CTA Profiles Sweet Futures

Start Date: Oct-2009
Sep Return: 1.54%
YTD Return: -3.02%
Annual CROR: 8.23

Worst Drawdown: -12.96%
Losing Streak: -8.46 %
Sharpe Ratio: 0.74
Calmar Ratio: N/A

Min Investment: $100,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0323917

Margin: 10-35%
Mgt Fee: 2.00%
Incentive Fee: 20.00%
Round Turns: 650

Trading Strategy: The trend following portion of the program may utilize short-term, medium-term or long-term positions. The program may trade both the long and short sides of the market. In its evaluation of the markets, DCM employs systematic technical trend-following strategy utilizing various levels of money management techniques. The principal objective is to profit from sustained futures price trends. The enhancement from the option trading for this program is based primarily on writing out-of-the-money call and put options with the expectation that the options will either be bought back at a lower price or expire. In an effort to control risk, based on a proprietary risk control system developed by Mr. Hu, the trader will roll out of positions either vertically (to a further month) or diagonally (further out-of-the-money), as determined by current market conditions. Risk Strategy: N/A

Accounting Notes: Due to the MF Global bankruptcy certain accounts were not under the control of the CTA and were excluded from the performance calculation. There were 4 accounts excluded, totaling $429,389, or 39% of assets under management for the ESP in November 2011. The performance range for accounts excluded in November 2011 was -1.75% to -2.39%. Two of these accounts then closed as a result of the MFG bankruptcy. The initial account utilizing the Enhanced S&P Program began trading in July 2009 and is a limited partnership which includes family members and friends of the family that became interested in the trading program through their relationship with Mr. Hu. Performance for this account is considered proprietary under CFTC guidelines. The accounts included in this table were charged actual fees ranging from 0% to 2% Management fees and 20% to 30% Incentive fees.

Trading Methodology
90% Systematic
10% Discretionary
Trading Style
55% Trend Following
10% Contrarian
35% Option Trading

Style Sub-Categories
Option Writer
Option Spread
Mean Reversion
Technical Trend Following

Holding Period
10% Long Term
40% Medium Term
50% Short Term
Sector: US
Contracts: Futures Options

Market Allocation
100% Stock Indices

Performance - Please see Accounting Notes

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-0.52%	2.42%	1.42%	-4.68%	4.08%	2.39%	0.63%	-9.58%	1.54%				-3.02%	-9.58%
2023	-0.64%	-1.66%	-0.53%	1.11%	0.10%	1.94%	1.51%	-1.32%	-2.27%	0.28%	2.60%	2.37%	3.41%	-3.55%
2022	-7.08%	-0.29%	-1.22%	-1.18%	3.13%	-4.63%	4.90%	-1.28%	1.70%	-0.64%	-1.30%	-0.66%	-8.73%	-11.05%
2021	-0.40%	1.79%	0.57%	2.81%	0.58%	1.37%	1.00%	1.60%	-2.77%	4.14%	0.09%	2.38%	13.8%	-2.77%
2020	0.82%	-5.09%	-3.21%	-0.69%	1.24%	-0.17%	4.18%	3.79%	-3.51%	2.19%	1.48%	2.76%	3.36%	-8.77%
2019	3.99%	3.74%	1.43%	3.08%	-6.77%	6.85%	1.53%	-6.99%	0.21%	-1.74%	0.52%	3.16%	8.33%	-8.42%
2018	4.52%	-5.28%	0.80%	1.45%	1.65%	1.21%	2.39%	3.04%	0.61%	-5.41%	0.44%	-8.06%	-3.44%	-12.65%
2017	1.38%	2.48%	0.44%	0.55%	-0.08%	0.61%	1.82%	0.58%	1.63%	1.82%	2.44%	1.11%	15.78%	-0.08%
2016	-10.44%	-0.06%	3.70%	0.57%	2.28%	1.79%	2.77%	0.32%	0.82%	-0.87%	0.18%	0.68%	1.02%	-10.49%
2015	-2.12%	6.09%	-0.71%	1.97%	0.30%	-0.64%	1.76%	-5.33%	1.12%	3.12%	1.10%	1.11%	7.59%	-5.33%
2014	-3.71%	4.89%	1.91%	1.78%	2.57%	1.87%	-1.43%	5.30%	0.42%	-1.65%	2.17%	-0.81%	13.73%	-3.71%
2013	4.03%	0.59%	1.94%	2.37%	1.47%	-0.76%	4.93%	-1.43%	4.43%	2.99%	1.09%	2.22%	26.42%	-1.43%
2012	2.80%	4.43%	3.89%	0.98%	-0.61%	3.90%	0.38%	1.16%	1.91%	1.79%	1.46%	-0.14%	24.14%	-0.61%
2011	1.43%	2.79%	2.76%	2.41%	0.05%	-2.53%	-2.34%	-3.91%	2.82%	5.71%	-0.40%	-0.31%	8.39%	-8.53%
2010	0.31%	-0.03%	7.40%	0.38%	-7.37%	-3.72%	5.77%	-0.04%	1.44%	3.37%	1.12%	3.80%	12.2%	-10.81%
2009										2.32%	2.24%	1.77%	6.46%	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

Track Record Prepared By: In-House

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.