CTA Profiles Sweet Futures

Start Date: Nov-2008
Nov Return: 2.11%
YTD Return: 12.25%
Annual CROR: 9.38

Worst Drawdown: -18.73%
Losing Streak: 0.00 %
Sharpe Ratio: 0.83
Calmar Ratio: 2.11

Min Investment: $20,000
Currency: US Dollar
Notional Funding: No
NFA Number: 0378844

Margin: 60%
Mgt Fee: 2.00%
Incentive Fee: 20.00%
Round Turns: 6,000

Trading Strategy: The Stock Index Option Writing Strategy writes call and put options on index futures (primarily on the S&P index but occasionally also on other indices). The strategy is designed to capture the decay of option premiums. The program sells deep out of the money options after unusual Stock Market movements. Option contracts are written at a sufficient distance, to allow in most cases, for the options to expire worthless. Primarily uncovered or naked options are sold (although spreads are utilized at times). The advisor may also take outright positions in the underlying future contract. The trading strategy is mostly discretionary. Both fundamental and technical analysis is incorporated into the trading decision. Risk Strategy: A principal risk in the Advisor's trading system is caused by volatility (or rapid fluctuation) in the market prices of commodities. The volatility of commodity trading may cause your account to lose all or a substantial amount of its assets in a short period of time. Prices of commodity interests are affected by a wide variety of complex and hard to predict factors, such as political and economic events, weather and climate conditions and the prevailing psychological characteristics of the marketplace.

Trading Methodology
100% Discretionary
Trading Style
100% Option Trading

Style Sub-Categories
Option Writer

Holding Period
5% Medium Term
95% Short Term
Sector: US
Contracts: Options

Market Allocation
100% Stock Indices
100% Other Markets
Other Mkts: Opt
ES Only

Recent Performance - Start Date of Program November 2008

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	0.62%	0.35%	1.39%	0.26%	1.24%	0.91%	0.98%	1.16%	1.21%	1.40%	2.11%		12.25%	0%
2023	1.44%	0.91%	0.07%	1.44%	0.70%	0.97%	1.14%	1.14%	0.75%	1.43%	1.30%	0.90%	12.89%	0%
2022	-3.41%	-0.52%	2.98%	-2.12%	2.81%	-4.66%	2.03%	1.50%	0.82%	2.86%	1.69%	0.80%	4.51%	-5.07%
2021	0.44%	3.35%	4.21%	1.64%	2.34%	2.03%	1.39%	1.65%	1.46%	1.62%	0.90%	2.37%	26.01%	0%
2020	0.12%	-17.68%	-0.10%	1.98%	3.57%	-3.23%	1.89%	0.60%	-3.85%	0.58%	1.92%	3.03%	-12.4%	-17.76%
2019	4.37%	1.52%	1.40%	1.44%	-1.53%	2.05%	1.52%	-3.29%	2.42%	0.53%	2.78%	0.43%	14.27%	-3.29%
2018	-7.03%	-2.82%	-1.52%	0.26%	2.61%	0.85%	3.53%	1.08%	3.05%	-2.90%	-0.22%	-4.88%	-8.26%	-11.03%
2017	2.45%	0.42%	0.64%	2.23%	-0.76%	2.38%	2.57%	0.68%	-0.21%	0.87%	-2.12%	0.78%	10.27%	-2.12%
2016	-9.86%	-3.71%	-0.31%	1.56%	3.13%	3.46%	-1.69%	2.79%	0.79%	1.89%	1.67%	-0.44%	-1.49%	-13.47%
2015	2.30%	4.38%	1.61%	1.74%	1.20%	2.48%	1.87%	-7.37%	2.96%	0.21%	1.68%	-2.82%	10.12%	-7.37%
2014	-1.37%	2.48%	2.04%	-2.91%	4.22%	0.71%	-3.59%	5.09%	1.00%	-2.24%	3.67%	-3.14%	5.57%	-3.59%
2013	0.77%	0.50%	0.56%	-0.41%	1.34%	-1.95%	2.60%	2.62%	0.20%	1.73%	4.70%	2.86%	16.49%	-1.95%
2012	3.79%	3.75%	0.68%	4.05%	1.10%	1.89%	-1.94%	5.81%	-1.27%	2.04%	0.09%	2.25%	24.29%	-1.94%
2011	2.11%	2.37%	0.69%	2.05%	1.96%	-3.06%	0.12%	-16.26%	1.16%	8.02%	4.77%	3.93%	5.89%	-18.73%
2010	1.24%	1.10%	0.85%	0.63%	-6.73%	3.16%	4.16%	2.05%	1.59%	2.14%	2.24%	1.94%	14.91%	-6.73%
2009	2.06%	1.89%	0.46%	1.89%	1.75%	2.01%	1.01%	1.42%	1.74%	1.85%	1.40%	0.88%	19.98%	0%
2008											0.59%	2.80%	3.41%	0%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.
THERE IS UNLIMITED RISK OF LOSS ASSOCIATED WITH WRITING SHORT OPTION CONTRACTS.

Chart

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.