CTA Programme
Quantitative with Discretionary Macro Overlay
The Horizon3 Program blends scientific, engineering and behavioral disciplines to capture market behavior and deliver a robust, skewed risk/return profile. Unique strategy which uses Linear methods (e.g. Digital Signal Processing) combined with non-linear methods (e.g. Pattern Recognition) in a rigorous, automated and adaptive system to deal with the changeable nature of markets. A maximization of diversification with adaptive portfolio construction methodology of over 125 liquid markets in financial and commodity futures as well as FX, constantly looking for best diversifying and non-correlated opportunities.
Horizon3 has a long track record of adding diversification to investor portfolios with its low correlation to traditional markets such as stocks and bonds as well as low correlation to other CTA strategies.
| Program Statistics |
|
| Peak-to-Valley Drawdown (2) | -31.28% |
| From Apr 2011 to Sep 2013 | |
| Worst Month (Jul 2008) | -10.69% |
| Current Losing Streak | -27.14% |
| Average Monthly Return | 0.52% |
| Monthly Std. Deviation | 4.56% |
| Gain Deviation (121 months) | 3.26% |
| Loss Deviation (126 months) | 2.31% |
| Gain to Loss Ratio | 1.4 |
| Omega Ratio (5% Threshold) | 1.06 |
| Annualized Performance |
|
| Compound ROR (1) | 5.17% |
| Standard Deviation | 15.8% |
| Downside Deviation | 9.34% |
| Sharpe Ratio (3) 2% RF ROR | 0.37 |
| Sortino Ratio (4) 5% MAR | 0.54 |
| Calmar Ratio (5) | -0.37 |
| Sterling Ratio (6) | -0.43 |
| Gain Deviation | 11.3% |
| Loss Deviation | 8% |
| Profit Loss Ratio | 1.34 |
| Investment Information |
|
| Program Start Date | May-2005 |
| Percent Systematic | 100% |
| Currency Denomination - US Dollars | |
| Minimum Investment | $5,000,000 |
| Minimum Fund Investment | $1,000,000 |
| Management Fee | 2.00% |
| Incentive Fee | 0.00 |
| Margin | 15% |
| Round Turns per Million | 1,600 |
| NFA No: | ##0354192 |
| 4.7 Exempt - QEPs Only | |
| Performance Since May 2005 | Track Record Compiled By: N/A | Please See Accounting Notes |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | -0.27% | -1.14% | -0.32% | -0.71% | -0.48% | 0.45% | -1.59% | -1.90% | 0.62% | 1.03% | -2.87% | – | -7.03% | -7.03% |
| 2024 | -5.45% | -0.13% | -1.23% | 4.99% | -2.96% | -0.90% | -2.70% | -1.20% | 0.42% | -0.41% | -0.03% | -0.11% | -9.58% | -9.58% |
| 2023 | -1.06% | -2.21% | -3.75% | 0.99% | 3.95% | -2.45% | -5.15% | -4.21% | 5.93% | 2.87% | -10.45% | 6.01% | -10.38% | -15.46% |
| 2022 | -0.06% | 3.16% | 5.30% | 0.54% | -3.19% | 6.30% | -5.67% | 4.22% | 12.86% | -1.51% | -1.78% | -0.03% | 20.52% | -5.67% |
| 2021 | -3.89% | 7.14% | 2.43% | -0.12% | -0.21% | -1.13% | 0.41% | -1.15% | 4.12% | 7.93% | -2.89% | -2.77% | 9.46% | -5.58% |
| 2020 | 1.65% | 6.45% | 6.05% | -5.66% | -2.44% | -1.33% | 6.17% | -0.48% | -2.25% | 3.78% | -1.78% | 4.43% | 14.56% | -9.19% |
| 2019 | -6.62% | 1.95% | 2.22% | 2.87% | -0.27% | 1.32% | 0.18% | 4.61% | -8.58% | -2.22% | 2.11% | 1.35% | -1.93% | -10.61% |
| 2018 | 3.16% | -8.31% | 6.25% | -1.93% | -3.49% | -4.55% | -3.73% | 7.20% | -5.46% | -2.93% | 0.01% | 3.56% | -10.95% | -16.65% |
| 2017 | -1.80% | 0.51% | -4.58% | 0.79% | -1.19% | -6.26% | 2.82% | 2.72% | -7.10% | 8.30% | 2.72% | -0.90% | -4.86% | -13.70% |
| 2016 | 4.23% | 4.20% | -5.55% | -3.20% | -5.28% | 4.87% | 2.91% | -2.09% | -1.54% | -2.29% | 6.07% | -1.50% | -0.10% | -13.40% |
| 2015 | 3.57% | 2.03% | 0.80% | -5.48% | -1.02% | -4.50% | 5.22% | 5.16% | 2.15% | -6.62% | 3.87% | 0.89% | 5.29% | -10.65% |
| 2014 | 1.95% | 0.82% | -1.46% | 1.68% | 3.19% | -2.38% | 4.24% | 4.23% | 8.72% | 3.04% | 7.29% | 4.58% | 41.67% | -2.38% |
| 2013 | 1.45% | -3.82% | -0.31% | 3.19% | -1.27% | -1.85% | -4.22% | -0.82% | -1.84% | 3.50% | 0.36% | -1.73% | -7.42% | -10.60% |
| 2012 | -2.69% | -1.45% | -3.49% | -0.32% | 7.26% | -7.25% | 3.35% | -3.00% | -4.88% | -4.76% | -2.05% | -0.66% | -18.90% | -18.89% |
| 2011 | 1.23% | 3.95% | -2.21% | 4.47% | -4.81% | -3.90% | 5.53% | 0.58% | -0.71% | -6.39% | 3.66% | -0.13% | 0.43% | -9.75% |
| 2010 | -3.93% | -0.07% | 5.13% | 2.04% | -7.89% | 0.37% | -4.67% | 4.31% | 2.71% | 7.05% | -3.50% | 9.21% | 9.71% | -11.87% |
| 2009 | 0.44% | 1.02% | -3.45% | -2.99% | -1.09% | -2.25% | -1.18% | 3.64% | 2.09% | -4.68% | 7.64% | -1.27% | -2.68% | -10.51% |
| 2008 | 10.62% | 20.72% | -2.33% | -3.77% | 2.30% | 6.36% | -10.69% | -4.22% | 7.11% | 17.10% | 6.87% | 5.10% | 64.54% | -14.47% |
| 2007 | 1.97% | -2.81% | -2.45% | 4.99% | 5.07% | 3.71% | -6.42% | -9.65% | 7.44% | 9.25% | -2.03% | 5.90% | 13.90% | -15.45% |
| 2006 | 6.36% | -4.13% | 6.74% | 9.79% | -3.81% | -4.90% | -5.04% | 1.22% | -2.40% | 4.35% | 0.77% | 2.18% | 10.19% | -14.18% |
| 2005 | – | – | – | – | 4.69% | 3.39% | -2.54% | 3.99% | 1.69% | -3.01% | 10.38% | 0.74% | 20.30% | -3.01% |
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
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