CTA Profiles Sweet Futures

Start Date: May-2005
Nov Return: -0.03%
YTD Return: -9.48%
Annual CROR: 5.84

Worst Drawdown: -31.28%
Losing Streak: -21.55 %
Sharpe Ratio: 0.37
Calmar Ratio: -0.08

Min Investment: $5,000,000
Currency: US Dollars
Notional Funding: Yes
NFA Number: #0354192

Margin: 15%
Mgt Fee: 2.00%
Incentive Fee: 20.00%
Round Turns: 1,600

Trading Strategy:
- The Horizon3 Program blends scientific, engineering and behavioural disciplines to capture market behaviour 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.
Risk Strategy: N/A

Accounting Notes: Prior trading names: Wimmer Horizon LLP (29th Jan 2019 - 20th Jan 2023), Beach Horizon LLP (26 May 2004 - 29 Jan 2019).

The composite monthly net performance results shown in the table above are net of all management fees, incentive fees and brokerage commissions and related transaction fees and expenses. Certain accounts managed by Horizon3 Investment Management LLP and/or its principals have been excluded from the composite table because such accounts had materially differences in rates of return from the accounts included in the composite. In addition, for various reasons including, without limitation, the timing of the commencement or cessation of trading for an account, the size of an account, the levels of fees and expenses charged to account, the degree of leverage employed and other differences, an individual account may have realized more or less favorable results than the composite results indicate.

Total AUM equals the notional value of all accounts traded by Horizon3 Investment Management LLP and its principals.

Trading Methodology
100% Systematic
Trading Style
100% Trend Following

Style Sub-Categories
Trend Following
Pattern Recognition

Holding Period
Sector: Global
Contracts: Futures Forex

Market Allocation
100% Diversified

Please See Accounting Notes

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-5.45%	-0.13%	-1.23%	4.99%	-2.96%	-0.90%	-2.70%	-1.20%	0.42%	-0.41%	-0.03%		-9.48%	-9.48%
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%	-13.7%
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%	-0.1%	-13.4%
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%	-10.6%
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%	-18.89%	-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%	13.9%	-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%	20.3%	-3.01%

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

Chart

Track Record Prepared By: N/A

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.