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  • AP Futures LLC
    Volatility Trading Program
    Principal(s): Andrew Haleen
    Strategy: Spreads / Volatility / Stock Indices
  • For Additional Information Contact Sweet Futures
    Toll Free: 1-800-661-5618
    Direct: 1-312-216-5701
    Email: [email protected]
  • Start Date: Feb-2017
    Nov Return: 6.16%
    YTD Return: 7.76%
    Annual CROR: 7.15
  • Worst Drawdown: -34.30%
    Losing Streak: 0.00 %
    Sharpe Ratio: 0.39
    Calmar Ratio: 0.27
  • Min Investment: $100,000
    Currency: 2US Dollar
    Notional Funding: Yes
    NFA Number: 501241
  • Margin: 15-20%
    Mgt Fee: 1.00%
    Incentive Fee: 20.00%
    Round Turns: 1,200
  • Trading Strategy: The Volatility Trading Program is designed to exclusively trade VIX futures. The Advisor considers the current market environment in a broad sense and then looks to opportunistically place spread positions along the futures curve according to their relative value as determined by the Advisor's proprietary method. From time to time the Advisor may place a simple "long" or "short" position along the VIX futures curve to shift the portfolio's exposure and/or sensitivities. There are no trading restrictions or limitations placed on the Advisor and the Advisor reserves the right to trade in other futures markets, such as the E-mini S&P 500 and U.S Treasury futures, in times of market stress or illiquidity in order to hedge the portfolio's macro exposures. Risk Strategy: The Advisor believes that risk management is critical to generating long-term wealth-building returns and that expected returns vary over time. Therefore, the Advisor takes a pro-active approach to risk management by varying the portfolio's exposures during different market environments with the goal of reducing drawdowns and capturing favorable risk/return probabilities as they are presented. The Advisor recommends that clients do not try to time the strategy, but instead consider the offered program to be part of a diversified investment portfolio to be held for many years.

    Accounting Notes: Performance Shown starts in Feb 2017 which is when AP Futures registered as a CTA. For performance of AP Futures prior to Feb 2017 please contact the Advisor directly.
  • Trading Methodology
    70% Systematic
    30% Discretionary
  • Trading Style
    20% Contrarian
    80% Spread Trading
  • Style Sub-Categories
    Volatility
    Mean Reversion
    Spread
  • Holding Period
    100% Medium Term
  • Sector: US
    Contracts: Futures
  • Market Allocation
    100% Stock Indices
Recent Performance - Start Date of Program February 2017

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov DecROR Max DD
2024 0.56% 1.07% 1.09% -1.28% 1.61% 0.96% -0.83% 4.20% -1.05% -4.58% 6.16%   7.76% -5.59%
2023 3.16% -0.20% -2.90% 5.71% 1.56% 5.16% 1.76% 0.62% -1.80% -2.71% 3.30% 1.99% 16.33% -4.46%
2022 -7.94% -6.34% -1.37% -3.01% 3.02% -6.99% 6.24% 0.14% -3.83% 0.94% 5.00% 1.66% -12.88% -20.97%
2021 -4.90% 13.94% 7.25% 2.92% 0.17% 2.62% 1.54% 3.76% -2.53% 6.67% -2.19% 8.15% 42.46% -4.9%
2020 -5.78% -6.93% 6.62% -4.55% 1.69% -7.09% 10.05% -0.48% 2.82% -1.98% 20.62% 3.45% 16.14% -15.68%
2019 13.74% 1.77% -0.49% 2.63% -11.57% 4.62% 2.20% -8.12% 5.36% 5.65% 3.49% 0.61% 19.02% -13.13%


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

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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.