CTA Profiles Sweet Futures

Start Date: Mar-2015
Mar Return: 1.30%
YTD Return: 2.98%
Annual CROR: 11.19

Worst Drawdown: -13.77%
Losing Streak: 0.00 %
Sharpe Ratio: 1.39
Calmar Ratio: N/A

Min Investment: $200,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0487899

Margin: 25-60%
Mgt Fee: 2.00%
Incentive Fee: 20.00%
Round Turns: 8,000

Trading Strategy: Weekly E-Mini Program is a systematic VIX-hedged option program guided by a proprietary trading model developed to trade the E-mini weekly volatility and designed to anticipate when the market is in or about to enter a turbulent time. WEP uses a proprietary options strategy, which includes options selling and options writing, to capitalize on the systematic entry signals produced by the program. The VIX futures hedging is designed to anticipate when the market is in or about to enter a turbulent time. WEP has been refined to achieve the desired returns while limiting account drawdowns. Products traded in WEP are E- mini S&P 500 futures and options and VIX futures. The program does not short VIX futures. WEP focuses on short duration derivatives - the option expires within 2-8 days, because the time decay is the greatest in those final days. It does this primarily by identifying the option strikes with best risk/reward ratio.

Trading Methodology
80% Systematic
20% Discretionary
Trading Style
30% Spread Trading
70% Option Trading

Style Sub-Categories
Option Writer
Option Spread
Other Option Strategy
Volatility
Quantitative
Mean Reversion

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

Market Allocation
100% Stock Indices

August 2021 results are estimated.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	0.70%	0.94%	1.30%										2.98%	0%
2023	1.07%	0.51%	1.02%	0.76%	0.98%	0.61%	1.29%	1.17%	0.98%	1.43%	1.03%	0.96%	12.49%	0%
2022	-0.07%	-4.65%	1.49%	0.54%	1.72%	-2.03%	1.35%	1.50%	0.30%	1.38%	0.96%	0.03%	2.34%	-4.72%
2021	0.84%	1.23%	1.44%	0.68%	0.82%	1.43%	0.61%	1.35%	0.74%	1.30%	0.72%	1.64%	13.58%	0%
2020	0.78%	-10.61%	-3.53%	0.95%	0.84%	1.12%	1.62%	1.30%	1.11%	-0.62%	1.38%	1.42%	-4.85%	-13.77%
2019	1.89%	1.75%	1.53%	1.15%	-2.62%	2.16%	1.22%	1.27%	1.14%	1.13%	1.29%	1.13%	13.73%	-2.62%
2018	2.09%	-4.75%	0.96%	2.48%	2.10%	1.67%	2.41%	1.75%	1.65%	-4.95%	1.56%	-1.38%	5.29%	-4.95%
2017	2.04%	1.92%	2.17%	1.73%	2.10%	1.68%	1.54%	2.12%	1.44%	1.63%	1.43%	1.50%	23.51%	0%
2016	-6.28%	4.37%	2.31%	1.75%	2.20%	1.70%	1.85%	1.72%	1.77%	1.96%	2.35%	1.78%	18.5%	-6.28%
2015			2.51%	1.76%	2.68%	1.81%	2.67%	-6.09%	2.96%	2.64%	3.42%	1.54%	16.7%	-6.09%

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: Buckingham Global Advisors, LLC

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.