CTA Profiles Sweet Futures

Start Date: Jan-2018
Nov Return: -4.65%
YTD Return: 1.56%
Annual CROR: 7.81

Worst Drawdown: -17.64%
Losing Streak: -5.83 %
Sharpe Ratio: 0.42
Calmar Ratio: 0.24

Min Investment: $200,000
Currency: US Dollars
Notional Funding: Yes
NFA Number: 295798

Margin: 15-20%
Mgt Fee: 0.00%
Incentive Fee: 25.00%
Round Turns: 650

Trading Strategy: As fear of market declines ebb and flow, inconsistencies form between current and expected volatility of the S&P 500. Total Volatility captures the inconsistencies between 30-day and expected 30-day volatility. The program also analyzes the troughs and bubbles of the longer term VIX structure. When the troughs are too low or the bubbles too high, Total Volatility seizes on these irregularities as well. Risk Strategy: N/A

Accounting Notes: Proprietary Trading from Jan 2018 to Sept 2018. Customer Trading from Oct 2018.

Trading Methodology
100% Systematic
Trading Style

Style Sub-Categories
Quantitative

Holding Period
Sector: US
Contracts: Futures

Market Allocation
100% Stock Indices

Proprietary Trading from Jan 2018 to Sept 2018. Customer Trading from Oct 2018.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	2.03%	1.37%	0.83%	-4.15%	-0.85%	0.98%	1.24%	4.98%	1.40%	-1.24%	-4.65%		1.56%	-5.83%
2023	2.58%	-0.20%	3.06%	3.64%	0.78%	0.00%	0.00%	-2.81%	-0.92%	4.14%	-0.97%	1.77%	11.38%	-3.71%
2022	0.92%	-3.42%	-0.07%	-0.11%	10.32%	0.13%	-0.39%	2.02%	-9.26%	1.77%	-8.84%	2.68%	-5.6%	-15.82%
2021	-11.75%	7.90%	6.98%	-3.05%	3.65%	2.51%	-4.41%	-0.16%	-3.18%	0.01%	-7.21%	4.87%	-5.65%	-14.26%
2020	-3.91%	0.57%	32.08%	-1.70%	-1.50%	-2.72%	-2.13%	-6.29%	5.98%	-3.30%	9.46%	-2.03%	21.19%	-13.61%
2019	7.01%	-0.75%	5.05%	0.63%	-13.84%	5.98%	1.58%	3.16%	8.54%	5.25%	1.04%	-3.18%	20.04%	-13.84%
2018	3.15%	11.77%	-6.41%	0.36%	1.71%	-1.05%	2.73%	1.37%	0.88%	-7.46%	4.74%	3.39%	14.74%	-8.1%

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

Chart

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.