CTA Profiles Sweet Futures

Start Date: Jun-2021
Nov Return: -1.30%
YTD Return: 10.33%
Annual CROR: 8.16

Worst Drawdown: -6.68%
Losing Streak: -2.71 %
Sharpe Ratio: 0.83
Calmar Ratio: 1.98

Min Investment: $125,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0489228

Margin: 5%
Mgt Fee: 1.50%
Incentive Fee: 20.00%
Round Turns: 5,000

Trading Strategy: The Blended Advantage Program employs a multi-strategy multi-timeframe approach designed to capture both intraday and overnight movements in the S&P-500. This combination is designed to reduce the volatility of returns and maximize trading opportunities in diverse market environments. Risk Strategy: N/A

Accounting Notes: Pro-Forma proprietary performance adjusted for a 1.5% management fee and a 20% incentive fee from June 2021 to October 2021. Client Performance from November 2021.

Trading Methodology
100% Systematic
Trading Style
25% Trend Following
50% Contrarian
75% Pattern/Statistical

Style Sub-Categories
Momentum
Contrarian
Pattern Recognition
Quantitative
Trend Anticipatory
Mean Reversion
Long Short
Relative Value

Holding Period
20% Short Term
80% Intraday
Sector: US
Contracts:

Market Allocation
100% Stock Indices

Pro-Forma proprietary performance adjusted for a 1.5% mgt fee and a 20% inc fee from Jun 2021 to Oct 2021. Client Performance from Nov 2021.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	2.43%	0.69%	1.44%	0.14%	5.91%	-0.30%	1.63%	-1.54%	2.44%	-1.43%	-1.30%		10.33%	-2.71%
2023	3.16%	-2.77%	-0.75%	1.14%	2.42%	3.66%	0.67%	-0.54%	-0.81%	-2.06%	0.36%	1.36%	5.77%	-3.5%
2022	2.01%	1.10%	-1.17%	1.77%	3.66%	-0.65%	-0.35%	3.17%	0.37%	-4.40%	4.91%	-0.18%	10.36%	-4.4%
2021						0.03%	3.82%	3.00%	-6.68%	5.14%	-2.43%	-0.21%	2.19%	-6.68%

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

Chart

Track Record Prepared By: CSI

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.