CTA Profiles Sweet Futures

Start Date: Jan-2020
May Return: 0.97%
YTD Return: 0.46%
Annual CROR: 25.12

Worst Drawdown: -9.65%
Losing Streak: -1.47 %
Sharpe Ratio: 1.37
Calmar Ratio: N/A

Min Investment: $2,000,000
Currency: US Dollars
Notional Funding: No
NFA Number: 0271756

Margin:
Mgt Fee: 1.00%
Incentive Fee: 15.00%
Round Turns: 0

Trading Strategy: Rotella Commodity Beta Plus Carry Program ("Program") is a systematic long-short commodity futures program that seeks to capture asymmetric exposure to a broad set of liquid commodity futures. The Program tends to have higher exposure when commodities are trending upwards, and when they have high upside volatility. Seeking to retain a net positive carry exposure can help offset the drag from actively re-balancing the portfolio. The Program uses a combination of term structure, momentum and relative value information to determine net positioning. Multiple contract expiries are used to form a multi-underlying calendar spread across a diverse set of instruments in the energy, precious metals, and agriculture sub-sectors. Legs tend to be added (subtracted) during periods of market distress, when they are at a discount (premium). On average, the Program targets a positive correlation to an equally-weighted commodity benchmark, and enforces this with a statistical factor model.

Accounting Notes: live trading performance starting January 20, 2022 reflects unaudited, actual returns of proprietary and client accounts invested in the Program, net of applicable fees and expenses. Individual client experience may vary, due to timing of investment and actual fees and expenses paid. The performance record for January 2022 is a combination of the above and the unaudited, hypothetical returns of a single hypothetical account with an initial and constant investment amount of $500k (profits were not reinvested for purpose of computing performance), net of applicable fees and expenses.

Trading Methodology
100% Systematic
Trading Style
100% Long Short

Style Sub-Categories
Momentum
Relative Value

Holding Period
100% Short Term
Sector: Global
Contracts: Futures

Market Allocation
100% Diversified

Please See Accounting Notes

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2023	1.39%	0.30%	0.26%	-2.42%	0.97%								0.46%	-2.42%
2022	5.60%	3.40%	1.55%	-3.79%	6.19%	12.80%	-6.26%	-3.61%	5.38%	1.21%	1.86%	9.02%	36.74%	-9.65%

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

Chart

Track Record Prepared By: N/A

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.