CTA Profiles Sweet Futures

Start Date: Jul-2006
May Return: 2.38%
YTD Return: -4.29%
Annual CROR: 3.20

Worst Drawdown: -23.48%
Losing Streak: -8.40 %
Sharpe Ratio: 0.24
Calmar Ratio: N/A

Min Investment: $5,000,000
Currency: US Dollars
Notional Funding: No
NFA Number: 0271756

Margin:
Mgt Fee: 1.00%
Incentive Fee: 15.00%
Round Turns: 1,345

Trading Strategy: Rotella Capital Management ("RCM") was founded in 1995. RCM is built on the vision of Robert Rotella, one of the early pioneers in bringing a purely systematic approach to investing in the futures space. RCM has built on that deep experience to create multiple futures and securities strategies. Rotella Qdeck Systematic Trend Program ("Program") utilizes a multi-model, multi- timeframe approach to invest in global commodity, interest rate, equity index and foreign exchange markets using statistical and machine learning models, and was formerly known as Rotella Polaris Program. The Program was launched in 1991 based upon Robert Rotella's quantitative study of price trends in global markets and disciplined risk management methodology and its long track record reflects consistent returns with very low correlation to traditional and alternative investment strategies alike. The core investment models in the Program analyze price data to identify market anomalies that may be repeated over various time horizons. A top-down portfolio management approach incorporates quantitative portfolio optimization, tactical risk allocation, systematic execution and sophisticated money management techniques to target consistent returns across various market conditions. The trade duration within the Program is between five (5) and three hundred sixty-five (365) days.

Accounting Notes: performance returns are actual returns of representative client and proprietary accounts (including RCM-sponsored funds) invested in the Program (formerly known as the Rotella Polaris Program) that are presented on a composite basis, net of applicable fees and expenses (which may be different than those currently offered). Individual client experience may vary, due to timing of investment and actual fees and expenses paid. Returns for January through July 1997 are pro forma estimates that represent a period when Program assets were transferred to RCM's Reduced Leverage Program (since closed). Returns for the period October-December 2009 reflect the temporary waiver of management fees. Beginning March 2013, a majority of Rotella Polaris Fund, LLC assets consisted of proprietary capital. From January 2015 through November 2018, Program returns consisted exclusively of the net returns of the Rotella Polaris Fund LLC and Rotella Polaris Fund, Ltd. As of December 2018, Program returns reflect the performance of a single proprietary account net of brokerage commissions and other transaction expenses and are adjusted to reflect a pro forma fee of 1.00% annual management fee (pro-rated monthly) and a 15% quarterly incentive fee (accrued monthly), but no other operating expenses. The most recent month-end return is an estimate and subject to change.

Trading Methodology
100% Systematic
Trading Style
100% Trend Following

Style Sub-Categories
Mean Reversion

Holding Period
100% Short Term
Sector: Global
Contracts: Futures Forex

Market Allocation

The performance shown here starts in January 2005. Please contact Rotella for performance prior to January 2005.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2023	-4.49%	1.76%	-5.72%	2.02%	2.38%								-4.29%	-8.36%
2022	-1.57%	0.55%	-1.09%	0.46%	0.00%	-0.52%	-2.09%	8.05%	11.60%	0.49%	-6.63%	2.50%	11.09%	-6.63%
2021	-0.87%	4.17%	0.49%	2.73%	0.07%	-1.24%	2.00%	-0.63%	-3.59%	1.73%	-1.46%	1.17%	4.41%	-4.2%
2020	3.02%	2.59%	7.44%	2.53%	-1.67%	-0.15%	2.24%	0.34%	-1.35%	-0.55%	1.36%	3.83%	21.07%	-1.9%
2019	-0.57%	-0.34%	3.35%	1.29%	0.60%	2.03%	0.62%	2.62%	-0.02%	-2.36%	-0.08%	-0.61%	6.59%	-3.05%
2018	5.90%	-9.12%	-1.88%	-0.06%	-2.49%	-0.65%	2.52%	2.72%	-0.10%	-5.88%	-2.08%	2.79%	-8.87%	-16.29%
2017	-3.84%	1.38%	-3.75%	-2.02%	-0.13%	-2.67%	0.58%	0.53%	-2.82%	5.37%	0.68%	0.87%	-6.04%	-12.19%
2016	7.51%	3.37%	-5.91%	-2.76%	-5.03%	5.54%	2.62%	-5.24%	-2.66%	-5.19%	4.91%	6.39%	2.09%	-17.7%
2015	6.98%	1.51%	1.79%	-2.45%	1.63%	-5.41%	2.85%	-4.40%	3.56%	-4.04%	6.05%	-3.80%	3.33%	-8.37%
2014	-2.34%	2.75%	-4.55%	1.82%	2.92%	3.73%	-3.86%	4.73%	1.73%	-2.09%	4.87%	1.35%	10.97%	-4.55%
2013	4.53%	-1.39%	1.54%	3.92%	-3.52%	-4.60%	-1.00%	-0.24%	2.51%	3.87%	1.43%	2.06%	8.98%	-9.1%
2012	-2.01%	1.31%	-3.78%	-1.41%	1.50%	-3.70%	2.70%	-0.77%	2.50%	-4.24%	2.52%	1.89%	-3.81%	-7.95%
2011	-2.12%	1.66%	-1.84%	6.64%	-5.65%	-3.20%	2.82%	0.15%	0.53%	-4.55%	0.49%	1.88%	-3.77%	-9.76%
2010	-4.76%	1.13%	3.77%	1.76%	-2.47%	-1.72%	-3.90%	3.11%	0.55%	4.35%	-2.96%	5.25%	3.51%	-7.89%
2009	0.20%	0.81%	-2.52%	-2.54%	1.74%	-2.31%	0.68%	-1.96%	1.49%	-2.96%	3.37%	-2.82%	-6.87%	-8.21%
2008	3.92%	7.08%	-1.27%	-0.34%	3.57%	5.52%	-1.15%	-2.70%	-10.81%	7.59%	3.79%	1.23%	16.02%	-14.22%
2007	-0.02%	-1.21%	-0.33%	1.74%	-0.77%	0.49%	-0.43%	-2.43%	6.56%	8.09%	-5.90%	-1.52%	3.55%	-7.33%

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

Chart

Track Record Prepared By: N/A

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.