CTA Profiles Sweet Futures

Start Date: May-2017
Apr Return: 1.18%
YTD Return: 2.99%
Annual CROR: 3.75

Worst Drawdown: -15.19%
Losing Streak: 0.00 %
Sharpe Ratio: 0.35
Calmar Ratio: 0.28

Min Investment: $10,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0345919

Margin: 30-50%
Mgt Fee: 2.00%
Incentive Fee: 20.00%
Round Turns: 10,000

Trading Strategy: The Conservative Growth Index Program (CGIP) is a targeted return strategy that has been engineered to focus on achieving a goal of 20% net annual return while keeping risk exposure to a minimum. The program sells weekly put options that are considered tail risk with < 1 delta exposure on the standard pit traded S&P 500 futures option contract. Statistically, < 1 delta translates to the option going into the money less than 1 time in 100 expiration periods. In addition, the strategy goal is to keep margin requirements at 30% or less of account value.

Accounting Notes: May-June 2017 proprietary performance has been pro forma adjusted to account for maximum management and incentive fees.

Trading Methodology
75% Systematic
25% Discretionary
Trading Style
100% Option Trading

Style Sub-Categories
Option Writer
Quantitative

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

Market Allocation
100% Stock Indices

Proprietary Performance from May - June 2017 pro forma adjusted to account for maximum management and incentive fees. Client Performance from July 2017.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	0.24%	0.66%	0.88%	1.18%									2.99%	0%
2023	1.15%	1.32%	-4.03%	1.23%	0.87%	1.84%	1.37%	1.23%	0.12%	0.01%	1.34%	1.01%	7.58%	-4.03%
2022	-5.89%	0.66%	2.23%	-3.64%	2.29%	-4.94%	1.58%	0.28%	-0.75%	3.76%	1.19%	0.44%	-3.26%	-9.26%
2021	-0.84%	2.08%	2.02%	0.29%	1.40%	0.55%	1.15%	1.25%	0.50%	1.27%	-5.22%	2.35%	6.77%	-5.22%
2020	-1.09%	-8.03%	-6.70%	-0.07%	1.18%	1.20%	1.00%	0.74%	1.49%	-2.10%	0.77%	0.97%	-10.67%	-15.19%
2019	1.47%	1.52%	1.38%	1.26%	0.99%	0.98%	0.53%	1.47%	0.86%	1.30%	0.31%	1.30%	14.21%	0%
2018	1.56%	-13.24%	1.74%	1.93%	1.47%	1.56%	1.73%	1.55%	1.14%	-4.83%	1.77%	1.81%	-2.98%	-13.24%
2017					1.67%	2.08%	1.20%	2.51%	2.24%	1.43%	1.06%	1.25%	14.25%	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

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.