CTA Profiles Sweet Futures

Start Date: Sep-2015
May Return: 0.00%
YTD Return: -8.44%
Annual CROR: 15.59

Worst Drawdown: -28.16%
Losing Streak: -28.09 %
Sharpe Ratio: 0.69
Calmar Ratio: N/A

Min Investment: $500,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0525276

Margin: 5%-35%
Mgt Fee: 2.00%
Incentive Fee: 20.00%
Round Turns: 500

Trading Strategy: 120 Capital's Quantamental Global Macro program seeks to generate strong returns across the business cycle. It trades across global asset classes, utilizing a systematic global macro framework that identifies long term, fundamental trends that drive asset classes. Manager discretion is used for trade entry, risk management, and exit. Position holding periods can extend to many months or quarters. All trades driven by systematic signals have predefined stops, and the correlation between positions in the portfolio are closely monitored. In addition, the manager will use discretion over portfolio management based on market behavior and model performance. Risk Strategy: All trades driven by systematic signals have predefined stops, and the correlation between positions in the portfolio are closely monitored. In addition, the manager will use discretion over portfolio management based on market behavior and model performance.

Accounting Notes: Note that performance figures from Sept 2015 through Jan 2020 are returns on proprietary capital calculated by a third party after adjusting for a pro-forma 2% management and 20% incentive fee. Proprietary Trading started with $300,000 on Sept 2015 and ended with $4,000,000 on Jan 2020. Proprietary trading continues but is no longer reported here. For additional information please contact 120 for their Disclosure Document which includes updated Proprietary Trading numbers. Performance from Feb 2020 onwards are composite client returns after fees, as calculated by a third party. References available upon request.

Trading Methodology
50% Systematic
50% Discretionary
Trading Style
100% Global Macro

Style Sub-Categories
Fundamental
Quantitative

Holding Period
60% Long Term
20% Medium Term
20% Short Term
Sector:
Contracts: Futures Options

Market Allocation
35% Stock Indices
10% Currencies
35% Financials
10% Energies
5% Agriculturals
5% Other Markets

Proforma Performance Results through Jan 2020.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2023	-2.80%	-5.80%	-0.10%	0.10%	0.00%								-8.44%	-8.53%
2022	-15.60%	-9.10%	-3.70%	0.70%	-0.90%	-0.10%	0.10%	-0.90%	9.50%	0.40%	-4.80%	2.70%	-21.46%	-26.94%
2021	-1.13%	1.90%	0.00%	4.20%	-1.80%	9.20%	13.30%	4.80%	-10.50%	13.40%	1.10%	12.30%	54.03%	-10.5%
2020	3.33%	-11.40%	-7.80%	-4.90%	2.70%	2.00%	11.40%	11.10%	-8.40%	-7.70%	16.70%	3.24%	6.01%	-22.31%
2019	7.97%	1.41%	1.12%	1.45%	-2.78%	3.95%	-1.64%	11.76%	-2.32%	2.36%	3.06%	2.10%	31.28%	-2.78%
2018	4.79%	-2.94%	-3.29%	1.04%	-17.16%	11.94%	1.52%	3.89%	-0.26%	-3.81%	5.68%	-8.73%	-10.05%	-21.43%
2017	0.24%	3.61%	0.47%	2.92%	2.28%	-0.67%	0.56%	1.16%	-0.87%	6.62%	10.83%	2.69%	33.51%	-0.87%
2016	2.16%	-2.10%	-9.92%	2.19%	4.30%	-3.88%	20.31%	2.54%	-2.93%	2.27%	8.09%	1.29%	23.76%	-11.81%
2015									8.66%	22.54%	0.79%	-0.06%	34.12%	-0.06%

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

Chart

Track Record Prepared By: NAV Consulting

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.