdrawals.
Theta Research is an independent entity and is not affiliated with any Investment Manager or Signal Seller whose performance data is publicly available on the Theta website, except as otherwise disclosed.
While Theta Research obtains its data from sources believed to be accurate, Theta makes no guarantees as to the accuracy of the source data. Since much of the source data is downloaded, Theta cannot guarantee that such data will not be corrupted or miskeyed during the download and data entry process. However, Theta stands ready to investigate and correct, if necessary, any inaccurate performance information resulting from data entry or transmission errors.
Theta strives to provide accurate representations of the actual performance of each model account. However, Theta provides no warranty, express or implied, that the individual tracking accounts for each model have only been traded in accordance with the model’s strategic methodologies as defined by the Investment Manager over the entire course of the model’s track record.
Past performance is not necessarily indicative of future results. Consult with your investment advisor prior to making any investment.