CTA Profiles Sweet Futures

Start Date: Sep-2015
Apr Return: 0.34%
YTD Return: 3.39%
Annual CROR: 13.30

Worst Drawdown: -2.17%
Losing Streak: 0.00 %
Sharpe Ratio: 3.25
Calmar Ratio: N/A

Min Investment: $1,000,000
Currency: US Dollar
Notional Funding: No
NFA Number: 0500593

Margin: 10% to 30%
Mgt Fee: 0.02
Incentive Fee: 0.2
Round Turns: 60,000

Trading Strategy: Neutral Plus is an extension of Neutral, and augments Neutral by fully utilizing daily margin limits. After July 2022, Neutral Plus increases additional 0DTE spreads on expiration days. Since February 2023, the Neutral Plus also added box option spreads on S&P500 futures while generating extra profits. A box option spread is a "risk-free" arbitrage strategy to capture the benefits of Fed Funds interest rate. Risk Strategy: Neutral and Neutral Plus always place risk control as their highest priority. All Neutralâ€™s spreads comprise both long and short out-of-the-money puts, that are well hedged in terms of net Delta and net Vega. Especially, they are managed to be about "Vega neutral", and optimized with net Vega to be slightly positive. To prevent serious losses from events like flash crashes, any at-risk spread will be fully hedged with the underlying ES and/or related options so that said hedging would offset all of losses at expiration. With such risk control, both Neutral and Neutral Plus have resulted in a low worst peak-to-valley draw-down.

Accounting Notes: Performance from September 2015 through June 2022 represents the performance of the Neutral Program. Performance from July 2022 represents the performance of the Neutral Plus Program.

Trading Methodology
95% Systematic
5% Discretionary
Trading Style
80% Spread Trading
20% Arbitrage, and hedging

Style Sub-Categories
Arbitrage
Option Spread
Quantitative
Absolute Return

Holding Period
10% Long Term
5% Medium Term
5% Short Term
80% Intraday
Sector: US
Contracts: Options

Market Allocation
100% Stock Indices

Performance from September 2015 through June 2022 represents the performance of the Neutral Program. Performance from July 2022 represents the performance of the Neutral Plus Program.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	0.50%	1.87%	0.64%	0.34%									3.39%	0%
2023	1.73%	1.73%	4.02%	3.03%	1.62%	0.86%	1.82%	1.59%	1.41%	1.56%	0.44%	0.57%	22.33%	0%
2022	1.26%	0.81%	0.34%	0.75%	1.20%	0.89%	0.01%	2.25%	1.75%	0.65%	0.11%	0.94%	11.5%	0%
2021	0.56%	0.30%	0.25%	0.30%	0.83%	0.72%	0.47%	0.39%	1.32%	0.19%	0.17%	0.77%	6.45%	0%
2020	2.59%	3.06%	0.06%	1.60%	-1.44%	-0.05%	0.34%	0.68%	0.71%	0.36%	0.54%	0.46%	9.2%	-1.49%
2019	0.50%	0.11%	0.60%	0.97%	1.78%	1.63%	-2.17%	2.33%	0.26%	0.44%	0.23%	0.65%	7.5%	-2.17%
2018	1.99%	2.24%	1.76%	1.09%	0.13%	1.26%	2.01%	1.89%	2.47%	-0.60%	1.04%	2.55%	19.29%	-0.6%
2017	0.35%	0.28%	1.13%	1.55%	-1.65%	0.59%	0.22%	2.87%	2.50%	2.90%	2.99%	1.24%	15.91%	-1.65%
2016	1.58%	0.88%	0.53%	1.86%	0.40%	2.36%	0.28%	1.06%	-0.62%	1.53%	3.33%	0.33%	14.32%	-0.62%
2015									0.57%	1.17%	1.92%	2.19%	5.97%	0%

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

Chart

Track Record Prepared By: Unkar Systems

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.