CTA Profiles Sweet Futures

Start Date: Aug-2021
Mar Return: 20.03%
YTD Return: 15.30%
Annual CROR: 7.23

Worst Drawdown: -19.19%
Losing Streak: -2.57 %
Sharpe Ratio: 0.45
Calmar Ratio: N/A

Min Investment: $0
Currency: US Dollar
Notional Funding: No
NFA Number: 0519012

Margin: 0-12%
Mgt Fee: 0.00%
Incentive Fee: 0.00%
Round Turns: 1,000

Trading Strategy: To use a diversified set of trading strategies to trade a diversified group of the most liquid commodity futures contracts while carefully limiting risk. By trading diversified strategies over a diversified set of commodities and managing the risk allocated an uncorrelated and robust return stream is sought that captures much of the upside in commodity bull markets and limits the downside in the inevitable deep corrections in commodity markets. The strategies traded, the regime identification risk allocation and the risk management have been used and proven while running the QDRA Dynamic Macro strategy since 2007. Whilst this strategy is relatively new as a standalone strategy, the trading models, dynamic risk allocation and systems used to create the strategy have all been part of another program that has generated significant alpha for over 14 years. Risk Strategy: The portfolio is rebalanced monthly, unless volatility rises significantly. Stop loss and profit taking levels are done at the model level so that spreads are able to work effectively.

Trading Methodology
100% Systematic
Trading Style
5% Trend Following
10% Contrarian
40% Spread Trading
45% Technical, Momentum, Seasonal/Cyclical,

Style Sub-Categories
Momentum
Contrarian
Trend Anticipatory
Seasonal
Spread
Relative Value

Holding Period
60% Long Term
35% Medium Term
5% Short Term
Sector:
Contracts:

Market Allocation
20% Metals
20% Energies
25% Agriculturals
15% Meats
20% Softs

Recent Performance - Start Date of Program August 2021

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-4.36%	0.44%	20.03%										15.3%	-4.36%
2023	0.45%	1.90%	-0.63%	-4.02%	-0.70%	-5.67%	-2.10%	-0.51%	2.93%	-4.36%	4.78%	-1.18%	-9.21%	-14.34%
2022	1.08%	-1.42%	2.20%	4.38%	6.19%	4.07%	0.62%	-0.35%	-3.10%	4.31%	-4.69%	-2.35%	10.8%	-6.93%
2021								0.43%	-1.64%	1.83%	2.91%	0.33%	3.86%	-1.64%

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

Chart

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.