| |
Jan |
Feb |
Mar |
Apr |
May |
Jun |
Jul |
Aug |
Sep |
Oct |
Nov |
Dec | ROR* |
Max DD |
| 0.32% |
-0.12% |
-0.54% |
2.09% |
-0.65% |
-0.30% |
-0.32% |
-0.04% |
0.00% |
0.00% |
-0.15% |
|
0.29% |
-1.45% |
| -1.43% |
-0.46% |
-0.92% |
-0.24% |
-0.84% |
0.10% |
-0.16% |
-0.26% |
-0.85% |
0.01% |
-0.08% |
-0.38% |
-5.51% |
-5.38% |
| 3.94% |
7.45% |
-5.49% |
-0.54% |
-3.13% |
-4.73% |
1.08% |
-0.14% |
-0.88% |
0.57% |
-1.45% |
-0.89% |
-4.21% |
-14.74% |
| 5.30% |
-8.35% |
1.53% |
1.62% |
-0.92% |
0.99% |
-2.47% |
-2.70% |
-1.23% |
-1.32% |
0.53% |
0.23% |
-6.79% |
-12.49% |
| -0.20% |
0.41% |
10.57% |
7.20% |
1.38% |
3.44% |
-1.43% |
-0.42% |
-0.91% |
3.02% |
-0.06% |
4.42% |
27.42% |
-2.74% |
| -2.04% |
-2.44% |
6.58% |
-2.12% |
-2.35% |
-3.42% |
-3.72% |
-1.77% |
1.15% |
-1.16% |
0.83% |
-1.00% |
-11.46% |
-12.89% |
| 2.61% |
0.67% |
-0.99% |
0.22% |
0.95% |
1.91% |
2.54% |
0.87% |
-0.61% |
0.78% |
-1.09% |
-1.82% |
6.04% |
-2.9% |
| 0.03% |
4.52% |
0.75% |
-0.68% |
2.33% |
3.75% |
2.51% |
1.25% |
3.10% |
-3.81% |
-0.59% |
-0.66% |
12.5% |
-5.01% |
| -0.12% |
-0.78% |
-1.09% |
-1.42% |
-0.32% |
-0.21% |
4.20% |
-0.13% |
4.43% |
-1.44% |
-2.10% |
-0.99% |
0.03% |
-4.47% |
| 5.20% |
-0.88% |
0.46% |
-1.94% |
-0.02% |
-0.64% |
-0.62% |
-2.49% |
-1.66% |
0.10% |
-0.06% |
0.82% |
-1.73% |
-7.56% |
| 1.69% |
7.12% |
2.56% |
0.37% |
2.27% |
2.40% |
5.39% |
1.01% |
1.23% |
-1.41% |
0.77% |
-2.78% |
20.62% |
-3.42% |
| 1.21% |
0.59% |
-2.68% |
1.70% |
-0.16% |
4.73% |
3.32% |
-0.39% |
1.19% |
-0.52% |
0.45% |
-1.37% |
8.07% |
-2.68% |
| 1.40% |
-1.58% |
-4.23% |
-3.78% |
-0.39% |
2.48% |
15.51% |
-2.56% |
-3.27% |
1.65% |
-2.43% |
-2.46% |
0.34% |
-9.66% |
| -0.10% |
9.07% |
5.81% |
2.75% |
-5.01% |
-3.81% |
1.67% |
-0.23% |
-5.58% |
2.42% |
-0.87% |
0.35% |
6.47% |
-12.49% |
| |
4.16% |
11.32% |
-6.87% |
-3.32% |
4.49% |
7.65% |
6.21% |
35.92% |
-20.92% |
4.44% |
43.08% |
-20.92% |
*The Annual ROR performance has been calculated by adding each monthly return. Please See Accounting Notes Below.
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.
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Chart
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Track Record Prepared By:
Kelly Hollingsworth
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.
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