CTA Profiles Sweet Futures

Start Date: Jan-2019
Sep Return: 0.00%
YTD Return: -5.88%
Annual CROR: N/A

Worst Drawdown: -6.05%
Losing Streak: -6.05 %
Sharpe Ratio: 0.44
Calmar Ratio: N/A

Min Investment: $330,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0509058

Margin: 2-5%
Mgt Fee: 0.25%
Incentive Fee: 20%
Round Turns: 2,000

Trading Strategy: The Ascinaa program offered is a program trading highly liquid G10 currency futures. It is a statistical pattern recognition strategy that quantitively analyses how the U.S. Dollar is correlated to price movements, that are unique within the G10 currency markets. Risk Strategy: There is a heavy bias in the program to manage drawdowns. Through our understanding of the monthly historical data, we feel we are able to recover relatively quickly if drawdowns occur in any given month. Within the development, positions are strategically placed concurrent with relatively tight stop loss orders on larger than average margin to equity ratio trades. Some stages will require minor margin requirements (in the region of approximately 0.7â€“3%) and these stop loss orders will have a somewhat different and larger separation.

Trading Methodology
80% Systematic
20% Discretionary
Trading Style
100% Pattern Recognition

Style Sub-Categories
Pattern Recognition

Holding Period
70% Short Term
30% Intraday
Sector: US
Contracts: Futures

Market Allocation
100% Currencies

Recent Performance - Start Date of Program January 2019

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR*	Max DD
2024	0.00%	0.12%	0.03%	0.02%	-0.72%	0.00%	0.00%	-5.33%	0.00%				-5.88%	-6.01%
2023	0.32%	0.00%	0.41%	0.07%	0.08%	0.16%	0.23%	0.00%	0.36%	0.00%	-0.09%	0.34%	1.88%	-0.09%
2022	0.02%	0.19%	0.09%	0.16%	0.63%	-0.03%	0.69%	0.24%	0.17%	0.00%	0.10%	0.02%	2.28%	-0.03%
2021	0.63%	-0.62%	-0.27%	0.10%	1.22%	0.06%	0.29%	1.20%	0.07%	1.01%	0.06%	0.25%	4%	-0.9%
2020	0.05%	0.00%	0.00%	0.01%	1.37%	0.87%	0.08%	0.05%	0.32%	0.77%	0.65%	0.06%	4.23%	-0.01%
2019	0.70%	0.03%	0.48%	0.43%	0.54%	0.20%	0.47%	2.35%	0.33%	0.06%	0.02%	0.76%	6.37%	0%

*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: Lisa Casagni, 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.