CTA Profiles Sweet Futures

Start Date: Apr-2003
Mar Return: 2.47%
YTD Return: 1.91%
Annual CROR: N/A

Worst Drawdown: -15.68%
Losing Streak: -13.21 %
Sharpe Ratio: 0.57
Calmar Ratio: N/A

Min Investment: $1,000,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0411331

Margin: 4%
Mgt Fee: 1.00%
Incentive Fee: 20.00%
Round Turns: 4,000

Trading Strategy: The firm is an alternative investment management company that employs an institutional quality futures program designed to consistently produce high absolute returns adjusted for risk. The program is diversified, short-term and 100% systematic. It utilizes multiple momentum and mean reversion based systems which incorporate price, time, volatility and pattern recognition into its dynamic models. These elements are combined to generate high probability directional trading signals, which attempt to capitalize on the many short-term trends that are present in most types of market environments. Qualified investors have the potential to achieve superior capital appreciation with sound risk management and low correlation to traditional investments, regardless of the overall direction of individual markets or asset classes.

Accounting Notes: The performance of the Adalpha Diversified Short-Term Program shown for the period from April 2003 through July 2019 is the performance of the Advisor's proprietary account, adjusted to reflect the advisory fees charged by such program. The results also are net of brokerage commissions charged to such account, which are believed to be similar to what an institutional investor would be charged. The Advisor's principal commenced trading this proprietary trading account pursuant to the Program prior to registering with the CFTC as a CTA and becoming a Member of the NFA. Beginning January 1, 2007, the proprietary account was 50% notionally funded and beginning December 2011, the proprietary account was 75% notionally funded. While the use of notional funding created greater leverage based on the cash in the proprietary account, the percentage returns in this account reflect what a client would have achieved during the same periods because the rate of return was calculated by dividing net performance into the total account size, inclusive of notional equity. The performance shown for the period from August 2019 through present represents the composite performance results for all customer accounts that traded the Adalpha Diversified Short-Term Program. PLEASE CONTACT ADALPHA FOR ADDITIONAL INFORMATION [email protected]

Trading Methodology
100% Systematic
Trading Style
50% Trend Following
50% Contrarian

Style Sub-Categories
Trend Following
Momentum
Contrarian
Pattern Recognition
Volatility
Quantitative
Trend Anticipatory
Mean Reversion

Holding Period
95% Short Term
5% Intraday
Sector: US
Contracts: Futures

Market Allocation
14% Stock Indices
22% Currencies
14% Financials
12% Metals
14% Energies
14% Agriculturals
3% Meats
7% Softs

Pro-Forma Proprietary Performance adjusted for Advisory Fees from April 2003 through July 2019. Client Performance since August 2019.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR*	Max DD
2024	0.11%	-0.67%	2.47%										1.91%	-0.67%
2023	-2.42%	-1.04%	0.68%	-3.43%	0.68%	-1.06%	-0.12%	-0.83%	0.48%	0.45%	-1.07%	0.36%	-7.32%	-7.5%
2022	1.52%	-2.13%	1.67%	1.61%	4.99%	0.34%	1.13%	-2.05%	-0.15%	-5.14%	-2.32%	1.86%	1.33%	-9.38%
2021	2.38%	4.19%	2.92%	0.75%	-1.50%	-0.80%	-1.18%	-0.56%	0.21%	1.23%	2.15%	-7.93%	1.86%	-8.36%
2020	-0.02%	2.51%	4.92%	-4.34%	-0.82%	4.64%	0.44%	-1.89%	-3.52%	-0.90%	3.06%	-0.03%	4.05%	-6.44%
2019	1.80%	0.22%	1.21%	2.88%	1.05%	-0.44%	1.57%	5.88%	-2.85%	0.10%	0.60%	0.68%	12.7%	-2.85%
2018	4.57%	2.29%	0.59%	1.85%	-0.69%	1.81%	-1.45%	2.64%	0.78%	4.65%	-0.98%	-0.54%	15.52%	-1.51%
2017	-3.46%	-3.60%	4.87%	1.17%	2.98%	-0.11%	4.85%	-5.17%	2.17%	-1.75%	-1.55%	2.46%	2.86%	-6.93%
2016	7.07%	0.52%	5.06%	0.18%	-1.15%	2.68%	-2.15%	-0.52%	-2.35%	-1.05%	-0.61%	-0.17%	7.51%	-6.67%
2015	1.66%	0.32%	1.38%	-1.61%	0.59%	-1.69%	1.85%	-2.58%	-0.69%	-0.98%	-0.74%	-2.19%	-4.68%	-7.82%
2014	0.43%	0.40%	-1.36%	-3.37%	1.85%	2.85%	-1.15%	-1.37%	6.43%	4.43%	1.94%	0.10%	11.18%	-4.69%
2013	-0.19%	2.91%	-0.93%	1.52%	0.96%	-2.43%	-1.46%	0.75%	1.89%	3.61%	-1.04%	0.64%	6.23%	-3.86%
2012	-2.00%	-2.31%	-1.46%	-1.13%	4.53%	2.72%	-2.98%	-1.99%	0.28%	-4.10%	6.16%	-1.60%	-3.88%	-8.55%
2011	-0.50%	1.28%	-4.75%	2.26%	0.67%	-1.42%	1.79%	4.53%	3.30%	-2.36%	-1.75%	1.61%	4.66%	-4.75%
2010	0.01%	-3.52%	-0.57%	-1.15%	7.72%	-0.38%	0.40%	0.67%	1.75%	-0.52%	-2.32%	-1.84%	0.25%	-5.18%
2009	-1.63%	1.03%	1.15%	0.63%	6.26%	-4.20%	-2.68%	0.87%	-1.03%	0.55%	4.59%	-2.49%	3.05%	-6.92%
2008	-0.66%	6.69%	0.68%	-1.78%	0.61%	0.21%	-1.60%	3.94%	-2.88%	22.41%	0.95%	0.11%	28.68%	-2.88%
2007	3.22%	-5.73%	-3.64%	3.80%	2.37%	3.18%	-0.28%	-8.68%	2.33%	7.36%	2.52%	-0.37%	6.08%	-9.31%
2006	3.63%	-0.34%	7.35%	2.76%	-3.13%	2.08%	0.67%	1.38%	-0.75%	1.49%	-0.66%	1.13%	15.61%	-3.13%
2005	-3.39%	-5.79%	0.87%	-3.50%	5.56%	7.13%	3.91%	-4.38%	2.80%	-2.93%	5.82%	3.09%	9.19%	-11.4%
2004	6.98%	4.71%	2.03%	1.58%	5.76%	-1.81%	0.89%	-5.23%	5.58%	-3.31%	6.86%	-3.04%	21%	-6.11%
2003				-0.93%	1.75%	-8.07%	-1.47%	5.45%	4.75%	9.48%	1.96%	8.27%	21.19%	-9.42%

*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: NAV Consulting, Inc.

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.