CTA Profiles Paragon Global Markets

Start Date: Jan-2020
Nov Return: 0.77%
YTD Return: 19.77%
Annual CROR: 34.37

Worst Drawdown: -7.29%
Losing Streak: 0.00 %
Sharpe Ratio: 2.49
Calmar Ratio: 16.05

Min Investment: $1,000,000
Currency: US Dollars
Notional Funding: No
NFA Number: 0505193

Margin: 15-30%
Mgt Fee: 1.00%
Incentive Fee: 20.00%
Round Turns: 5,900

Trading Strategy: NFA ID: 0505193
Advanced Alpha Advisers' strategy The strategy is comprised of two components; a short-term (average 2 day), algorithmic, trend following futures trading model, plus, a short volatility option strategy which sells options in order to earn the premium. The trend following model benefits from the documented existence of under and over reactions in futures prices leading to short term price trends. Meanwhile, as an option seller, the strategy benefits from the fact that Implied Volatility is very often higher than Realised Volatility. The strategy constructs weekly, combined trades to profit from these inefficiencies. The trades are applied to currency, equity, commodity and FI listed markets. The strategy is designed to profit from two commonly observed, and negatively correlated, market inefficiencies. These are, the existence of short term price trends in futures markets, and the Volatility Risk Premium1 . These two inefficiencies pair well together because they pay out at different times, i.e. when volatility is high, the trend following futures strategy typically pays out, whereas when volatility is low, the short volatility options strategy typically pays out. This ensures a stable return schedule and mitigates extreme tail events. The model is further refined by proprietary trade timing, allocation and execution procedures, as well as sophisticated, in-house risk management tools. Presented here are the back test results of the defensive version of the strategy, which has lower target volatility and stricter risk management limits. For additional information please inquire at [email protected]

Accounting Notes: Although the ART strategy has been trading live since December 2023. January 2020 through November 2023 represents back tested results of the Defensive version of the strategy. The difference is, lower volatility and tighter risk controls on the options portion of the strategy. The back test results presented above are hypothetical and were derived using optimized futures performance data alongside a historical test of the options strategy. The options portion uses an orderbook reconstruction technique and is an accurate representation of the performance of a hypothetical managed account trading this strategy. The test period intentionally includes the start of the COVID-19 pandemic to demonstrate the performance during a period of significant market volatility. The performance shown includes costs such as bid/ask spreads, broker and exchange fees and manager fees (20% of performance). Profits are assumed to be reinvested. The data is provided by Advanced Alpha Advisers, LLC, a New York based Commodity Trading Advisor. The ART Velocity strategy began live trading as of July 2023. The total AUM for the strategy is currently $3m. The performance of any new accounts managed by Advanced Alpha Advisers, LLC could conceivably differ from the track record shown for the following reasons, trading and platform fees (new accounts could face potentially higher or lower fees than those used to calculate this performance); target volatility (clients can select any target volatility between 5% and 50%) and minimum account size ($1m for all accounts with 16% target volatility). Other accounts that traded different versions of this strategy are not included in these results; these accounts achieved lower returns.

Assets under Management represent the firm's total AUM.

For additional information please inquire at [email protected]

Trading Methodology
90% Systematic
10% Discretionary
Trading Style

Style Sub-Categories

Holding Period
Sector: Global
Contracts: Futures

Market Allocation

Performance from Jan 2020 through November 2023 are the results presented her are hypothetical and were derived using the live tested futures component combined with options price and volume tick data. The ART Velocity strategy began live trading as of December 2023. The total AUM for the strategy is currently $3m.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-0.01%	2.43%	5.12%	0.58%	-2.52%	1.58%	5.37%	4.99%	-2.87%	3.15%	0.77%		19.77%	-2.87%
2023	0.55%	8.08%	6.44%	1.24%	9.76%	-0.59%	1.67%	2.25%	1.23%	0.91%	1.26%	5.59%	45.05%	-0.59%
2022	3.02%	9.18%	8.84%	5.78%	3.06%	3.32%	3.15%	4.99%	0.86%	10.29%	2.47%	5.61%	79.76%	0%
2021	4.14%	3.31%	8.69%	1.26%	1.79%	1.31%	1.08%	1.92%	0.01%	4.63%	1.65%	-0.21%	33.49%	-0.21%
2020	0.58%	-7.00%	-0.31%	2.17%	-0.64%	7.14%	-2.06%	0.93%	5.58%	1.93%	-4.10%	-0.91%	2.54%	-7.29%

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

Chart

Track Record Prepared By: NAV Consulting

Footnotes:
(C) = Client Trading Results
(P) = Proprietary Trading Results
(P&C) = A Combination of Proprietary & Client Results.
Current Drawdown - The Current Losing Streak of the CTA, if any.
Worst Drawdown - The Worst Drawdown reflects the greatest loss from Inception. Worst Drawdown can be defined as the potential cost of higher return.
Annual Compound Rate of Return - The Annualized Compounded Rate of Return represents the average return of the CTA over the time frame of the report. It smoothes out returns by assuming constant growth.
Calmar Ratio - The 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.
Sharpe Ratio - 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.
Round Turns - Represents the annual number of Round Turns per $1 million.

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

Qualified Eligible Investors - 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).

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 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.

LIMITATIONS OF RANKINGS ARE THAT ONLY THOSE ADVISORS OR POOL OPERATORS THAT SUBMITTED THEIR PERFORMANCE DATA TO AUTUMNGOLD WERE RATED. THE ENTIRE CTA UNIVERSE IS NOT INCLUDED IN THE RANKINGS. THE PERFORMANCE INFORMATION PROVIDED WHEREIN HAS NOT BEEN VERIFIED BY AUTUMNGOLD.