CTA Profiles Sweet Futures

Start Date: Jan-2015
Mar Return: 1.71%
YTD Return: 1.47%
Annual CROR: 5.94

Worst Drawdown: -13.22%
Losing Streak: -5.32 %
Sharpe Ratio: 0.52
Calmar Ratio: N/A

Min Investment: $1,000,000
Currency: US Dollars
Notional Funding: Yes
NFA Number: 0516343

Margin: 3 - 15%
Mgt Fee: 0.00%
Incentive Fee: 0.00%
Round Turns: 1,000

Trading Strategy: The J8 Global Absolute Return Strategy (“J8 GARS”) is a liquid alternative investment solution. Capital preservation and capital growth are at its core. The program’s portfolio diversification properties and alternative streams of returns make it a compelling contributor to existing investments. J8 GARS only trades highly liquid exchange traded futures on commodity, currency, and government bond markets. It captures distinct and independent streams of returns within a systematic and formulaic investment process. The program is derived from J8’s proprietary research. Risk Strategy: The risk strategy consists of four independent elements:
a) creation of rolling futures time series as underlying assets to avoid physical delivery and to choose a consistent investment point on the futures contract curve,
b) risk weighted asset allocation to allocate more to the less risky ad less to the more risky markets,
c) target volatility to manage the embedded leverage dynamically with the objective to achieve for the overall portfolio a constant long-term volatility profile, and
d) drawdown control to reduce risk of outsized drawdowns.

Accounting Notes: Live performance of the J8 Global Absolute Return Strategy (J8 GARS) since 1st January 2015. From Jan15 to Feb18, J8 GARS was implemented in the J8 Futures Fund (MT7000006235) with UCITS constraints. From Feb18 to May19, J8 GARS was implemented in the J8 Global Absolute Return UCITS Fund (LU1604204997) with synthetic replication of the commodity component as ESMA compliant financial index swaps. The performance of J8 GARS in these investment funds serves as basis for this performance calculation from Jan15 until and including May19 whereby the funds’ structural and operational expenses and any interest earned on non-margin cash are excluded from this calculation, but 0.5% p.a. management fee and 12.5% high-water-mark performance fee are included as an average fee estimate. Since Jun19, J8 GARS is implemented in separated managed accounts (SMA) only and the performance displayed here is the same as reported to the National Futures Association (NFA). The Net Asset Value (NAV) of J8 GARS and SG CTA Index are calculated using USD 100 as starting value on 1st January 2015. *Trading in the strategy was paused during May20 and Jun20

Trading Methodology
100% Systematic
Trading Style
50% Trend Following
20% Spread Trading
30% 15% FX Carry
15% Commodity Basis

Style Sub-Categories
Fundamental
Arbitrage
Quantitative
Spread
Long Short
Absolute Return
Relative Value

Holding Period
60% Long Term
25% Medium Term
15% Short Term
Sector: Global
Contracts: Futures

Market Allocation
33% Currencies
33% Financials
20% Metals
8% Energies
8% Agriculturals
8% Softs

Please see Accounting Notes

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-3.50%	3.38%	1.71%										1.47%	-3.5%
2023	2.38%	-0.90%	-3.39%	3.35%	0.36%	0.13%	-2.08%	2.92%	4.83%	-3.40%	-2.07%	-1.36%	0.36%	-6.69%
2022	2.98%	6.82%	5.98%	3.36%	2.46%	-2.78%	-1.49%	2.21%	-1.79%	2.27%	-2.53%	-2.14%	15.8%	-6.22%
2021	-0.51%	2.99%	-0.80%	5.20%	2.62%	-0.72%	-0.50%	-1.35%	2.66%	3.09%	-4.67%	1.03%	9%	-4.67%
2020	-3.79%	0.06%	10.26%	0.02%	0.00%	0.00%	2.85%	-0.58%	-3.44%	1.14%	0.65%	5.08%	12.15%	-4%
2019	0.26%	2.85%	0.87%	0.49%	-4.89%	1.57%	-0.29%	-0.58%	-3.84%	-2.51%	1.01%	3.14%	-2.25%	-10.23%
2018	2.10%	-1.72%	0.65%	0.89%	4.10%	-1.62%	-1.81%	-0.58%	2.51%	-2.31%	-2.32%	-0.56%	-0.91%	-6.58%
2017	-0.47%	1.02%	-1.31%	-1.79%	-1.36%	-0.67%	2.40%	0.04%	1.27%	1.80%	1.43%	3.67%	6.01%	-5.05%
2016	3.96%	3.47%	-0.60%	-1.01%	0.20%	4.65%	2.53%	-1.03%	1.36%	-2.52%	-0.35%	-3.45%	7.05%	-6.22%
2015	9.00%	-1.17%	1.86%	-6.47%	-0.17%	-3.24%	1.86%	-4.94%	-0.80%	3.13%	8.67%	0.82%	7.59%	-13.22%

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

Chart

Track Record Prepared By: CTA Services

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.