CTA Profiles Sweet Futures

Start Date: Jan-2001
May Return: -4.75%
YTD Return: -6.27%
Annual CROR: 4.06

Worst Drawdown: -32.79%
Losing Streak: -27.25 %
Sharpe Ratio: 0.24
Calmar Ratio: N/A

Min Investment: $200,000
Currency: US Dollars
Notional Funding: Yes
NFA Number: 0412752

Margin: 11%
Mgt Fee: 1.80%
Incentive Fee: 20.00%
Round Turns: 685

Trading Strategy: The general trading strategy of the SWMI program is trend following. No fundamental analysis is used. The strategy is not based on analysis of supply and demand factors, general economic factors or world events. The SWMI model generates its own entry and exit signals and trades both sides of the market (long and short). The SWMI model is very long term in time-frame focus. Approximately 27 domestic and international commodity interests may be traded. All markets are traded with equal parameters. Risk Strategy: At Southwest Managed Investments risk management is giving high priority. If at all possible within existing market conditions, Southwest Managed Investment's trading system performs under the constraints of its risk management system. In the Global Diversified Program the risk management system helps eliminate the amount of risk in each market, group of related markets, and for the overall portfolio.
Risk is calculated daily for each model on all open positions. Each open position has an adverse reaction price point at which Southwest Managed Investments exits the position immediately. Within the model, various other techniques and filters are used to control risk in related markets and in the portfolio as a whole. Southwest Managed Investments employs an additional overriding filter to prevent initiating a position when the level of risk in the initiated position is at an abnormally high level.

Trading Methodology
99% Systematic
1% Discretionary
Trading Style
100% Trend Following

Style Sub-Categories
Pattern Recognition
Volatility

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

Market Allocation
22% Currencies
22% Financials
15% Metals
11% Energies
11% Agriculturals
4% Meats
15% Softs

Recent Performance - Start Date of Program January 2002

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-2.92%	-1.29%	-0.56%	3.27%	-4.75%								-6.27%	-6.27%
2023	-0.66%	-4.11%	-2.19%	-2.95%	-1.03%	-0.10%	-3.07%	-1.18%	4.83%	-3.50%	-4.53%	0.71%	-16.71%	-17.3%
2022	-1.04%	-5.64%	7.13%	10.85%	-6.56%	1.96%	-1.73%	1.85%	6.07%	-1.68%	-5.40%	0.19%	4.52%	-6.99%
2021	0.10%	10.18%	-1.31%	-1.78%	-3.15%	-2.08%	1.74%	0.50%	1.65%	1.74%	-0.90%	-2.08%	4.04%	-8.07%
2020	-6.29%	0.65%	-4.10%	-1.44%	3.15%	-0.77%	24.79%	9.65%	-8.39%	-5.81%	2.91%	5.36%	16.82%	-13.71%
2019	-1.99%	-3.57%	-3.12%	1.13%	3.64%	-1.29%	-1.12%	15.16%	-9.80%	-6.06%	0.64%	-1.52%	-9.41%	-16.02%
2018	6.98%	-8.22%	-3.90%	4.87%	-1.49%	0.07%	0.75%	7.47%	5.99%	-3.53%	4.94%	1.42%	14.94%	-11.8%
2017	-11.17%	-1.34%	-1.04%	-1.26%	-1.71%	-3.96%	5.93%	1.44%	-3.38%	3.88%	-4.11%	5.52%	-11.78%	-19.16%
2016	2.63%	8.11%	-3.09%	1.77%	-7.22%	1.55%	1.76%	-2.62%	-4.19%	8.31%	6.17%	-5.33%	6.56%	-11.78%
2015	8.08%	0.91%	1.51%	-5.32%	-1.35%	-1.94%	5.99%	-5.62%	2.97%	-4.65%	3.88%	-3.18%	0.16%	-10.05%
2014	-3.67%	11.38%	-4.00%	-2.59%	-1.71%	4.83%	1.45%	0.32%	20.12%	-1.80%	11.81%	4.45%	44.94%	-8.09%
2013	-0.77%	-2.92%	0.24%	-3.50%	-1.58%	3.81%	-2.99%	-2.51%	-5.21%	-2.04%	1.57%	-1.67%	-16.5%	-16.5%
2012	-10.87%	5.86%	1.60%	-4.17%	44.73%	-6.27%	2.35%	-4.97%	-6.69%	-6.03%	1.80%	2.68%	11.09%	-20.06%
2011	-4.43%	-0.51%	-4.99%	1.66%	-1.79%	-3.38%	2.56%	6.97%	7.37%	-10.73%	-0.13%	-3.42%	-11.61%	-13.9%
2010	-3.37%	0.65%	-0.51%	-0.66%	4.78%	3.32%	0.12%	-1.86%	14.82%	5.29%	-4.65%	5.76%	24.65%	-4.65%
2009	-5.54%	-4.33%	-1.96%	-0.13%	10.31%	-2.27%	1.22%	0.62%	-1.90%	-5.31%	5.58%	-7.26%	-11.63%	-11.63%
2008	1.99%	14.30%	1.74%	-4.77%	-3.54%	-4.49%	-7.09%	16.40%	9.74%	21.89%	1.52%	1.59%	55.26%	-18.49%
2007	-1.75%	-1.26%	3.97%	3.87%	0.97%	-2.02%	-2.08%	-5.51%	4.86%	4.92%	0.42%	2.48%	8.58%	-9.34%
2006	1.62%	2.55%	-0.22%	15.73%	0.78%	-6.14%	-4.32%	1.57%	3.55%	-0.10%	7.14%	-6.35%	14.82%	-10.19%
2005	-3.88%	0.43%	-1.07%	-4.76%	3.86%	1.54%	0.27%	-1.97%	-0.32%	-1.35%	1.55%	-6.00%	-11.51%	-11.51%
2004	0.76%	0.59%	3.67%	-8.10%	-0.53%	-4.65%	1.08%	-4.84%	-0.09%	4.48%	7.01%	-0.09%	-1.69%	-16.24%
2003	2.54%	1.35%	-11.65%	0.51%	2.12%	-6.37%	0.23%	-0.99%	3.11%	5.49%	-4.23%	18.80%	8.37%	-15.74%
2002	0.87%	-1.66%	-0.08%	-5.19%	0.00%	11.66%	-3.51%	2.73%	1.58%	-3.83%	-4.68%	8.55%	5.13%	-8.33%

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.