CTA Profiles Sweet Futures

Start Date: Jan-2019
Nov Return: -0.30%
YTD Return: -21.35%
Annual CROR: 6.69

Worst Drawdown: -33.84%
Losing Streak: -33.84 %
Sharpe Ratio: 0.38
Calmar Ratio: 0.08

Min Investment: $250,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0497673

Margin: 10%
Mgt Fee: 0-2%
Incentive Fee: 15-30%
Round Turns: 6,000

Trading Strategy: The Systematic Energy Diversified program comprises of 5 algorithms derived from the advisor's 10 years spent working at JP Morgan. The 5 algorithms focus on the movement of oil products around the world and forecasting future supply and demand. The program will trade futures and options on WTI, BRENT, Heating oil, and Gasoline. The algorithms look at the underlying fundamental data of each respective product and will identify trades within each product. The algorithms look at fundamental data in the energy markets. We are a very unique systematic strategy in that we don't use any technical analysis or standard price based indicators to identify opportunities Risk Strategy: Cayler Capital runs a complex VaR model to size the portfolio to target 15% annualized volatility. We look at historic 200d oil moves along with outlier moves over the last 10 years to evaluate risk. All trades are entered and exited on the close, so there is no intraday movement or change in the portfolio. 75% of VaR is dervied from relative value trades while only 25% is contributed from directional moves in the energy space.

Trading Methodology
100% Systematic
Trading Style
50% Spread Trading
5% Option Trading
45% Quantitative

Style Sub-Categories
Fundamental

Holding Period
20% Medium Term
80% Short Term
Sector: US
Contracts:

Market Allocation
100% Energies

Recent Performance - Start Date of Program January 2019

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	2.46%	-2.81%	-3.72%	0.17%	-8.90%	-0.14%	-1.28%	-4.16%	-1.01%	-3.59%	-0.30%		-21.35%	-23.23%
2023	0.56%	-4.10%	7.27%	7.84%	2.30%	2.74%	6.30%	-4.86%	-1.25%	-5.88%	-2.86%	-2.07%	4.84%	-15.88%
2022	5.58%	10.05%	25.16%	-5.53%	-1.36%	0.86%	-7.30%	-1.01%	0.30%	4.33%	-4.95%	6.03%	32.25%	-14.23%
2021	3.15%	7.02%	-2.67%	-7.51%	1.68%	3.75%	3.27%	-2.91%	-1.35%	4.03%	-5.10%	-0.51%	1.86%	-9.98%
2020	7.15%	-3.60%	14.94%	10.39%	3.55%	1.03%	-1.82%	-1.08%	1.72%	-8.81%	0.20%	-0.28%	23.44%	-9.98%
2019	-3.67%	2.64%	-0.92%	6.47%	6.37%	-1.11%	-1.02%	-5.59%	3.99%	3.54%	-0.77%	-2.38%	6.97%	-7.59%

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

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Track Record Prepared By: CTA Services

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.