CTA Profiles Sweet Futures

Start Date: Feb-2007
Nov Return: 0.35%
YTD Return: 2.67%
Annual CROR: 5.58

Worst Drawdown: -44.45%
Losing Streak: -12.10 %
Sharpe Ratio: 0.36
Calmar Ratio: N/A

Min Investment: $2,000,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0330993

Margin: 15%
Mgt Fee: 2.00%
Incentive Fee: 20.00%
Round Turns: 1,900

Trading Strategy: The WaveFront Global Investment Program holds as its central investment tenet the belief that markets exhibit serial correlation or price trends and other persistent anomalies that cannot be explained by random behavior or the assumption of fully informed and rational market participants. Price trends, or serial correlation in market prices, may be the result of many factors including deeply rooted supply and demand trends for physical commodities, equity risk premiums, persistent interest rate differentials between currencies, the basis embedded in the term structure of futures prices and the crowd behavior of market participants. The Wavefront Global Investment Program utilizes proprietary systematic trading strategies to invest in long-term price trends in over 60 industrial, agricultural and financial futures markets. Risk Strategy: The WaveFront Global Investment Program is based on a risk budgeting strategy for allocating capital to markets and signal generators. WaveFront utilizes a fixed risk budget that targets long-term average annualized downside deviation of less than 13%. This risk budget is then equally allocated across over 60 markets, adjusted by their volatilities and correlations. The degree to which a market's allocated risk budget is utilized is then determined by the net trading position of 576 distinct signal generators per market. Although trend-based, these signal generators are not trend-following in the traditional sense and make significant use of both smoothing algorithms and sampling techniques to separate serial correlation in market data from higher frequency noise. Unutilized risk budgets that result from conflicting underlying signals are not re-allocated to other markets but go to cash. This risk budgeting strategy results in a 99% 1-month Portfolio Value-at-Risk ( VaR ) using Extreme Value Theory ( EVT ) of 10%.
In addition, the program incorporates two risk budget overlays that can reduce or eliminate the initial risk budget allocated to a market. One overlay is reactionary and based on identifying high percentile degradation in current market trends while the other is anticipatory and takes profits based on high percentile rankings of actual versus expected profitability in a given market. Lastly, WaveFront has developed two additional strategies that are, respectively, specific to short-term interest rate futures and equity indices. These strategies act as both diversifying and macro-hedging strategies to the core trend-based program in that they are generally uncorrelated to trend-based strategies but also tend to be negatively correlated when trend-based strategies underperform.

As markets continue to evolve over time and as WaveFront is continuously engaged in market research, a core feature of the WaveFront Global Investment Program is that it may also, in the future, incorporate additional trading and risk-management strategies and / or modify or eliminate all or some of the current trading strategies already in use.

Trading Methodology
100% Systematic
Trading Style
100% Trend Following

Style Sub-Categories
Trend Following

Holding Period
100% Long Term
Sector: Global
Contracts: Futures Options

Market Allocation
10% Stock Indices
20% Currencies
20% Financials
13% Metals
13% Energies
8% Agriculturals
8% Meats
8% Softs

Recent Performance - Start Date of Program February 2007

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	1.79%	6.49%	4.35%	1.62%	1.62%	-3.17%	-1.05%	-1.47%	-4.13%	1.76%	-4.89%	0.35%		2.67%	-12.4%
2023	-1.81%	0.77%	-5.06%	5.65%	1.04%	1.34%	-0.51%	-3.30%	1.91%	-1.00%	-1.00%	-2.39%	1.34%	-3.4%	-6.2%
2022	2.32%	6.78%	11.21%	10.34%	-2.47%	0.77%	-4.12%	0.19%	9.44%	-2.32%	-4.38%	-2.88%	25.66%	-9.29%
2021	1.69%	8.82%	-1.22%	4.44%	2.84%	-2.34%	-0.19%	-0.26%	2.89%	5.02%	-6.46%	-0.38%	14.93%	-6.82%
2020	3.46%	1.95%	20.78%	-0.03%	-3.64%	-2.32%	2.24%	2.49%	-5.70%	-5.70%	5.00%	12.20%	31.59%	-12.32%
2019	-4.92%	4.07%	0.48%	2.09%	-0.48%	-1.57%	-1.71%	4.79%	-7.03%	-3.21%	0.30%	1.38%	-6.3%	-10.02%
2018	6.96%	-10.73%	-2.21%	0.12%	-2.87%	-0.78%	0.39%	-0.11%	1.90%	-6.92%	0.16%	3.79%	-10.92%	-19.88%
2017	-1.52%	-1.83%	-3.22%	-0.83%	-2.99%	-1.46%	1.96%	1.55%	-3.35%	-0.38%	-0.40%	1.10%	-10.96%	-11.93%
2016	3.60%	1.72%	-3.60%	-3.23%	-4.77%	5.18%	-0.31%	-5.82%	-3.13%	-4.96%	-5.68%	-0.23%	-19.91%	-24%
2015	13.11%	-1.18%	0.76%	-4.70%	0.85%	-2.37%	5.30%	1.06%	0.34%	-3.97%	3.23%	-1.46%	10.23%	-6.57%
2014	-2.85%	1.26%	-3.61%	0.13%	0.18%	0.34%	5.19%	3.37%	2.77%	-0.31%	8.50%	3.82%	19.76%	-5.18%
2013	3.16%	-0.52%	0.69%	4.04%	-0.08%	0.35%	-2.87%	-3.76%	1.06%	2.16%	3.36%	2.33%	10.03%	-6.52%
2012	-2.74%	-2.75%	-1.51%	3.16%	6.99%	-6.02%	1.21%	-1.45%	-4.51%	-4.78%	-1.50%	0.63%	-13.14%	-16.05%
2011	-0.21%	3.88%	-1.43%	3.73%	-2.92%	-2.32%	2.96%	1.03%	-4.08%	-4.29%	0.67%	1.32%	-2.1%	-9.44%
2010	-3.36%	2.31%	3.52%	0.56%	-3.44%	-0.62%	-3.88%	9.37%	1.80%	5.63%	-1.86%	3.07%	12.94%	-7.76%
2009	-0.88%	-0.47%	-3.63%	-1.84%	-2.95%	0.27%	-0.04%	4.39%	3.31%	-4.28%	8.77%	-3.99%	-2.14%	-9.43%
2008	4.59%	18.84%	-1.19%	-2.77%	1.07%	4.26%	-6.98%	-3.39%	4.26%	19.65%	2.26%	2.23%	47.47%	-10.13%
2007		-6.55%	-3.03%	9.05%	5.56%	4.44%	-7.01%	-3.72%	11.52%	7.13%	-1.25%	2.27%	17.69%	-10.47%

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

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Track Record Prepared By: Compliance Supervisors

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.

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.

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.