CTA Profiles

Manager List » Chelton Wealth - Quanify GmbH »

Chelton Wealth - Quanify GmbH - Currency Overlay - G10 Major Currencies & Crosses

Principal(s): Robert Jan Teuwissen
Strategy: Supply & Demand / Currencies, Gold, WTI & Indices
Request Disclosure Document
Investment Restrictions: Non-US Investors Only++

Statistics & Program Information

Sep Return 0.94%	Worst Drawdown ⁽²⁾ -4.02%	Minimum Investment €250,000
YTD Return 12.15%	Losing Streak ⁽³⁾ 0.00 %	AUM⁽⁵⁾ €194,000,000
Annualized CROR ⁽¹⁾ 15.80	Sharpe Ratio ⁽⁴⁾ 2.57	Calmar Ratio ⁽⁶⁾ N/A

Trading Methodology 50% Systematic 50% Discretionary	Style Sub-Categories Supply & Demand	Trading Style
Market Sector 3% Stock Indices 4% Metals 3% Energies 90% FX	Holding Period 100% Short Term	Sector Global Contracts Futures Forex

Start Date Mar-2016	Currency Euro	Margin ⁽⁷⁾ 9%-18%
New Money Yes	AUM ⁽⁵⁾ €194,000,000	Management Fee 2.00%
Min Investment €250,000	Annualized CROR ⁽¹⁾ 15.80	Incentive Fee 20.00%
Fund Minimum €100,000	Losing Streak ⁽³⁾ 0.00 %	Other Fees $5 per lot
Notional Funds Yes	Worst Drawdown ⁽²⁾ -4.02 %	Avg Comm ⁽⁸⁾
NFA Member No	Sharpe Ratio ⁽⁴⁾ 2.57	Max Comm ⁽⁹⁾
NFA Number	Calmar Ratio ⁽⁶⁾ N/A	Round Turns ⁽¹⁰⁾ 0

Starting Date: Mar-2016	Currency: Euro
Open to New Investors: Yes	Current Assets: €194,000,000
Open to US Investors: Yes	Annualized CROR: 15.80%
Minimum Fund Investment: €100,000	Worst Monthly Drawdown: -4.02
Minimum Managed Account: €250,000	Current Losing Streak: 0.00 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 2.57
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: No
Other Fees: $5 per lot	FINRA Member: No
	Other Memberships: ARIF

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: IQ-EQ Fund Administrator

Correlations: AG CTA Index: -0.022

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:

The trading program utilizes a proprietary trading strategy that is based on a combination of fundamental and technical analysis of trend and momentum. Therefore, while there is a strict rule- based strategy in place, trading is still carried out manually and requires the initial decision whether to execute the systematic strategy or not. This allows the strategy to quickly adapt to market conditions and volatility, which in our opinion makes it more robust and sustainable long-term.

This trading style and proprietary strategy has been successfully implemented by the manager for over a decade and is substantiated by the live track record as demonstrated below. Along with having achieved above average growth between 13.7% - 18.6% per annum, a key factor in the continued success of the strategy is the ability to have controlled downside volatility significantly with a max drawdown of -2.8% since inception. The strategy's balance between discretionary and systematic trading is the true edge that generates consistent returns, whilst containing the downside, throughout varied market conditions.

The Markets traded include G10 currency majors and crosses, Gold (XAUUSD), WTI and Indices CFDs. (This is also available as a spot FX Only strategy). Managed accounts may be denominated in CHF, EUR, GBP and USD.

Risk Strategy:

N/A

Background:

Robert Jan Teuwissen - A progressive investment professional with more than 25 years of experience in trading the financial markets, combined with running an independent trading & advisory business for the last 2 decades. Having a consistent track record including managing trading desks and advising globally on interest rate and FX risk. Furthermore specialist in taking risk to generate above-average returns.

Head of Trading management team running two different currency investment processes: an Absolute return discretionary forex process and a higher vol target systematic forex strategy. Products included absolute return funds and managed accounts, as well as active and passive currency overlay mandates.

As a 25+ year veteran of the commodity & foreign exchange markets, I have been responsible for currency strategy and trading for several high-profile clients who are allocated within the currency space. I have managed an alpha driven portfolio of G10 currencies, as well as a number of other hedging programmes and strategies. I have been responsible for building out the Currency Desk, including infrastructure, technology, and reporting.

Having started trading commodities futures & currencies on the ICE, LME, CME, CBOT, NYMEX and COMEX in the early 90's, I have gained the expertise to manage risk through times of calm, as well as times of extreme market stress, My years of experience have helped me model and analyse risk in both short and long-term time horizons, studying market fundamentals, and correlations across currencies.

Specialties: Commodity & Currency Strategy, Trader Selection, Multi Strategies.
Knowledge of Modern Portfolio Theory & Behavioral finance, skilled in applying the investment process across portfolio structures and investment vehicles.

Accounting Notes:

Returns are based on proprietary accounts. Client accounts will be traded in like fashion. Results may differ, i.e., broker's spread and execution charges, fees, swap rates, slippage/execution delay, asset/product offering / deposit and risk settings.

The commissions and fees incurred on the purchase or sale of specific financial product illustrated are not included in the performance shown.

Disclosure
OTC Derivatives trading are high-risk investments. OTC Derivatives are leveraged products that can result in losses exceeding your initial deposit. Trading OTC Derivatives on margin carries a high level of risk, and may not be suitable for all individuals. The high degree of leverage offered can work against you as well as for you.

This is not a solicitation to invest and you should carefully consider your financial situation as to the suitability to your situation prior to making any investment or entering into any transaction. You should make yourself aware of all the risks associated with OTC Derivatives trading and seek advice from an independent financial advisor if you have any questions or concerns.

Past performance is not indicative of future results, returns may vary according to market conditions. Trading OTC Derivatives is speculative and may involve the loss of principal; therefore, funds placed under management should be risk capital funds that if lost will not significantly affect one's personal financial well-being.

No representation is being made that participating in a managed account will necessarily lead to profit. Investors may incur a series of consecutive losses and substantial equity drawdowns that can deplete their funds before the occurrence of any meaningful profit accumulation.

Performance

Available to Non-US Investors Only. Results are gross performance and do not reflect management and incentive fees. (A Portion of this Performance is based on Proprietary Trading)

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	5.38%	3.02%	-2.12%	0.71%	1.45%	1.98%	0.94%	-0.58%	0.94%				12.15%	-2.12%
2023	-0.11%	2.57%	-0.33%	2.82%	1.76%	-2.12%	-1.94%	1.21%	0.77%	-0.19%	1.61%	4.29%	10.63%	-4.02%
2022	1.43%	2.18%	0.62%	1.37%	1.88%	1.15%	-0.28%	1.94%	0.16%	0.36%	4.16%	1.58%	17.78%	-0.28%
2021	-1.36%	1.38%	1.65%	0.03%	2.25%	1.12%	-0.16%	0.70%	2.13%	1.96%	1.82%	2.08%	14.4%	-1.36%
2020	0.80%	-2.45%	0.00%	2.22%	1.81%	1.11%	2.00%	1.39%	-0.83%	3.33%	2.45%	1.21%	13.7%	-2.45%
2019	1.13%	5.26%	-0.85%	-1.33%	-0.62%	2.02%	1.69%	2.99%	1.73%	0.69%	1.67%	0.46%	15.67%	-2.79%
2018	1.64%	1.92%	-1.25%	2.77%	-2.11%	1.85%	3.57%	1.00%	0.24%	3.66%	0.45%	1.66%	16.34%	-2.11%
2017	1.09%	3.22%	1.88%	0.43%	3.85%	-1.64%	1.05%	0.05%	2.23%	1.11%	4.39%	-0.33%	18.58%	-1.64%
2016			1.26%	2.01%	1.55%	2.47%	0.10%	0.96%	2.62%	-0.09%	2.78%	1.44%	16.12%	-0.09%

Annual Performance

Years	2016	2017	2018	2019	2020	2021
ROR	16.12%	18.58%	16.34%	15.67%	13.70%	14.40%
Max DD	-0.09%	-1.64%	-2.11%	-2.79%	-2.45%	-1.36%

Years	2022	2023	2024 YTD
ROR	17.78%	10.63%	12.15%
Max DD	-0.28%	-4.02%	-2.12%

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

VAMI, Assets under Management & Worst Drawdown

Chart

Monthly Returns

Chart

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.