CTA Profiles

Capstone Futures Group - Quant Algo DTST Diversified

Principal(s): David Bean
Strategy: Quantiative / Diversified
Request Disclosure Document
Investment Restrictions: 4.7 Exempt - QEPs Only++

Statistics & Program Information

Nov Return -4.30%	Worst Drawdown ⁽²⁾ -21.09%	Minimum Investment $250,000
YTD Return -9.91%	Losing Streak ⁽³⁾ -15.26 %	AUM⁽⁵⁾ $1,250,000
Annualized CROR⁽¹⁾ N/A	Sharpe Ratio ⁽⁴⁾ 0.34	Calmar Ratio ⁽⁶⁾ 0.38

Trading Methodology 100% Systematic	Style Sub-Categories Contrarian Quantitative Mean Reversion	Trading Style 100% Quantiative / Mean Reversion
Market Sector 53% Stock Indices 1% Currencies 1% Financials 26% Metals 14% Energies 2% Agriculturals 1% Meats 2% Softs	Holding Period 100% Short Term	Sector Global Contracts Futures

Start Date Apr-2021	Currency US Dollars	Margin ⁽⁷⁾
New Money Yes	AUM ⁽⁵⁾ $1,250,000	Management Fee 2.00%
Min Investment $250,000	Annualized CROR⁽¹⁾ N/A	Incentive Fee 20.00%
Fund Minimum $0	Losing Streak ⁽³⁾ -15.26 %	Other Fees None
Notional Funds No	Worst Drawdown ⁽²⁾ -21.09 %	Avg Comm ⁽⁸⁾ $0.00
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.34	Max Comm ⁽⁹⁾
NFA Number 0450301	Calmar Ratio ⁽⁶⁾ 0.38	Round Turns ⁽¹⁰⁾ 5,500

Starting Date: Apr-2021	Currency: US Dollars
Open to New Investors: Yes	Current Assets: $1,250,000
Open to US Investors: Yes	Annualized CROR: 6.74%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -21.70
Minimum Managed Account: $250,000	Current Losing Streak: -15.26 %
Domocile:	Calmar: 0.38
Subscriptions: N/A	Sharpe Ratio: 0.34
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: None	FINRA Member: No
	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: Compliance Supervisors

Correlations: AG CTA Index: 0.087 AG Systematic CTA Index: 0.077

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 QUANT ALGO DTST DIVERSIFIED PROGRAM is a quantitative trading systems portfolio. Market Trading Algorithms are combined together in a portfolio using quantitative analysis. The strategies take advantage of short-term market fluctuations including trend, countertrend, and mean reversion price movements in a diverse group of liquid futures markets.

The Portfolio is a unique asset class, actively managed as an alternative investment for our clients. Proprietary algorithms have been tested and developed into fully automated trading systems. Trades are entered and exited using a 100% systematic approach.

Market Portfolios are developed using our own Portfolio Characterization Matrix to combine a wide range of diverse trading systems using diverse methodologies. Quantitative metrics are used to measure the level of diversity in the portfolio. The goal of the trading program is to employ the portfolio to capture risk adjusted returns in any type of market environment. The Portfolios are developed to trade bull markets, bear markets, different cycles of volatility, as well as a range of economic conditions including rising and falling interest rates.

Risk Strategy:

N/A

Background:

David Bean is the principal at Capstone Futures Group. He started in wireless technology in 1995 after earning at Bachelors Degree in Electrical Engineering. He started trading and developing trading systems in the late 90's and became a full time trader in in 2001. He speciallizes in develoing fully automated trading systems for the futures markets and focuses on day trade and short term swing trading algorithms on time series charts.

Accounting Notes:

Monthly rates of return are calculated pursuant to the Only Accounts Traded Method ("OAT"). Under this method, rate of return are computed by dividing the aggregate net performance by the aggregate beginning equity for only those accounts which traded during the entire month and which had no material additions or withdrawals. It excludes new accounts, accounts that were open for only part of the month, and accounts which had material (i.e., 10% or more of beginning equity) additions or withdrawals, and other factors that may possibly distort rate of return.

Performance

Monthly Performance Since April 2021

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR*	Max DD
2024	-0.17%	-10.06%	-4.77%	5.35%	-3.21%	6.44%	1.33%	0.03%	1.57%	-2.12%	-4.30%		-9.91%	-14.5%
2023	9.10%	-4.26%	3.75%	5.47%	-4.27%	-0.17%	6.05%	5.14%	-6.80%	-0.65%	2.99%	-0.89%	15.46%	-7.41%
2022	-13.64%	-3.15%	12.49%	14.01%	11.75%	-9.83%	-0.08%	1.49%	-5.34%	-0.40%	20.50%	-13.18%	14.62%	-16.36%
2021				4.15%	2.08%	10.24%	3.94%	-7.68%	-12.04%	10.23%	-5.57%	10.76%	16.11%	-18.8%

*The Annual ROR (Rate of Return) for Fixed Trade Level Accounts has been calculated by adding each monthly return.

Annual Performance

Years	2021	2022	2023	2024 YTD
ROR	16.11%	14.62%	15.46%	-9.91%
Max DD	-18.80%	-16.36%	-7.41%	-14.50%

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

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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++Qualified Eligible Investors Only:

A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions).

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.

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.