Voleon Institutional Strategy 2020 PDF

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Voleon Institutional Strategies Fund LP (onshore) June 2020 Monthly Update Fund Description

Performance Summary

Voleon Institutional Strategies Fund LP (the "Fund") is a feeder fund that deploys machine learning quantitative market-neutral strategies. The Fund seeks to preserve capital and maximize absolute returns with limited drawdowns, high Sharpe ratio, and low correlation to returns available elsewhere.

June 2020 Net Return (estimated)

3.0%

Year-to-Date Net Return (not annualized)

-2.5%

Trailing 12-Month Net Return

-4.6%

Estimated Master Fund AUM as of 6/30/2020 is $3.3 B.

Lifetime Net Performance

Year

Jan

Feb

Mar

Apr

May

2020

-0.4%

-0.6%

2019

-1.5%

-0.7%

2018

3.3%

2017

4.9%

2016

0.7%

Jun

-4.3%

1.0%

-1.1%

3.0%

-0.8%

1.5%

1.5%

1.0%

4.5%

-2.9%

1.0%

-2.5%

0.0%

-0.6%

-2.6%

-2.3%

0.2%

Annual Return

Jul

Aug

Sep

Oct

Nov

Dec

1.4%

-0.6%

-0.1%

-0.5%

-1.3%

2.0%

-1.6%

0.5%

-1.4%

0.9%

5.5%

2.0%

-0.1%

-0.4%

1.8%

15.4%

-0.5%

1.4%

1.7%

0.4%

0.7%

4.1%

3.2%

2.2%

17.7%

-3.4%

0.0%

-2.8%

1.2%

1.2%

2.6%

-0.3%

-6.0%

-2.5% -0.8%

Cumulative Lifetime Net Performance vs. Benchmarks

Statistics on Lifetime Net Performance Net Return (annualized) Standard Deviation (annualized) Downside Deviation (annualized) Number of Positive Months Positive Months Average Return Number of Negative Months Negative Months Average Return Largest Monthly Gain Largest Monthly Loss Maximum Drawdown Length (months) Time to Recovery (months) Net Sharpe Ratio Net Sortino Ratio Net Calmar Ratio Correlation with S&P 500

Distribution of Lifetime Monthly Net Returns

4.8% 7.2% 6.2% 28 2.0% 26 -1.3% 5.5% -4.3% -10.9% 7 20 0.5 0.6 0.4 0.1

Past performance, simulated returns, and performance statistics should not be considered indicative of future performance. No assurances can be given that any aims, assumptions, expectations, and/or goals described in this document will be realized. Performance statistics are for informational purposes only and are shown as of the indicated date; the fund has no obligation to adhere to these statistics. Please see the explanatory notes at the end of this document for important information related to the figures presented above. VOLEON CONFIDENTIAL INFORMATION

June 2020 | 1

Voleon Institutional Strategies Fund LP (onshore) June 2020 Monthly Update Simulated Performance (Net)

Year 2015

Jan 2.2%

Feb -2.8%

Mar 4.4%

2014

-1.4%

1.6%

2013

2.1%

3.6%

2012

-2.7%

-0.3%

-0.4%

2011

3.2%

2.0%

4.7%

2010

-2.3%

2.5%

0.2%

-2.9%

2009

0.3%

0.8%

0.0%

-6.7%

2008

-3.5%

4.7%

0.9%

0.4%

1.1%

2007

0.8%

0.9%

1.5%

5.3%

1.6%

2006

0.7%

2.1%

1.6%

4.6%

0.1%

2005

7.8%

4.6%

1.9%

2.0%

-1.0%

Aug 1.6%

Sep 2.3%

Oct -0.4%

Annual Return 8.2%

0.4%

3.2%

12.7%

0.7%

-0.1%

7.0%

May -0.3%

Jun 2.9%

0.2%

-1.5%

1.9%

-2.5%

1.6%

1.4%

3.0%

4.4%

0.9%

-1.2%

0.4%

0.3%

0.9%

0.0%

-3.4%

2.7%

2.9%

1.6%

-4.2%

6.3%

-2.5%

-3.4%

2.0%

2.8%

-0.1%

1.3%

1.8%

3.1%

6.7%

1.6%

2.8%

2.0%

1.8%

3.5%

1.0%

40.1%

2.0%

0.2%

4.9%

1.1%

3.2%

3.4%

4.7%

-0.7%

16.9%

-2.0%

0.0%

2.8%

2.3%

4.5%

0.7%

-1.1%

4.7%

5.9%

4.7%

0.0%

-0.3%

-2.0%

1.6%

1.4%

0.4%

9.5%

1.1%

-3.2%

-2.9%

0.6%

-0.6%

7.6%

-0.3%

12.5%

0.8%

0.8%

-2.9%

4.1%

0.0%

2.9%

5.1%

21.5%

-0.6%

1.4%

0.8%

1.9%

3.5%

-0.4%

2.9%

27.5%

2.5%

0.2%

2.1%

6.1%

1.3%

12.7%

2004

Jul 5.3%

Dec -3.0%

Apr -4.3%

Nov 0.4%

Cumulative Simulated Performance (Net) vs. Benchmarks

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. Past performance, simulated returns, and performance statistics should not be considered indicative of future performance. No assurances can be given that any aims, assumptions, expectations, and/or goals described in this document will be realized. Performance statistics are for informational purposes only and are shown as of the indicated date; the fund has no obligation to adhere to these statistics. Simulated performance was generated by retroactively applying algorithmic forecasts to historical data; simulated performance does not reflect actual trading or returns. Please see the explanatory notes at the end of this document for important information related to the figures presented above. VOLEON CONFIDENTIAL INFORMATION

June 2020 | 2

Voleon Institutional Strategies Fund LP (onshore) June 2020 Monthly Update Statistics on Simulated Performance (Net) Net Return (annualized) Standard Deviation (annualized) Downside Deviation (annualized) Number of Positive Months Positive Months Average Return Number of Negative Months Negative Months Average Return Largest Monthly Gain Largest Monthly Loss Maximum Drawdown Length (months) Time to Recovery (months) Net Sharpe Ratio Net Sortino Ratio Net Calmar Ratio Correlation with S&P 500

Selected Fund Terms

Distribution of Simulated Monthly Returns (Net)

15.0% 8.8% 8.3% 101 2.3% 36 -1.9% 7.8% -6.7% -8.5% 3 6 1.5 1.6 1.8 -0.1

Service Providers

Fund Structure

Master feeder

Auditor

KPMG

Minimum Investment

$1 million

Legal Counsel

Sidley Austin (US counsel to the investment adviser), Ogier (Cayman counsel) HedgeServ (Cayman), Ltd.

Annual Management Fee 2%, assessed monthly Performance Fee

20%, payable quarterly, with high water mark

Liquidity Lock-Up

None

Withdrawal dates

Each month end

Notice requirement

30 days

Administrator Prime Brokers

Morgan Stanley, Deutsche Bank, Goldman Sachs

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM. ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS. Past performance, simulated returns, and performance statistics should not be considered indicative of future performance. No assurances can be given that any aims, assumptions, expectations, and/or goals described in this document will be realized. Performance statistics are for informational purposes only and are shown as of the indicated date; the fund has no obligation to adhere to these statistics. Simulated performance was generated by retroactively applying algorithmic forecasts to historical data; simulated performance does not reflect actual trading or returns. Please see the explanatory notes at the end of this document for important information related to the figures presented above. VOLEON CONFIDENTIAL INFORMATION

June 2020 | 3

Voleon Institutional Strategies Fund LP (onshore) June 2020 Monthly Update Explanatory Notes and Disclosures This document was prepared by the Voleon Group (also referred to as “Voleon”), which comprises Voleon Capital Management LP and certain affiliated entities. This document refers to Voleon Institutional Strategies Fund LP (the “Fund” or “Voleon Institutional Strategies Fund”), a feeder fund generally for U.S. investors that invests substantially all of its assets in a master fund named Voleon Institutional Master Fund, Ltd. (“Voleon Institutional Master Fund”). Voleon Institutional Strategies International, Ltd. (“Voleon Institutional Strategies International”) is a feeder fund generally for non-U.S. investors and U.S. tax-exempt investors that also invests substantially all of its assets in Voleon Institutional Master Fund. Past performance, simulated returns, and performance statistics should not be considered indicative of future performance. No assurances can be given that any aims, assumptions, expectations, and/or goals described in this document will be realized. An investment in any investment vehicle outlined in this document should be regarded as highly speculative in nature and appropriate only for sophisticated investors that can afford a loss of all of their investment and that are able to invest for an indefinite period. This document is for informational purposes only and is provided only to persons who have expressed their interest in the products or services outlined in this document. This document does not convey an offer of any type and is not intended to be, and should not be construed as, an offer to sell, or the solicitation of an offer to buy, any interest in any fund, investment, or other investment vehicle. If such an investment opportunity should become available, an offering memorandum or circular outlining such investment opportunity would be provided to you, and the information in this document would be qualified in its entirety by reference to all of the information in such offering memorandum or circular, including significant risk factors. Each investor in the fund must satisfy investment suitably and financial qualification requirements that will be set forth in the applicable subscription agreements. Nothing in this document constitutes investment advice. Lifetime Net Performance Historical returns reflect actual returns from historical trading (not simulated results), assuming an investor had invested in the applicable feeder as of that date, with no redemptions. Each annualized return figure for multi-year periods presented in this document is the annualized geometric mean of the monthly return series in question. All historical return figures are based on the administrator’s returns and have been confirmed by Voleon; all simulated return computations presented in this document have been computed by Voleon. Performance information is presented from January 1, 2016 to the date of this document. Partial year returns are not annualized. The returns presented reflect the total return on capital, including the reinvestment of interest, dividends, and other earnings. All such returns are computed after deduction of all execution, clearing, and other operating expenses borne by the fund during the performance period in question, and after deduction of asset-based fees (equal to 1/12 of 2%, deducted monthly in advance) and any applicable profit-based fees or allocations (equal to 20% of net profits, paid quarterly, with a high-water mark). Performance information for Voleon Institutional Strategies Fund and Voleon Institutional Strategies International have diverged and are expected to continue to diverge (possibly materially) as a consequence of certain investments that are subject to different taxes, including withholding obligations, whether imposed by U.S. or other tax authorities. Note that, all else being equal, the returns experienced by investors in Voleon Institutional Strategies International are generally expected to be lower than those returns experienced by investors in Voleon Institutional Strategies Fund as the result of certain withholding tax obligations.

Any measure of risk is inherently incomplete and does not account for all risks or even all material risks. By way of example, the risk-related information presented in this document, such as standard deviation and Sharpe ratio figures, does not reflect the risk of catastrophic losses. The risk-free interest rate used as the minimum acceptable return in the Sharpe ratio, Sortino ratio, and downside deviation computations is the yield of 3-month U.S. Treasury bills for each month during the applicable time period. The Calmar ratio is the quotient of the Fund's lifetime average annual rate of return, divided by the Fund's maximum drawdown. The Correlation with S&P 500 figure is the correlation coefficient of the monthly return data for the Fund and the S&P 500 (a market-capitalization weighted index published by Standard & Poor’s of larger-capitalization stocks) during the applicable time period. Cumulative Lifetime Net Performance vs. Benchmarks This graph shows the cumulative lifetime net performance of the Fund, as compared to the performance of the S&P 500 Index and the HFRI EH Equity Market Neutral Index (an equity market neutral index published by Hedge Fund Research, Inc.) during the same time period, except that the performance graph of the HFRI EH Equity Market Neutral Index may not include performance for the most recent month if such performance is not published by the time this document is prepared. Simulated Performance (Net) The figures presented in the “Simulated Performance (Net)” section for the period of August 2004 to December 2015 are simulated returns that were generated by retroactively applying algorithmic forecasts to historical data. These figures were computed in December 2015 and have not been updated since that time. There can be no assurance that similar results would have been achieved during this time period with actual trading by the same algorithm. These figures do not reflect actual trading in any accounts, nor do they represent actual returns. The simulated returns (1) assume a hypothetical investor’s initial investment in August 2004, with no redemptions during the simulation period, (2) are calculated using returns from simulated trading that includes assumptions about total leverage of the portfolio and related costs of financing, (3) do not assume that dividends, interest, or other income amounts are reinvested in the portfolio, and (4) include deductions for estimated trading commissions, certain expenses related to the operations of the feeder, asset-based fees (equal to 1/12 of 2%, deducted monthly in advance), and any applicable profit-based fees or allocations (equal to 20% of net profits, paid quarterly, with a high-water mark). The simulated returns do not include deductions for costs that would typically be associated with the formation of an investment fund and certain other ongoing operating costs. By not deducting such costs, the simulated returns are higher than would be the case if such costs were deducted. The simulated returns were computed in December 2015 using the systems and models in place at that time. Voleon has continued to update and change these systems and models, and it expects to continue to do so in the future. Accordingly, the simulated returns do not necessarily reflect the results that would be achieved if the systems and models currently in place as of the date of this document were applied retroactively to the same time period, and it is possible that the performance figures shown in the simulated returns could be worse (or better) if the current systems and models used by Voleon were applied to the same time period.

Simulated performance does not represent actual performance and has inherent shortcomings. Hypothetical trading does not involve financial risk, and no hypothetical trading model can account for the ability to withstand losses and Statistics on Lifetime Net Performance comply with a systematic trading program. Trades in simulations are not Statistics in this section are computed using lifetime net returns from the start of actually executed, and the simulated execution prices include assumptions the Fund’s trading on January 1, 2016 to the date of this document. The fund is about market impact, the availability of liquidity, and the ability to obtain market not required to adhere to any statistics shown, and these figures m...