CTA Profiles Sweet Futures

Start Date: Apr-2017
Mar Return: 3.53%
YTD Return: 3.12%
Annual CROR: N/A

Worst Drawdown: -7.16%
Losing Streak: -1.41 %
Sharpe Ratio: 0.67
Calmar Ratio: N/A

Min Investment: $2,000,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0541356

Margin: 5%-7.5%
Mgt Fee: 1.00%
Incentive Fee: 10.00%
Round Turns: 350

Trading Strategy: The Global Tactical Allocation Program (GTAP) is a systematic managed futures program. It combines a risk parity methodology to form a balanced core portfolio together with a dynamic multi-strategy overlay to control absolute asset exposure. Risk Strategy: Created as a high capacity, low turnover, low margin portfolio, GTAP takes positions in only the most liquid exchange traded futures contracts covering Asia, Europe and the USA, with exposure in stock indices, bonds, interest rates, currencies, energies and metals. GTAP targets a long-term annualized volatility of 7%, while having an average margin-to-equity ratio of approximately 5% (with a historical maximum ME of <7.5%).
Core positions tend to be held long-term with a low portfolio turnover of approximately 350 round turns per-$million.

Accounting Notes: The performance listed here is based on Non-Compounding.

Trading Methodology
100% Systematic
Trading Style
100% Tactical Allocation

Style Sub-Categories

Holding Period
80% Long Term
20% Medium Term
Sector: Global
Contracts:

Market Allocation
20% Stock Indices
20% Currencies
40% Financials
13% Metals
7% Energies
20% Equities

Recent Performance - Start Date of Program April 2017

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR*	Max DD
2024	-0.44%	0.03%	3.53%										3.12%	-0.44%
2023	1.57%	-1.23%	-0.13%	-0.14%	-0.05%	1.25%	1.28%	-1.67%	-0.79%	-1.21%	1.10%	1.53%	1.51%	-3.63%
2022	-1.28%	0.89%	3.18%	-0.62%	-1.09%	-0.32%	0.08%	-0.38%	-0.44%	0.45%	-1.24%	-2.48%	-3.25%	-5.91%
2021	-1.10%	0.82%	0.84%	1.31%	2.37%	-2.01%	1.75%	-0.64%	-1.59%	1.88%	-1.63%	1.23%	3.23%	-2.49%
2020	1.49%	0.95%	-1.27%	0.45%	-0.53%	1.15%	2.49%	0.52%	-0.86%	-0.99%	3.43%	2.40%	9.23%	-1.84%
2019	0.96%	0.14%	3.05%	0.87%	-1.41%	4.09%	0.49%	2.29%	-1.15%	-0.63%	0.02%	-0.06%	8.66%	-1.82%
2018	2.48%	-3.23%	-0.32%	0.01%	0.10%	0.37%	0.52%	0.22%	1.66%	-2.40%	0.21%	0.08%	-0.3%	-3.54%
2017				0.11%	0.45%	-1.26%	1.16%	1.88%	0.27%	3.73%	1.21%	1.42%	8.97%	-1.26%

*The Annual ROR performance has been calculated by adding each monthly return. Please See Accounting Notes Below.

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

Chart

Track Record Prepared By: NAV Consulting

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.

Qualified Eligible Investors - A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

Exemptions - PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.