CTA Profiles Sweet Futures

Start Date: Jun-2023
Dec Return: %
YTD Return: %
Annual CROR: N/A

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

Min Investment: $2,000,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0398233

Margin: 10%
Mgt Fee: 5.00%
Incentive Fee: 20.00%
Round Turns: 0

Trading Strategy: The Takah? Spread Momentum Program trades intra-market commodity calendar spreads. It is a quantitative, process-driven system which trades spreads as well as options to better manage the risk on certain open positions. Generically, the program is designed to buy spreads which show positive recent price momentum coupled with a particular level of return skewness – and vice versa. Numerous single spread permutations are analyzed for each market, essentially across the entire liquid futures curve. The Spread Momentum Program is part of the broader Takah? Global Quantiative group, which is managed by a three PM team led by Moritz Seibert, who has more than 20 years experience in systematic and derivatives trading.

Accounting Notes: Performance is live client performance net of commissions and a pro forma 1% management fee and 25% incentive fee. YTD returns are calculated for capital invested from January 1 and don't reflect compounding. Actual returns may differ from reported results due to differences in contribution dates, commissions, and fee structures.1 Any indices and other financial benchmarks shown are provided for illustrative purposes only, are unmanaged, reflect reinvestment of income and dividends and do not reflect the impact of advisory fees.

Trading Methodology
100% Discretionary
Trading Style
100% Spread Trading

Style Sub-Categories
Fundamental
Relative Value

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

Market Allocation
100% Diversified

Recent Performance - Start Date of Program May 1974

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

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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.