CTA Profiles Sweet Futures

Start Date: Sep-2020
Jul Return: -1.62%
YTD Return: 5.68%
Annual CROR: 6.48

Worst Drawdown: -16.28%
Losing Streak: -1.62 %
Sharpe Ratio: 0.57
Calmar Ratio: N/A

Min Investment: $100,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0514858

Margin: 5-25%
Mgt Fee: 1%
Incentive Fee: 20%
Round Turns: 3,000

Trading Strategy: The Cohalo Dynamic Volatility Strategies - Futures program is a futures trading program incorporating elements of systematic and discretionary trading, based on instruments and industry knowledge utilized by the Trading Principal. The program will primarily take long and short positions on the VIX futures curve.

The manager operates a securities (equities)-based implementation of the DVS strategy with an inception of July 2018 that achieved attractive performance through the inception of this futures-based implementation. Tracking error between the implementation methods is expected to be minimal. Please contact the manager for more details. Risk Strategy: N/A

Accounting Notes: Returns from September 1 2020 to December 31 2020 are fully funded proprietary account results, adjusted to reflect pro forma fees of 1% management and 20% performance. Customer composite began January 2021. All returns shown are net of fees, commissions, and related accruals and represent the composite performance of individual managed accounts using the OAT method of performance accounting. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

Trading Methodology
65% Systematic
35% Discretionary
Trading Style
100%

Style Sub-Categories
Volatility

Holding Period
50% Medium Term
50% Short Term
Sector: US
Contracts: Futures

Market Allocation
100% VIX

Pro-Forma Proprietary Results from Sept 2020 to Dec 2020 are fully adjusted for a 1% Management Fee and 20% Incentive Fee. Customer Results from Jan 2021.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	0.82%	2.29%	0.55%	0.07%	2.97%	0.53%	-1.62%						5.68%	-1.62%
2023	2.64%	-0.76%	-0.30%	3.40%	0.78%	4.12%	1.96%	0.83%	-0.87%	-1.52%	6.03%	1.30%	18.78%	-2.38%
2022	-8.73%	-6.95%	2.52%	-2.56%	0.60%	-1.91%	3.67%	-0.40%	-0.18%	-0.86%	3.12%	0.57%	-11.28%	-16.28%
2021	1.20%	2.99%	4.86%	2.47%	-1.75%	3.45%	-2.81%	2.64%	-5.05%	4.83%	-3.33%	4.65%	14.33%	-5.29%
2020									1.42%	-1.36%	0.21%	0.20%	0.45%	-1.36%

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

Chart

Track Record Prepared By: Self-Prepared

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.