CTA Profiles Sweet Futures

Start Date: Jul-2000
Mar Return: 4.01%
YTD Return: 11.18%
Annual CROR: 6.20

Worst Drawdown: -20.76%
Losing Streak: -1.44 %
Sharpe Ratio: 0.42
Calmar Ratio: N/A

Min Investment: €500,000
Currency: Euros
Notional Funding: Yes
NFA Number: 0283356

Margin: 11%
Mgt Fee: 1.50%
Incentive Fee: 20.00%
Round Turns: 1,250

Trading Strategy: The Fund adopts a systematic approach to investing in global futures markets. Multiple trend detection techniques are employed over multiple time horizons to a diverse basket of futures markets. Risk is equalized across all contracts through the use of real time volatility measures. A dynamic risk management tool also analyzes risk factors such as rising correlations and reversal risk at the portfolio level. The average holding period of the Fund is approximately three weeks. The Fund provides for daily liquidity and is subject to several risks including, but not limited to capital loss. Risk Strategy:

Accounting Notes: Prior to July 2011, the performance presented here is the performance of the FCIMT Cyril Systematic Fund adjusted to reflect the current risk structure and fee structure of 1.5% management fee and 20% performance fee. For the period from August 2011 until December 2017, the above table reflects actual performance adjusted with a fee structure of 1.5% management fee and 20% performance fee

Trading Methodology
100% Systematic
Trading Style
100% Trend Following

Style Sub-Categories
Pattern Recognition

Holding Period
Sector: Global
Contracts: Futures

Market Allocation
20% Stock Indices
20% Currencies
25% Financials
10% Metals
15% Energies
5% Agriculturals
5% Softs

Prior to July 2011 the results have been pro-forma adjusted to reflect a 1.5% Management Fee and a 20% Incentive Fee

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	0.71%	6.14%	4.01%										11.18%	0%
2023	-2.36%	2.06%	-6.89%	2.92%	-0.62%	8.55%	-2.26%	-2.27%	1.34%	1.12%	-1.37%	-2.02%	-2.56%	-7.21%
2022	-3.73%	-1.47%	15.15%	4.47%	-2.27%	5.88%	-3.63%	1.85%	6.64%	-1.59%	-4.81%	-2.88%	12.44%	-9.02%
2021	-6.27%	2.55%	0.10%	-1.69%	0.86%	-1.34%	5.95%	-0.59%	-4.27%	4.06%	-3.29%	-1.57%	-5.99%	-6.27%
2020	2.91%	2.42%	3.51%	0.74%	-1.69%	-0.17%	4.03%	-0.99%	-5.90%	-2.98%	-4.08%	4.69%	1.86%	-13.3%
2019	-3.29%	-2.88%	6.71%	0.58%	8.72%	1.07%	5.09%	2.47%	-0.44%	-2.69%	0.83%	-0.96%	15.41%	-6.08%
2018	8.56%	-5.01%	-4.61%	-2.78%	-0.85%	-1.47%	-0.03%	3.77%	-2.39%	2.06%	-4.79%	0.42%	-7.68%	-15.32%
2017	-3.11%	6.54%	-0.80%	2.92%	3.05%	-0.69%	3.74%	0.28%	-1.40%	4.34%	0.87%	0.59%	17.12%	-3.11%
2016	11.23%	5.51%	-3.68%	-0.38%	-3.29%	8.03%	1.74%	-3.71%	-5.29%	-4.73%	5.98%	3.90%	14.51%	-13.12%
2015	6.16%	1.52%	-0.17%	-3.19%	0.12%	-7.02%	-1.33%	-1.59%	2.08%	-5.05%	1.52%	-3.67%	-10.76%	-17.19%
2014	-3.14%	4.37%	-3.52%	-0.93%	3.05%	2.88%	-0.14%	6.17%	3.48%	0.98%	8.40%	2.42%	26%	-4.42%
2013	-0.82%	-0.88%	1.12%	4.47%	-1.84%	-3.13%	-2.90%	-2.28%	-1.16%	2.05%	4.44%	1.33%	0.02%	-10.82%
2012	-0.76%	1.37%	-3.35%	0.80%	4.90%	-5.49%	6.54%	-1.47%	-2.97%	-5.05%	-0.51%	1.55%	-5.04%	-9.69%
2011	-3.00%	1.18%	-3.96%	2.66%	-4.23%	-2.89%	4.81%	2.88%	2.67%	-7.54%	-1.85%	0.36%	-9.27%	-10.01%
2010	-2.21%	-0.80%	0.45%	-0.57%	0.98%	1.16%	-1.33%	5.13%	0.96%	2.37%	-3.99%	5.25%	7.22%	-3.99%
2009	-1.09%	-0.24%	-4.96%	-4.87%	6.93%	-0.59%	0.56%	-0.13%	0.65%	-3.40%	3.63%	-3.48%	-7.38%	-10.79%
2008	4.79%	6.95%	0.55%	-0.07%	2.62%	-1.05%	-4.11%	6.71%	-0.04%	6.48%	1.10%	1.66%	28%	-5.12%
2007	0.92%	-2.14%	-1.15%	0.49%	-2.45%	5.24%	0.66%	-0.23%	7.01%	2.47%	4.02%	0.53%	15.98%	-5.17%
2006	5.28%	-3.33%	-1.49%	16.24%	1.62%	-8.02%	-2.60%	0.66%	0.42%	-0.26%	1.75%	-5.44%	2.92%	-13.1%
2005	-9.69%	6.93%	-4.85%	-1.42%	2.91%	3.13%	-0.77%	5.98%	-1.16%	1.99%	5.46%	0.13%	7.62%	-9.69%
2004	2.12%	6.42%	0.80%	2.50%	1.44%	-5.89%	2.26%	2.10%	-3.56%	0.43%	3.89%	-2.84%	9.41%	-5.89%
2003	3.01%	2.72%	-4.52%	-5.12%	9.63%	-1.94%	5.11%	-2.67%	8.29%	2.45%	-6.88%	4.29%	13.58%	-9.41%
2002	-2.04%	-8.94%	5.90%	-1.76%	-1.74%	11.77%	4.10%	-0.40%	3.58%	-6.03%	-1.72%	9.10%	10.29%	-10.8%
2001	2.75%	-0.15%	6.25%	-3.03%	2.28%	-2.63%	-2.77%	4.01%	2.08%	4.63%	-4.03%	-0.42%	8.67%	-6.1%
2000							-4.39%	1.13%	-3.31%	-2.82%	4.43%	11.93%	6.2%	-9.15%

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 $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.