CTA Profiles Sweet Futures

Start Date: Jul-2020
Dec Return: 21.35%
YTD Return: 32.39%
Annual CROR: 31.45

Worst Drawdown: -20.15%
Losing Streak: 0.00 %
Sharpe Ratio: 1.12
Calmar Ratio: N/A

Min Investment: $1,000,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0462880

Margin: 10% to 20%
Mgt Fee: 1.50%
Incentive Fee: 20.00%
Round Turns: 4,200

Trading Strategy: Martin Options Program (MOP) utilizes option spreads structures to profit from macro opportunities in the Softs (Coffee Sugar Cocoa), Grains (Corn Soybeans Wheat) and Precious Metals (Gold) commodity sectors. The program recognizes that many of these commodities are at or near 30+ year lows; with a major post-COVID crisis demand surge on the horizon, the program seeks significant opportunities using option structures within a robust multi-layered risk management system. The program also recognizes the increased volatility in these markets given many new factors (China trade war/deal, COVID-19, EM currency routs); the program seeks to benefit from this volatility within a systematic risk protocol. MOP targets a 15% volatility, annual return goals of 20%+, with a target Sharpe ratio of 1.5+ or better. Strategy capacity USD 500M. Risk Strategy: Risk management is systematic with a multi-layered protocol.

Accounting Notes: Deloitte.

Trading Methodology
70% Systematic
30% Discretionary
Trading Style
100% Option Trading

Style Sub-Categories
Option Spread
Other Option Strategy
Quantitative
Mean Reversion

Holding Period
50% Long Term
30% Medium Term
20% Short Term
Sector: US
Contracts: Options

Market Allocation
20% Metals
20% Agriculturals
60% Softs

Recent Performance - Start Date of Program May 2020

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2023	4.64%	-0.93%	-4.36%	-0.11%	0.88%	10.13%	4.07%	-4.85%	-3.01%	1.50%	1.71%	21.35%	32.39%	-7.71%
2022	1.73%	0.17%	-5.23%	0.69%	1.84%	-0.22%	-6.95%	11.05%	-2.78%	-16.65%	1.03%	-1.52%	-17.68%	-19.38%
2021	15.38%	10.34%	-5.25%	16.25%	2.51%	-2.74%	18.53%	2.83%	0.56%	-0.49%	5.42%	-0.73%	78.45%	-5.25%
2020					4.58%	-2.19%	11.35%	-2.60%	0.06%	0.15%	3.13%	22.25%	40.16%	-2.6%

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

Chart

Track Record Prepared By: Deloitte

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.