CTA Profiles Sweet Futures

Start Date: Jan-2012
Mar Return: -2.53%
YTD Return: 8.84%
Annual CROR: 8.00

Worst Drawdown: -29.72%
Losing Streak: -2.53 %
Sharpe Ratio: 0.55
Calmar Ratio: N/A

Min Investment: $200,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0498792

Margin: 7.34%
Mgt Fee: 2.00%
Incentive Fee: 0.00%
Round Turns: 0

Trading Strategy: The primary focus of the trading program is agricultural commodity markets with particular emphasis on soybean, soybean products, and commodity futures and options, but does occasionally trade other markets. Mr. Davis develops trading strategies that may involve long or short futures positions as well as intra- and inter-market spread positions. Options are frequently used to manage risk exposure or general additional opportunities. Technical or chart analysis is generally used only to help determine entrance and exit points, as Mr. Davis believes that fundamentals ultimately determine price movement.

Accounting Notes: Proprietary Performance Pro-Forma Adjusted for a 2% Management Fee and 20% Incentive Fee from Jan 2012 through Dec 2015. Jan 2016 onwards performance data began applying to Davis Commodities rather than individual Stephen Davis. Trading Style has remained the same through the transition.

Trading Methodology
100% Discretionary
Trading Style
50% Spread Trading
50% Fundamental

Style Sub-Categories
Fundamental

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

Market Allocation
100% Agriculturals

Proprietary Performance Pro-Forma from Jan 2012 through Dec 2015. Davis Commodities Performance from Jan 2016. Please see Acct Notes for Additional Information.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	5.39%	5.95%	-2.53%										8.84%	-2.53%
2023	0.23%	-1.40%	-0.45%	3.08%	2.30%	-0.85%	-1.04%	-0.10%	-0.87%	-1.91%	-0.75%	3.24%	1.32%	-5.4%
2022	4.93%	4.05%	-0.88%	-1.90%	0.19%	0.59%	-0.67%	-3.42%	2.34%	-0.51%	-0.69%	1.72%	5.57%	-5.99%
2021	-1.06%	1.09%	-4.28%	5.65%	1.89%	-0.76%	-3.47%	2.36%	1.31%	-0.58%	-0.59%	-0.07%	1.11%	-4.28%
2020	3.83%	0.31%	0.80%	4.55%	-0.30%	1.91%	2.13%	4.25%	3.61%	3.40%	4.89%	4.46%	39.38%	-0.3%
2019	-2.02%	-2.11%	-2.98%	2.10%	5.99%	-3.54%	-1.32%	-2.09%	3.15%	3.41%	-1.96%	1.57%	-0.31%	-6.95%
2018	-2.31%	3.80%	5.81%	1.13%	-1.06%	-5.42%	0.99%	1.89%	-1.86%	-1.58%	-2.09%	-0.81%	-2%	-9.68%
2017	2.35%	-1.38%	-1.40%	-3.22%	-2.52%	9.37%	6.20%	6.42%	-1.69%	-1.99%	-1.67%	0.58%	10.6%	-8.26%
2016	-2.28%	3.78%	-1.88%	-6.33%	4.94%	6.60%	-10.97%	-5.60%	-2.05%	-5.23%	-4.27%	0.22%	-21.96%	-25.32%
2015	3.84%	-4.05%	4.02%	2.09%	3.42%	-5.40%	3.29%	2.48%	1.46%	0.91%	0.58%	3.08%	16.31%	-5.4%
2014	2.27%	-2.62%	-4.31%	-0.86%	-3.57%	4.20%	6.70%	4.65%	7.90%	-6.94%	-1.39%	0.78%	5.78%	-10.92%
2013	0.19%	3.96%	2.16%	2.45%	-2.30%	0.71%	3.36%	-1.46%	4.90%	1.67%	1.16%	1.65%	19.81%	-2.3%
2012	-1.33%	2.67%	2.60%	4.79%	-5.43%	7.52%	23.41%	7.48%	-8.81%	-4.24%	-0.76%	-1.13%	25.86%	-14.32%

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

Chart

Track Record Prepared By: N/A

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.