CTA Profiles Sweet Futures

Start Date: Apr-2004
Apr Return: 2.71%
YTD Return: 4.45%
Annual CROR: 2.48

Worst Drawdown: -26.05%
Losing Streak: -7.21 %
Sharpe Ratio: 0.18
Calmar Ratio: 0.11

Min Investment: $2,000,000
Currency: US Dollar
Notional Funding: No
NFA Number: 0401001

Margin: 7%
Mgt Fee: 2.00%
Incentive Fee: 20.00%
Round Turns: 400

Trading Strategy: The Program is a systematic managed futures strategy that trades exchange traded futures in 7 market sectors. The program targets annualized returns of 10-15% with an annualized standard deviation of 15%. The objective is to produce absolute returns that are non-correlated to equity and bond investments thus providing excellent diversification benefits for traditional investment portfolios. The portfolio is diversified across global commodity and financial futures and invests only in liquid exchange traded futures contracts. Initially, no more than 1/7 of the fund's risk will be allocated to any single sector ensuring broad portfolio diversification. The system is non-discretionary and aims to capitalize in both upward and downward trends. The strategy derives superior returns by adapting organically to changes in volatility and risk resulting in a greater efficiency in capturing the trends in each individual market traded. The strategy has a very low margin to equity ratio (average <7%) resulting in an efficient and scalable CTA exposure. Rigorous drawdown and scenario analysis is conducted to ensure robustness of the strategy and to provide clarity to the probable and possible return and risk scenarios. Risk Strategy: Auspice is a risk management focused organization. The trading approach is conservative and couples upside volatility with sophisticated institutional risk management and position sizing and re-sizing. The research process is very extensive and includes Monte Carlo simulation to understand the range of portfolio outcomes and risks (ex Monte Carlo distribution of MAR, Drawdowns, ROI) versus simple backtesting. This portfolio level analysis affords Auspice the ability to understand the risks beyond the individual commodity components. Further, systems are developed by analyzing trading rules independently. This process enables Auspice to avoid the typical curve fitting pitfalls.

Accounting Notes: Returns are net of all fees, expenses, and interest. Please contact Auspice if you require the returns in any other configuration. For the Period between April 2006 to May 2007, the program started by trading a total of 11 markets. Markets were added as trades developed toward full diversification by the end of May 07. The current system and portfolio has been in place from June 07. Returns and simulations prior to 2007 are available by request.

Trading Methodology
100% Systematic
Trading Style
100% Trend Following

Style Sub-Categories
Trend Following
Momentum

Holding Period
100% Medium Term
Sector: Global
Contracts: Futures

Market Allocation
14% Stock Indices
14% Currencies
14% Financials
14% Metals
14% Energies
14% Agriculturals
14% Softs
2% Other Markets

Recent Performance - Start Date of Program March 2006

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-1.18%	2.95%	-0.04%	2.71%									4.45%	-1.18%
2023	2.15%	-3.64%	0.34%	2.92%	0.87%	-2.21%	-0.36%	-0.80%	3.37%	-3.36%	-3.35%	-0.49%	-4.79%	-7.14%
2022	2.20%	4.32%	7.95%	3.54%	-1.84%	0.55%	-2.90%	-0.17%	2.43%	-0.51%	-4.30%	0.00%	11.19%	-6.7%
2021	2.67%	9.55%	-0.89%	4.61%	0.61%	-1.50%	-1.77%	0.98%	0.49%	1.32%	-4.28%	-1.89%	9.62%	-6.57%
2020	-2.06%	-0.19%	9.72%	-3.16%	-0.47%	0.28%	3.36%	2.08%	-2.15%	0.99%	2.69%	6.73%	18.46%	-3.62%
2019	-4.15%	-0.47%	-0.65%	3.50%	-7.43%	-0.37%	0.52%	10.60%	-7.59%	-1.33%	1.42%	0.25%	-6.75%	-9.53%
2018	3.12%	-5.81%	-2.27%	-0.19%	1.41%	-1.48%	1.89%	3.57%	-0.84%	-4.75%	3.66%	1.64%	-0.6%	-8.51%
2017	-3.66%	-1.89%	-1.35%	-1.39%	-0.53%	-0.51%	-1.61%	2.76%	-2.53%	5.16%	-0.27%	0.67%	-5.33%	-10.47%
2016	-0.23%	3.12%	-4.93%	3.59%	-1.64%	0.56%	2.44%	-1.55%	-1.06%	-1.34%	2.68%	-0.13%	1.17%	-4.93%
2015	4.68%	-1.93%	0.47%	-0.98%	-2.03%	-1.84%	-4.36%	-2.14%	0.26%	-2.75%	2.56%	0.66%	-7.47%	-14.38%
2014	-2.02%	1.62%	-1.84%	3.25%	-3.11%	2.65%	-0.43%	3.92%	8.55%	-0.78%	7.05%	4.19%	24.76%	-3.11%
2013	0.40%	-2.23%	0.28%	0.99%	-0.90%	0.66%	-1.54%	-1.33%	-4.07%	2.01%	0.04%	-0.36%	-6.02%	-7.94%
2012	2.41%	-1.11%	-1.19%	0.60%	1.71%	-6.29%	1.17%	-0.70%	-3.64%	-1.80%	-2.38%	0.81%	-10.23%	-13.05%
2011	1.39%	2.97%	-1.16%	4.09%	-1.31%	-1.62%	2.16%	-1.09%	-2.60%	-3.82%	1.07%	-3.44%	-3.66%	-10.31%
2010	-3.26%	0.45%	0.61%	0.95%	0.01%	0.62%	-1.02%	1.07%	1.82%	6.98%	-2.51%	6.68%	12.53%	-3.26%
2009	-0.61%	1.08%	-2.27%	-3.32%	-0.58%	0.15%	-3.23%	0.75%	1.44%	-2.31%	4.84%	-3.83%	-7.93%	-9.11%
2008	5.60%	14.59%	-1.72%	-1.58%	0.71%	2.86%	-5.61%	-1.99%	6.86%	10.80%	5.77%	2.73%	44.3%	-7.49%
2007	-1.43%	-1.76%	-2.42%	-0.79%	0.71%	-1.32%	-3.16%	-3.07%	5.87%	4.53%	-2.13%	2.29%	-3.12%	-12.55%
2006			0.00%	-1.07%	0.75%	-2.93%	-4.12%	2.73%	0.73%	-2.35%	-0.24%	-3.68%	-9.93%	-9.93%

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

Chart

Track Record Prepared By: SGGG Fund Services (Toronto)

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 $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

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.