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2603 Camino Ramon, Suite 200
San Ramon, CA 94583
Toll Free: 888-816-6887
Direct: 925-362-8510
[email protected]

CTADreiss Research Corp
ProgramDiversified Program
Disclosure Document Request Document
Investment Restrictions4.7 Exempt - Qualified Eligible Persons Only

Trading Strategy: LT Trend Follower / Diversified

Principal(s): E.W. Dreiss


Aug
Return
YTD
Return
Annual
Compound
ROR1
Current
Losing
Streak2
Worst
Drawdown3
Minimum
Investment
Assets
Under
Mgt
Omega Ratio
%(4)
Annual Threshold
Sharpe Ratio
1% Risk Free
ROR
26.01% 56.35% 15.64% 0.00 % -51.44 % $750,000 $2,239,478 1.44 0.60

Trading Description: Dreiss Research Corporation applies the Fractal Wave System to a widely diversified portfolio. The system trades off weekly price charts and generates very long term signals. Price patterns are identified by the Fractal Wave Algorithm (FWA), a unique method of pattern recognition based on fractal geometry. Turning points identified by the FWA are used to precisely define trend lines and support and resistance levels which are then used to calculate trading signals. The Choppiness Index, also derived from fractal geometry, is used to distinguish between thrusting and consolidating markets.

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Trading Methodology Sector Style Sub-Catagories Holding Period Market Allocation
100% Systematic

US Offshore Global Trend Following
Diversified
Trading Style Contracts
Futures
   
Performance

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2019 -7.56% 5.93% 2.60% 6.28% -0.19% 6.01% 9.82% 26.01%   56.35% -7.56%
2018 10.64% -18.83% 0.23% 2.37% -4.21% -3.96% -0.30% 10.97% -0.41% -8.29% -1.13% 6.83% -9.52% -23.61%
2017 -0.07% -5.82% -5.51% -1.01% 1.69% -0.60% -1.96% -1.17% -15.30% 16.58% -2.14% 7.90% -10.11% -26.97%
2016 -0.66% 8.66% -9.19% 4.12% -6.33% 18.56% 5.96% -5.45% 12.20% -4.10% 6.22% -10.46% 16.21% -11.43%
2015 11.90% -0.12% 6.56% -4.47% -0.47% -5.16% 8.04% -4.16% 10.73% -22.81% 21.14% -8.61% 5.23% -22.81%
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PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

Investment Information 
Statistics6 
Structure 
        Start Date: 
 May-1991
        Currency: 
 US Dollars
        Margin to Equity: (7)
  35%
        New Money: 
 Yes
        Current Assets: 
 $2,239,478
        Management Fee:
  2.00%
        Min. Investment: 
 $750,000
        Compound ROR1
 15.64 %
        Incentive Fee:
  25.00%
        Fund Minimum: 
 $0
        Worst Drawdown: (3) 
 -51.44 %
        Other Fees: 
  None
        Notional Funds: 
 Yes
        Current Losing Streak: (2)
 0.00 %
        Avg Commission: (8) 
  $20
 
        Sharpe Ratio 1% RF ROR: (5)
  0.60
        Round Turns per Mil: (9)
  2,000
 
       Calmar Ratio 36 Months: (6) 
  0.27
        Additional Information
        NFA Member:  Yes
Third Party Accountant: N/A
        NFA ID:   0238047
Other Memberships:  
 
        Peer Correlations (Autumn Gold Indexes are Non-Investable)
                AG CTA Index: 0.537 
Chart
Chart


Footnotes


(P) - Proprietary Trading Results

(C) - Client Trading Results

1. Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a CTA trades based on account unit rather than on account equity.

     The Annual Compound Rate of Return represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period.

     Annual Rate of Return is calculated adding each month's return.

2. The Current Losing Streak represents the extent of the Adviso'rs current drawdown.

3. From Start Date of Program - The Worst Peak-to-Valley Drawdown is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

4. Omega Function takes all of the performance data into consideration. The flatter the distribution the more risky the investment. "The distribution mean is where the omega function equals 1. "Omega provides practitioners with an extremely useful tool since it accounts for the non-normal distributions of returns which are commonplace in finance, particularly for alternative investments. ...omega incorporates all the moments of the distribution and is therefore appropriate for investment analysis when returns are not normally distributed. Second, even for normally distributed returns, omega provides additional information since it takes into account the investor's preferences for loss and gain. Finally, omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually. It can therefore reduce the estimation error risk." [Abrams, Ray, Ranjan Bhaduri, PHD, CFA, CAIA, and Elizabeth Flores, CAIA. "Litner Revisted: A Quantitative Analysis of Managed Futures for Plan Sponsors, Endowments and Foundations. CME Group (May 2012): 12-14. Print]

5. Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return.

6. Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A.

7. Margin to Equity represents the average margin as a percent of a fully funded account.

8. The Average Commission represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly.

9. Round Turns per Million represent the average number of round turns that would be generated in a $1,000,000 account.

THIS PROGRAM IS ONLY OPEN TO INVESTORS FITTING THE DEFINITION OF A QUALIFIED ELIGIBLE PERSON AS THAT TERM IS DEFINED UNDER CFTC REGULATION 4.7(A).

Exemptions: PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

RISK DISCLOSURE
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THE RISK OF TRADING COMMODITY FUTURES AND OPTIONS IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES AND OPTIONS CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON. THE FULL RISK OF COMMODITY FUTURES AND OPTIONS TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

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2603 Camino Ramon, Suite 200 * San Ramon, CA 94583 * 925-362-8510 * www.novusinvestments.com