CTA Profiles Sweet Futures

Start Date: Sep-2013
Apr Return: 2.19%
YTD Return: 17.23%
Annual CROR: 11.44

Worst Drawdown: -30.09%
Losing Streak: 0.00 %
Sharpe Ratio: 0.68
Calmar Ratio: 0.96

Min Investment: $500,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0460046

Margin: 10%
Mgt Fee: 2% (Monthly)
Incentive Fee: 20% (monthly)
Round Turns: 2,230

Trading Strategy: Commodity futures regularly exhibit various degrees of disequilibrium as producers, consumers, and speculators attempt to maximize their gains and limit their risks. Tangible / raw / physical commodities are particularly prone to supply & demand shocks as the post Covid-19 era has demonstrated. From time to time these significant flows of capital produce sustained price trends, either up or down. Our Commodity Long-Short strategy is designed to identify these trends and to signal an opportune time to deploy risk capital in an attempt to exploit them for profit. All positions are taken in the direction of the longer-term trend, whether going long or short. The average holding period of a trade is 9 days and historically the strategy has exhibited very low or even negative correlation to stocks, bonds, hedge funds, CTAs, and long-only commodity indexes.

Accounting Notes: From Sep 2013 - Apr 2014 the returns for this composite are presented pro forma net of 2/20 fees. Effective December 2014, the daily compounded method of calculating ROR was used for all accounts in the composite. Before December 2014, accounts that were opened or closed during the month or experienced material additions, withdrawals, or changes in nominal account size during the month were not included in the composite.

Trading Methodology
100% Systematic
Trading Style
100% Trend Following

Style Sub-Categories

Holding Period
100% Short Term
Sector: US
Contracts: Futures

Market Allocation
20% Metals
20% Energies
30% Agriculturals
10% Meats
20% Softs

From Sep 2013 - Apr 2014 the returns for this composite are presented pro forma net of 2/20 fees.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	6.23%	5.96%	1.92%	2.19%									17.23%	0%
2023	-3.13%	2.62%	4.67%	8.63%	3.80%	-0.65%	-1.76%	-1.84%	-0.86%	2.14%	-2.45%	-2.49%	8.27%	-7.72%
2022	9.08%	1.23%	7.44%	5.57%	-2.22%	-2.80%	1.81%	1.28%	-7.51%	1.24%	-6.11%	0.75%	8.73%	-13.84%
2021	2.10%	11.67%	-1.92%	13.18%	2.22%	-3.25%	-0.30%	4.43%	7.09%	3.76%	-2.14%	-0.83%	40.53%	-3.54%
2020	2.23%	8.18%	13.16%	-2.97%	-0.99%	-1.59%	-1.65%	-4.58%	-0.25%	-0.16%	-1.76%	3.49%	12.42%	-13.2%
2019	-8.76%	4.29%	-3.07%	1.40%	8.12%	-2.44%	-1.15%	4.38%	-6.29%	-3.17%	-0.88%	5.24%	-3.66%	-10.06%
2018	1.13%	-2.08%	3.18%	-2.05%	-8.39%	4.25%	1.45%	4.65%	4.28%	-4.30%	-2.71%	-2.30%	-3.74%	-10.27%
2017	-0.61%	-5.78%	-1.84%	-1.23%	-1.56%	4.65%	-7.67%	7.32%	-6.14%	1.31%	-7.88%	5.62%	-14.25%	-18.81%
2016	-3.01%	-0.46%	-6.72%	-3.67%	-1.83%	5.87%	3.38%	-0.09%	0.64%	0.99%	0.68%	-1.45%	-6.07%	-14.84%
2015	2.97%	-2.09%	2.76%	-5.03%	2.63%	3.79%	8.20%	4.29%	0.63%	-2.50%	14.50%	-1.17%	31.3%	-5.03%
2014	0.94%	5.27%	8.14%	-6.08%	0.44%	1.92%	5.37%	-3.06%	17.07%	-1.66%	4.79%	4.12%	41.74%	-6.08%
2013									0.18%	0.42%	3.33%	0.77%	4.76%	0%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

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.