CTA Profiles Sweet Futures

Start Date: Sep-2015
Nov Return: 1.06%
YTD Return: 7.24%
Annual CROR: 12.86

Worst Drawdown: -3.52%
Losing Streak: 0.00 %
Sharpe Ratio: 2.97
Calmar Ratio: 3.92

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

Margin: 10% to 30%
Mgt Fee: 0.00%
Incentive Fee: 0.00%
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 has increased additional trading on days of expiration. Since February 2023, Neutral-Plus has also added box option spreads on S&P500 futures, generating extra profits. A box option spread is a "risk-free" arbitrage strategy to capture the benefits of Fed Funds interest rate. Risk Strategy: Risk control is the highest priority for Neutral-Plus and Neutral. Portfolios are initially hedged to be "market neutral" with both long and short legs of similar value. Notably, Neutral strategies are managed to be "Vega neutral" and optimized with a slightly positive net Vega exposure. To mitigate the risk of an extreme downside market move, further risk management measures will be implemented to fully hedge relevant short legs with corresponding index futures. At expiration, the hedging futures positions would fully offset potential losses. With such risk control measures, Neutral has achieved a low worst peak-to-valley drawdown and has been repeatedly ranked among the top performers by AutumnGold and BarclayHedge.

Accounting Notes: The rates of monthly return are calculated in accordance with CFTC Regulation 4.35 and NFA rule 2-34, net of all fees.

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%	0.95%	1.09%	1.21%	-3.52%	1.40%	1.58%	1.06%		7.24%	-3.52%
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 $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions.

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.