CTA Profiles

Orbits Venture Inc - Risk Sigma Program No. 2

Principal(s): Shi Lu
Strategy: Option Writer / S-Term / S&P
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Statistics & Program Information

Nov Return 0.41%	Worst Drawdown ⁽²⁾ -17.96%	Minimum Investment $125,000
YTD Return 5.80%	Losing Streak ⁽³⁾ -0.75 %	AUM⁽⁵⁾ $46,733,000
Annualized CROR ⁽¹⁾ 8.36	Sharpe Ratio ⁽⁴⁾ 1.11	Calmar Ratio ⁽⁶⁾ 5.60

Trading Methodology 85% Systematic 15% Discretionary	Style Sub-Categories Pattern Recognition Option Writer Other Option Strategy Volatility Quantitative Mean Reversion	Trading Style 95% Option Trading 5% Pattern Recognition, Hedging & Technical
Market Sector 9999% Stock Indices	Holding Period 100% Short Term	Sector US Contracts Futures Options

Start Date Mar-2015	Currency US Dollar	Margin ⁽⁷⁾ 0.35
New Money Yes	AUM ⁽⁵⁾ $46,733,000	Management Fee 2.00%
Min Investment $125,000	Annualized CROR ⁽¹⁾ 8.36	Incentive Fee 20.00%
Fund Minimum $1,000,000	Losing Streak ⁽³⁾ -0.75 %	Other Fees No
Notional Funds No	Worst Drawdown ⁽²⁾ -17.96 %	Avg Comm ⁽⁸⁾ $1.25
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 1.11	Max Comm ⁽⁹⁾ $1.25
NFA Number 0419130	Calmar Ratio ⁽⁶⁾ 5.60	Round Turns ⁽¹⁰⁾ 10,000

Starting Date: Mar-2015	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $46,733,000
Open to US Investors: Yes	Annualized CROR: 8.36%
Minimum Fund Investment: $1,000,000	Worst Monthly Drawdown: -17.96
Minimum Managed Account: $125,000	Current Losing Streak: -0.75 %
Domocile:	Calmar: 5.60
Subscriptions: N/A	Sharpe Ratio: 1.11
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 2.00%	Auditor: Not Listed
Incentive Fee: 20.00%	NFA Member: Yes
Other Fees: No	FINRA Member: No
	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: Self-Prepared

Correlations: AG CTA Index: 0.421 AG Systematic CTA Index: 0.311

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each. 1. Rates of Return: 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 a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity. The Annualized Compounded Rate of Return ("Annualized CROR") represents the compounded rate of return or 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. The Annual Rate of Return ("Annual ROR") is the annualized Mean Return. 2. The Worst Peak-to-Valley Drawdown ("Worst 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. 3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown. 4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown. 5. Annualzied Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return. 6. Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return. 7. The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return. 8. The Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%. 9. The Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data. 10. The 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 Annualized 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. 11. The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually. 12. Minimum Investment represents the minimum account size. 13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager. 14. The Number of Winning Months represents the months with positive return. 15. The Number of Losing Months represents the months with negative return. 16. The Percentage of Winning Months represents the % of winning months. 17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account. 18. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account. 19. Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly. 20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description:

Risk Sigma invests in S&P 500 Futures and Options with the objective of achieving consistent capital growth, which aims to be uncorrelated with the S&P 500 index and other major hedge fund indices. The goal is to achieve consistent absolute returns in all likely future market scenarios and to provide added-value as a diversification to portfolios that already have other assets, such as trend-following or momentum strategies.

The program is model-driven. It seeks to generate returns from both volatility and directional market. The program may express its market views by shorting calls at intermediate term tops, shorting puts at intermediate bottoms and shorting strangles at range market. It may also long or short futures to hedge the portfolio risk.

Risk Strategy:

Our risk management system has been designed to produce consistent returns with controlled volatility instead of occasionally outsized returns as experienced in most trend following systems. A combination of risk management and portfolio cash allocations is tailored to be consistent with the individual investor's resources and risk tolerance.

Trading SP500 index futures and options sees large daily market volumes. This index is chosen as the trading vehicle because of our philosophy of putting liquidity as first priority. Losing money is bad for an investment manager; losing money and leaving investors with illiquid positions is simply unacceptable.

Background:

Dr. Shi Lu is listed as the Principal of the Advisor as of March 5, 2010. He has been a licensed Professional Engineer in the State of California since September 1993, an independent consultant since January 2000, and a Staff Consultant of SGH Inc which provides risk evaluation consulting services. As a specialty expert he provides consulting services in the specialized fields related to probabilistic risk assessment, risk mitigations, risk management, properties portfolio analyses, etc. Dr. Lu is a recognized authority in the areas of risk factors assessment, root-cause evaluation, behavioral trending identification, and risk control and mitigation.

Performance

Monthly Performance Since March 2015

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	0.73%	0.78%	1.30%	-0.03%	0.98%	0.93%	1.04%	0.69%	-1.76%	0.61%	0.41%		5.8%	-1.76%
2023	0.48%	0.70%	0.76%	0.63%	1.20%	0.87%	1.15%	1.02%	1.16%	1.27%	0.95%	1.13%	11.95%	0%
2022	0.90%	0.44%	0.91%	0.96%	1.19%	0.93%	0.61%	0.89%	-0.06%	1.09%	0.74%	0.44%	9.4%	-0.06%
2021	-0.14%	0.32%	0.68%	0.22%	1.11%	1.09%	-0.52%	1.45%	1.37%	0.87%	0.89%	2.32%	10.07%	-0.52%
2020	0.60%	-0.93%	3.41%	0.97%	0.93%	0.45%	0.60%	0.67%	0.91%	-0.19%	0.39%	0.87%	8.98%	-0.93%
2019	-0.90%	0.09%	1.45%	1.16%	-2.67%	0.24%	0.56%	-0.29%	1.27%	-0.10%	0.23%	0.36%	1.34%	-2.67%
2018	0.60%	-17.96%	0.85%	0.73%	0.08%	0.62%	1.32%	0.48%	1.08%	1.34%	0.30%	-0.25%	-11.9%	-17.96%
2017	1.30%	1.81%	1.88%	1.67%	1.09%	0.63%	1.48%	1.25%	1.16%	1.66%	1.66%	1.16%	18.09%	0%
2016	1.84%	1.09%	1.01%	0.87%	1.41%	1.44%	1.00%	1.64%	1.68%	0.94%	0.95%	0.67%	15.54%	0%
2015			0.51%	1.10%	1.32%	2.71%	1.90%	1.91%	1.61%	0.91%	1.25%	1.36%	15.56%	0%

Annual Performance

Years	2015	2016	2017	2018	2019	2020
ROR	15.56%	15.54%	18.09%	-11.90%	1.34%	8.98%
Max DD	0.00%	0.00%	0.00%	-17.96%	-2.67%	-0.93%

Years	2021	2022	2023	2024 YTD
ROR	10.07%	9.40%	11.95%	5.80%
Max DD	-0.52%	-0.06%	0.00%	-1.76%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX 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 THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

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, OPTIONS AND FOREX 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.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. 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.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.