CTA Profiles Sweet Futures

Start Date: May-2017
Mar Return: 0.14%
YTD Return: -1.84%
Annual CROR: 5.16

Worst Drawdown: -17.57%
Losing Streak: -10.52 %
Sharpe Ratio: 0.50
Calmar Ratio: N/A

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

Margin: 0% End of Day - Max 12%
Mgt Fee: 1.00%
Incentive Fee: 25.00%
Round Turns: 4,500

Trading Strategy: ICA is a pure intraday momentum program, focusing on large tail events in global equity indices, aiming to stay away from the average daily trading ranges that tend to be mean reverting. ICA is designed to benefit from big intraday moves to the upside as well as downside, generating pure alpha and providing hedging capabilities in times of crisis without the usual cost of an insurance premium. Trading only intraday and closing out all positions by the end of the trading session, ICA is extremely capital efficient and can be implemented on top of any portfolio without additional capital requirements. While the program has initially been developed and traded on the S&P 500 futures, it has matured into a global program, trading a total of 16 equity index futures in the uncorrelated intraday sessions in the US, Asia (added in 01/2019) and Europe (added in 11/2019).

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 20% of net new trading profits. ICA program returns prior to June 2018 represent the track record of ICA managed at Systematic Absolute Return AG by its founding principal Arne Schmidt and Michael Ahrndt, who joined Deep Field Capital in Q1 2018. Extracted returns (prior to June 2018) are that of ICA as a sub-component of the Systematic Volatility Arbitrage Program (VolArb), with a nominal of seventy percent of this program's assets, and hence being traded on 0.7x. Adjustments have been made to the actual 0.7x returns to scale up the leverage to a 1x to represent a 1x track record of the ICA Program as offered and traded by Deep Field Capital. Beginning June 2018, ICA returns represent the composite trading returns of all client accounts trading the ICA Program as a stand-alone program, managed by Deep Field Capital. The leverage adjustments make the returns hypothetical for the period prior to June 2018. Further information on the methodology for calculating the presented performance including original broker statements is available upon request.

Trading Methodology
100% Systematic
Trading Style
100% Trend Following

Style Sub-Categories

Holding Period
100% Intraday
Sector: Global
Contracts: Futures

Market Allocation
100% Stock Indices

ProForma Returns adjusted for a 1% management fee & 20% trading fee. Prior to June 2018 returns represent performance record of Systematic Absolute Return AG.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	1.32%	-3.26%	0.14%										-1.84%	-3.26%
2023	-0.31%	-3.85%	1.98%	-0.63%	-0.89%	1.11%	-0.01%	0.24%	-1.39%	-2.46%	1.76%	-1.85%	-6.26%	-6.26%
2022	0.82%	2.02%	1.21%	5.50%	4.46%	2.79%	1.28%	1.15%	-5.23%	0.17%	1.00%	1.43%	17.51%	-5.23%
2021	-3.49%	3.12%	-0.41%	-0.80%	0.25%	-0.97%	5.49%	-3.83%	0.69%	-1.10%	-0.69%	3.36%	1.22%	-4.89%
2020	4.35%	4.61%	0.16%	4.37%	2.36%	7.58%	-2.06%	-1.68%	-0.57%	-7.55%	-1.36%	-2.18%	7.33%	-14.59%
2019	1.13%	2.45%	1.03%	-1.34%	-2.22%	0.25%	-2.16%	1.40%	0.18%	-2.10%	2.52%	-1.73%	-0.76%	-5.9%
2018	-0.09%	8.00%	4.74%	2.33%	1.17%	2.28%	-0.09%	-0.59%	-0.08%	1.49%	-1.29%	1.00%	20.17%	-1.29%
2017					0.70%	-0.20%	-0.08%	1.69%	-0.83%	-0.09%	-0.06%	-0.02%	1.09%	-1%

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

Chart

Track Record Prepared By: Circle Partners, Netherlands

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.