CTA Profiles Sweet Futures

Start Date: Dec-2014
Nov Return: -3.42%
YTD Return: -2.08%
Annual CROR: 6.63

Worst Drawdown: -22.41%
Losing Streak: -16.99 %
Sharpe Ratio: 0.48
Calmar Ratio: -0.02

Min Investment: $1,500,000
Currency: US Dollar
Notional Funding: No
NFA Number: 0483331

Margin: 4.27%
Mgt Fee: 1%
Incentive Fee: 25%
Round Turns: 10,000

Trading Strategy: The Systematic Volatility Arbitrage (VolArb) strategy takes a multi-strategy approach in the equity index volatility market. It trades (1) market neutral calendar spreads in VIX Index futures and (2) VIX Index futures versus the S&P 500 Index futures to arbitrage the equity market volatility risk premium. Additionally, it takes directional intraday momentum trades in equity index futures (3) and VIX Index futures (4). The investment process is systematic and based on Deep Field Capital's proprietary volatility estimation model, taking into consideration the volatility surface and VIX Index term-structure. Order execution is fully systematic and automated. The strategy is available via a SMA and other structures upon request. Risk Strategy: N/A

Accounting Notes: Pro-Forma returns shown are actual investment returns net of an assumed 1% annual management fee, payable monthly in arrears, and a quarterly performance fee of 25% of net new trading profits. VolArb returns prior to November 28, 2018 represent the track record of VolArb managed at Systematic Absolute Return AG by its founding principal Arne Schmidt and Michael Ahrndt, who joined Deep Field Capital in Q1 2018. Beginning November 28, 2018, VolArb returns represent the composite trading returns of all client accounts trading VolArb as a stand-alone program, managed by Deep Field Capital. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

Trading Methodology
100% Systematic
Trading Style
100% Market Neutral & Intraday Momentum

Style Sub-Categories
Momentum

Holding Period
50% Short Term
50% Intraday
Sector: Global
Contracts: Futures

Market Allocation
100% Stock Indices

ProForma Returns adjusted for a 1% management fee & 25% incentive fee. Prior to November 28, 2018 returns represent performance record of VolArb managed by Systematic Absolute Return AG.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	1.52%	-0.95%	1.75%	-3.61%	0.03%	-0.88%	-1.61%	4.39%	-0.56%	1.51%	-3.42%		-2.08%	-5.96%
2023	-0.30%	-3.30%	0.68%	-0.51%	-0.84%	1.09%	-0.02%	0.37%	-2.66%	-5.56%	3.05%	-2.02%	-9.85%	-10.71%
2022	-4.90%	-0.23%	2.74%	5.72%	2.11%	3.84%	1.68%	1.57%	-5.37%	-0.12%	0.77%	1.10%	8.66%	-5.49%
2021	-8.87%	5.73%	-0.01%	0.31%	0.00%	-1.05%	4.67%	-3.30%	1.25%	-1.04%	1.47%	3.30%	1.65%	-8.87%
2020	0.24%	3.87%	7.00%	7.12%	0.49%	5.22%	-1.09%	1.12%	-5.31%	-6.32%	-1.08%	-2.97%	7.46%	-14.86%
2019	-1.34%	0.36%	0.63%	-0.02%	-1.95%	0.19%	1.41%	-2.89%	4.78%	3.11%	5.27%	-4.88%	4.27%	-4.88%
2018	-1.33%	21.16%	3.08%	0.62%	0.89%	0.30%	0.45%	-1.41%	1.24%	2.20%	0.00%	-0.70%	27.68%	-1.41%
2017	0.88%	0.68%	2.18%	-5.85%	-1.30%	0.21%	-5.47%	1.12%	0.63%	1.04%	0.02%	1.44%	-4.68%	-11.97%
2016	-2.36%	1.13%	7.58%	8.26%	9.43%	-5.32%	3.75%	1.79%	7.84%	0.15%	-0.09%	2.02%	38.55%	-5.32%
2015	1.58%	3.46%	2.77%	-0.81%	0.84%	0.25%	0.48%	-8.20%	1.89%	1.15%	-0.57%	0.33%	2.71%	-8.2%
2014												0.44%	0.44%	0%

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

Chart

Track Record Prepared By: In-House

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 $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions.

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.