CTA Profiles Sweet Futures

Start Date: Jan-2013
Jul Return: -9.37%
YTD Return: 5.18%
Annual CROR: 5.71

Worst Drawdown: -48.30%
Losing Streak: -40.77 %
Sharpe Ratio: 0.30
Calmar Ratio: N/A

Min Investment: $250,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0418078

Margin: 20-75%
Mgt Fee: 2.00%
Incentive Fee: 20.00%
Round Turns: 4,100

Trading Strategy: Crystal Bay Ubitrend strategy is a systematic, quantitative trend-following strategy trading listed futures, aiming to provide high returns uncorrelated with traditional asset classes and thus to complement standard portfolio exposures to equities and fixed income. Risk Strategy: Crystal Bay Ubitrend strategy uses quantitative risk management techniques originally used in equity markets to build the most broadly diversified portfolios. Portfolio construction maximizes diversification of exposures subject to limits on portfolio volatility, value at risk, and tail risk measures. Individual positions are also subject to stop-loss limits. The risk management process aims to generate positively skewed returns, with small losses and large gains, with a volatility above that of the benchmark (SG Trend index). The volatility target can be customized to meet individual clientsâ€™ preferences.

Trading Methodology
100% Systematic
Trading Style
100% Trend Following

Style Sub-Categories
Quantitative

Holding Period
2% Long Term
32% Medium Term
65% Short Term
1% Intraday
Sector: Global
Contracts: Futures

Market Allocation
20% Stock Indices
21% Currencies
16% Financials
8% Metals
7% Energies
11% Agriculturals
3% Meats
7% Softs
7% Other Markets

Recent Performance - Start Date of Program December 2013

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-5.02%	21.70%	9.87%	8.87%	-4.81%	-11.82%	-9.37%						5.18%	-23.93%
2023	-0.15%	-6.88%	-12.18%	8.98%	12.15%	0.95%	-5.64%	-9.61%	2.73%	-1.39%	-12.89%	1.50%	-23.03%	-24.73%
2022	-0.84%	12.57%	12.27%	13.21%	-4.19%	1.24%	-16.74%	1.08%	19.01%	-4.93%	-19.45%	-1.65%	3.81%	-26.83%
2021	-0.36%	12.23%	-2.75%	11.32%	-0.25%	-6.09%	8.77%	-5.24%	-4.60%	11.05%	-12.15%	4.01%	13.15%	-12.15%
2020	-7.70%	1.43%	8.89%	-1.92%	-2.62%	-2.06%	6.44%	6.15%	-8.20%	6.26%	9.96%	12.62%	30.15%	-8.2%
2019	-0.75%	-2.96%	-1.91%	3.10%	0.41%	-6.06%	5.27%	10.46%	-17.59%	-3.24%	2.31%	9.45%	-4.61%	-20.26%
2018	-3.61%	-7.48%	-6.63%	0.55%	-0.47%	-1.54%	0.14%	1.23%	-3.21%	-0.71%	-2.20%	1.51%	-20.65%	-21.83%
2017	-0.69%	0.83%	-0.17%	1.39%	5.15%	-3.17%	1.05%	-3.74%	-9.13%	6.93%	-1.06%	1.85%	-1.71%	-14.41%
2016	5.29%	8.67%	-10.96%	3.78%	-4.80%	11.74%	0.58%	-8.22%	-5.58%	-7.06%	1.23%	6.01%	-2.23%	-20.37%
2015	17.24%	-0.55%	1.85%	-7.78%	-2.03%	-6.30%	-3.46%	4.68%	2.83%	-10.75%	4.61%	-3.11%	-5.5%	-21.48%
2014	13.54%	-6.59%	9.48%	-3.02%	-1.52%	2.77%	9.03%	9.02%	28.96%	-6.66%	15.54%	19.15%	124.48%	-6.66%
2013												-5.28%	-5.28%	-5.28%

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

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.