CTA Profiles Sweet Futures

Start Date: Apr-2019
Apr Return: -3.74%
YTD Return: -6.44%
Annual CROR: N/A

Worst Drawdown: -30.86%
Losing Streak: -29.65 %
Sharpe Ratio: 0.39
Calmar Ratio: -0.31

Min Investment: $100,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0500489

Margin: Average 4% Range 0%-20%
Mgt Fee: 2%
Incentive Fee: 20%
Round Turns: 8,000

Trading Strategy: The Algorithmic Multi-Strategy program is an algorithmically traded managed futures portfolio that trades long and short positions in equity index, treasury and currency futures. Trading strategies include intraday strategies with average trade duration ranging from minutes to hours, and mid-frequency strategies with holdings periods measured in days to weeks. Risk Strategy: The Program has various approaches to risk management, which includes placing "stop loss" orders, and diversifying across trading strategies. In addition, Ravinia believes an important method of managing risk is to limit position size, so as to maintain excess margin capacity in each account. At most times, the Advisor would expect each client's account to have free cash equal to 80%-90% of the account's equity value.

Accounting Notes: This program commenced trading while the Advisor was exempt from NFA registration under 4.14(a)(10) with accounts that transferred over from the Volatility Alpha Program. These account balances were transferred under their High-Water Mark and a pro-forma performance fee of 20% was applied while the account balances remained under their High-Water Mark. The pro-forma performance fee is calculated at a rate of 20% of pro-forma gross profits and losses reduced by the management fee. Performance is calculate and compiled by Dan Scheffel, CPA

Trading Methodology
100% Systematic
Trading Style
100% Short-term Mean Reversion & Momentum

Style Sub-Categories
Momentum
Pattern Recognition
Quantitative
Mean Reversion
Algorithmic

Holding Period
40% Short Term
60% Intraday
Sector: US
Contracts:

Market Allocation
80% Stock Indices
10% Currencies
10% Financials

Please see Accounting Notes for Important Details on this Pro-Forma performance.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR*	Max DD
2024	-2.76%	0.15%	-0.09%	-3.74%									-6.44%	-6.34%
2023	4.52%	-3.22%	0.62%	1.40%	-2.39%	-0.09%	-0.30%	-1.51%	-1.60%	0.45%	3.10%	2.90%	3.88%	-6.95%
2022	-5.83%	-6.77%	0.84%	1.44%	0.05%	-9.02%	-1.53%	0.66%	6.15%	-3.30%	0.15%	0.11%	-17.05%	-19.5%
2021	0.22%	3.30%	4.07%	3.57%	0.12%	-0.19%	4.01%	1.05%	-6.62%	1.58%	-0.65%	-4.35%	6.11%	-9.86%
2020	10.98%	-6.06%	12.12%	10.68%	2.81%	4.03%	-1.41%	14.30%	-10.70%	3.65%	-7.69%	0.99%	33.7%	-14.56%
2019				3.48%	-0.95%	2.53%	0.74%	4.54%	-2.56%	-3.70%	6.06%	7.43%	17.57%	-6.16%

*The Annual ROR performance has been calculated by adding each monthly return. Please See Accounting Notes Below.

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

Chart

Track Record Prepared By: Dan Scheffel, CPA

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.