CTA Profiles Sweet Futures

Start Date: Nov-2018
May Return: -3.18%
YTD Return: -7.44%
Annual CROR: -1.02

Worst Drawdown: -21.37%
Losing Streak: -21.37 %
Sharpe Ratio: -0.19
Calmar Ratio: N/A

Min Investment: $1,500,000
Currency: US Dollars
Notional Funding: No
NFA Number: 0271756

Margin:
Mgt Fee: 1.00%
Incentive Fee: 15.00%
Round Turns: 1,586

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 Tactical Long-Biased Volatility Program ("Program") uses a rules- based systematic approach to trade volatility futures with an equity hedge. It is a combination of an opportunistic long-short system trading VIX futures contract hedged with E-Mini S&P 500 futures, an opportunistic long-short system trading VSTOXX futures hedged with Euro STOXX 50 futures, and long only positions in each of the assets. The first two systems explicitly exploit the relationship between volatility term structure and its future returns as a form of directional carry. This long-short exposure serves as a time decay hedge, while opportunistically capturing tail events. The final system attempts to measure volatility breakout conditions, and piles on long volatility exposure in such environments while maintaining an equity hedge.

Accounting Notes: The performance record reflects unaudited, actual returns of a single proprietary account invested in the Program, net of applicable fees and expenses. Individual client experience may vary, due to timing of investment and actual fees and expenses paid. Returns of the proprietary account are 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
Volatility

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

Market Allocation

Please see Accounting Notes

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2023	-4.28%	-0.60%	1.12%	-0.63%	-3.18%								-7.44%	-7.44%
2022	-2.79%	0.00%	-1.79%	3.04%	-2.13%	-1.32%	-2.04%	2.45%	0.29%	-6.17%	-2.83%	-1.18%	-13.83%	-13.83%
2021	-2.50%	0.19%	0.75%	1.37%	-0.95%	1.02%	1.18%	-0.71%	-2.75%	3.02%	-0.17%	-0.72%	-0.43%	-3.44%
2020	-0.70%	-0.38%	12.49%	-0.46%	-1.07%	2.74%	1.05%	3.87%	1.66%	0.83%	-0.96%	0.07%	20.06%	-1.53%
2019	-0.66%	-0.56%	0.69%	0.31%	-0.60%	-0.20%	0.33%	-2.12%	0.70%	-0.22%	1.13%	1.94%	0.67%	-2.81%
2018											-1.28%	0.68%	-0.6%	-1.28%

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.