CTA Profiles Sweet Futures

Start Date: Mar-2015
Nov Return: 0.41%
YTD Return: 5.80%
Annual CROR: 8.36

Worst Drawdown: -17.96%
Losing Streak: -0.75 %
Sharpe Ratio: 1.11
Calmar Ratio: 5.60

Min Investment: $125,000
Currency: US Dollar
Notional Funding: No
NFA Number: 0419130

Margin: 0.35
Mgt Fee: 2.00%
Incentive Fee: 20.00%
Round Turns: 10,000

Trading Strategy: Risk Sigma is a short term mean reversion trading program focused on S&P 500 Futures and Options. It has average 5~10 days holding period. Shorter trading time frame and higher turnover seeks to reduce program volatility exposure and draw downs. Our strategy is generated by rigorous mathematical and quantitative models without having doctrinaire perspective favoring any prescribed textbook investing or trading methodology. Following the ebb and flow of market actions, we not only look at absolute returns but also focus on risk adjusted returns. Risk Sigma is available through managed accounts and offers daily transparency. We trade liquid product and can offer weekly liquidity. The program's goal is to maintain a Sharpe Ratio of high 2. The design of Risk Sigma is not keyed or correlated with other major indices such as S&P500, and thus offers great diversification value to investors. Risk Strategy: Our risk management system has been designed to produce consistent returns with controlled volatility instead of occasionally outsized returns as experienced in most trend following systems. A combination of risk management and portfolio cash allocations is tailored to be consistent with the individual investor's resources and risk tolerance.
Trading SP500 index futures and options sees large daily market volumes. This index is chosen as the trading vehicle because of our philosophy of putting liquidity as first priority. Losing money is bad for an investment manager; losing money and leaving investors with illiquid positions is simply unacceptable.

Trading Methodology
85% Systematic
15% Discretionary
Trading Style
95% Option Trading
5% Pattern Recognition, Hedging & Technical

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

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

Market Allocation
9999% Stock Indices

Recent Performance - Start Date of Program March 2015

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	0.73%	0.78%	1.30%	-0.03%	0.98%	0.93%	1.04%	0.69%	-1.76%	0.61%	0.41%		5.8%	-1.76%
2023	0.48%	0.70%	0.76%	0.63%	1.20%	0.87%	1.15%	1.02%	1.16%	1.27%	0.95%	1.13%	11.95%	0%
2022	0.90%	0.44%	0.91%	0.96%	1.19%	0.93%	0.61%	0.89%	-0.06%	1.09%	0.74%	0.44%	9.4%	-0.06%
2021	-0.14%	0.32%	0.68%	0.22%	1.11%	1.09%	-0.52%	1.45%	1.37%	0.87%	0.89%	2.32%	10.07%	-0.52%
2020	0.60%	-0.93%	3.41%	0.97%	0.93%	0.45%	0.60%	0.67%	0.91%	-0.19%	0.39%	0.87%	8.98%	-0.93%
2019	-0.90%	0.09%	1.45%	1.16%	-2.67%	0.24%	0.56%	-0.29%	1.27%	-0.10%	0.23%	0.36%	1.34%	-2.67%
2018	0.60%	-17.96%	0.85%	0.73%	0.08%	0.62%	1.32%	0.48%	1.08%	1.34%	0.30%	-0.25%	-11.9%	-17.96%
2017	1.30%	1.81%	1.88%	1.67%	1.09%	0.63%	1.48%	1.25%	1.16%	1.66%	1.66%	1.16%	18.09%	0%
2016	1.84%	1.09%	1.01%	0.87%	1.41%	1.44%	1.00%	1.64%	1.68%	0.94%	0.95%	0.67%	15.54%	0%
2015			0.51%	1.10%	1.32%	2.71%	1.90%	1.91%	1.61%	0.91%	1.25%	1.36%	15.56%	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: Self-Prepared

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.