Capital Trading Group CTA Database

Cayler Capital LLC - Systematic Energy Diversified

Principal(s): Brent Belote
Strategy: Algorithmic / Energies
Request a Stat Report & Disclosure Document
Investment Restrictions: 4.7 Exempt - QEP Investors Only++

Statistics & Program Information

Nov Return -0.30%	Worst Drawdown ⁽²⁾ -33.84%	Minimum Investment $250,000
YTD Return -21.35%	Losing Streak ⁽³⁾ -33.84 %	AUM⁽⁵⁾ $13,250,000
Annual CROR:¹ 6.69%	Sharpe Ratio ⁽⁴⁾ 0.38	Calmar Ratio ⁽⁶⁾ N/A

Trading Methodology 100% Systematic	Style Sub-Categories Fundamental	Trading Style 50% Spread Trading 5% Option Trading 45% Quantitative
Market Sector 100% Energies	Holding Period 20% Medium Term 80% Short Term	Geographic Sector: US Contracts:

Start Date Jan-2019	Currency US Dollar	Margin ⁽⁷⁾ 10%
New Money Yes	AUM ⁽⁵⁾ $13,250,000	Management Fee 0-2%
Min Investment $250,000	Annual CROR ¹ 6.69%	Incentive Fee 15-30%
Fund Minimum $0	Losing Streak ⁽³⁾ -33.84 %	Other Fees None
Notional Funds Yes	Worst Drawdown ⁽²⁾ -33.84 %	Avg Comm ⁽⁸⁾ 3.50
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.38	Max Comm ⁽⁹⁾
NFA Number 0497673	Calmar Ratio ⁽⁶⁾ N/A	Round Turns ⁽¹⁰⁾ 6,000

Starting Date: Jan-2019	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $13,250,000
Open to US Investors: Yes	Annual CROR: 6.69%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -33.84
Minimum Managed Account: $250,000	Current Losing Streak: -33.84 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 0.38
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: 0.00%	Auditor: Not Listed
Incentive Fee: 25.00%	NFA Member: Yes
Selling Fee: 0.00%	FINRA Member: No
Other Fees: None	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: CTA Services

Correlations: AG CTA Index: 0.276 AG Systematic CTA Index: 0.268

Trading Description, Risk Strategy & Background

Trading Description

The Systematic Energy Diversified program comprises of 5 algorithms derived from the advisor's 10 years spent working at JP Morgan. The 5 algorithms focus on the movement of oil products around the world and forecasting future supply and demand. The program will trade futures and options on WTI, BRENT, Heating oil, and Gasoline. The algorithms look at the underlying fundamental data of each respective product and will identify trades within each product. The algorithms look at fundamental data in the energy markets. We are a very unique systematic strategy in that we don't use any technical analysis or standard price based indicators to identify opportunities

Risk Strategy

Cayler Capital runs a complex VaR model to size the portfolio to target 15% annualized volatility. We look at historic 200d oil moves along with outlier moves over the last 10 years to evaluate risk. All trades are entered and exited on the close, so there is no intraday movement or change in the portfolio. 75% of VaR is dervied from relative value trades while only 25% is contributed from directional moves in the energy space.

Background

Brent Belote is the founder, Chief Investment Officer and Trading Principal of Cayler. He is responsible for overall management, trading, marketing, and investor relations. He became a registered associated person and a listed principal of Cayler, and an associate member of NFA in such capacities on August 3, 2016. Mr. Belote has more than 10 years of experience in the commodities industry, specializing in energy products such as crude oil, heating oil, and gasoline.

From 2012 to 2016, Mr. Belote was in charge of JP Morgan's oil product derivative book for North America, where he managed a complex risk portfolio of oil derivatives in the heating oil, gasoline, WTI and Brent markets. He also worked with airlines to create jet fuel hedging strategies to effectively manage exposure and directed implementation of volumetric production payment offerings to mitigate hurricane risk.

Earlier at JP Morgan, from 2008 to 2012, he ran the WTI and Brent flow trading book for North America, where he traded volatility and flat price across the WTI, Brent and dated Brent curves. He also traded a macro proprietary portfolio comprised of currencies, metals, grains and energy futures and options.

Mr. Belote received his Bachelor of Science degree in Accounting from the University of California in Los Angeles in 2005, and his Master of Business Administration degree from the Leonard N. Stern School of Business at New York University in New York in 2009.

Monthly Performance Since January 2019

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	2.46%	-2.81%	-3.72%	0.17%	-8.90%	-0.14%	-1.28%	-4.16%	-1.01%	-3.59%	-0.30%		-21.35%	-23.23%
2023	0.56%	-4.10%	7.27%	7.84%	2.30%	2.74%	6.30%	-4.86%	-1.25%	-5.88%	-2.86%	-2.07%	4.84%	-15.88%
2022	5.58%	10.05%	25.16%	-5.53%	-1.36%	0.86%	-7.30%	-1.01%	0.30%	4.33%	-4.95%	6.03%	32.25%	-14.23%
2021	3.15%	7.02%	-2.67%	-7.51%	1.68%	3.75%	3.27%	-2.91%	-1.35%	4.03%	-5.10%	-0.51%	1.86%	-9.98%
2020	7.15%	-3.60%	14.94%	10.39%	3.55%	1.03%	-1.82%	-1.08%	1.72%	-8.81%	0.20%	-0.28%	23.44%	-9.98%
2019	-3.67%	2.64%	-0.92%	6.47%	6.37%	-1.11%	-1.02%	-5.59%	3.99%	3.54%	-0.77%	-2.38%	6.97%	-7.59%

Annual Performance

Years	2019	2020	2021	2022	2023	2024
ROR	6.97%	23.44%	1.86%	32.25%	4.84%	-21.35%
Max DD	-7.59%	-9.98%	-9.98%	-14.23%	-15.88%	-23.23%

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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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.

Footnotes & Definitions:

P - Proprietary Trading Results
C - Client Trading Results
Fixed Trade Level: The programs trades a fixed number of contracts in a nominal account regardless of the account value.

Rates of Return: The Annual Compound Rate of Return ("Annual 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. Annual CROR is not applicable to CTAs that sum their monthly returns.
Worst Peak-to-Valley Drawdown: 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.
Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown.
Current Losing Streak: The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown.
Annualzied Standard Deviation: Annualized 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.
Downside Deviation: 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.
Sharpe Ratio: 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.
Sortino Ratio: 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%.
Sterling Ratio: 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.
Calmar Ratio: 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.
Omega Function: 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.
Minimum Investment: Minimum Investment represents the minimum account size.
Assets Under Management: Assets Under Management ("AUM") represents the current nominal assets traded by the Manager.
Number of Winning Months: Number of Winning Months represents the months with positive return.
Number of Losing Months: Number of Losing Months represents the months with negative return.
Percentage of Winning Months: Percentage of Winning Months represents the % of winning months.
Margin to Equity: Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account.
Round Turns per Million: Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account.
Average Commission: The 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.
Maximum Commisions: Maximum Commission ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS