CTA Profiles Sweet Futures

Start Date: Mar-2019
Nov Return: -0.80%
YTD Return: -0.93%
Annual CROR: 6.10

Worst Drawdown: -5.38%
Losing Streak: -5.38 %
Sharpe Ratio: 0.97
Calmar Ratio: 1.46

Min Investment: $5,000,000
Currency: US Dollars
Notional Funding: No
NFA Number: 0560690

Margin: 0%
Mgt Fee: 0.00%
Incentive Fee: 30.00%
Round Turns: 0

Trading Strategy: The Quantitative Cipher Program utilizes machine learning techniques to build a diverse set of models that seek to forecast short-term market movements. The strategy developed by Chris and Bland is a quantitative short-term strategy designed to identify top-down market regimes and systematically uncover patterns in price data. The Program utilizes hundreds of models that make hourly and daily predictions of probable market or security direction over the short-term. Risk Strategy: N/A

Accounting Notes: Net returns for the Quantitative Cipher Program are calculated assuming 0% management fees and 30% incentive fees for a representative investor since the March 2019 launch of the Quantitative Cipher Program, which reflects the most fees paid by any investor. Returns for each month for the period from 3/1/19 through 12/31/23 were calculated by summing a daily series of aggregate returns for all client managed accounts in the Quantitative Cipher Program; the returns series then switches on 1/1/24 to the monthly return for the Cipher Fund at 1X leverage. In addition to the fees referenced above, such returns are shown net of all expenses incurred by the Cipher Fund at 1X leverage. A direct investment in the Quantitative Cipher Program returns is not possible; an individual account or particular trading portfolio may have realized more or less favorable results. Information herein that is related to the latest month’s performance is based on estimated data.

Trading Methodology
95% Systematic
5% Discretionary
Trading Style

Style Sub-Categories
Quantitative

Holding Period
Sector: US
Contracts:

Market Allocation

Recent Performance - Start Date of Program March 2019

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	0.33%	1.24%	-1.47%	1.32%	1.94%	0.69%	0.59%	-0.26%	-1.31%	-3.10%	-0.80%		-0.93%	-5.38%
2023	0.54%	1.01%	-0.87%	1.06%	-0.67%	0.15%	0.37%	0.24%	0.26%	-0.34%	0.62%	0.14%	2.53%	-0.87%
2022	2.14%	1.05%	1.96%	2.99%	1.97%	2.07%	0.95%	1.07%	1.41%	2.82%	0.17%	0.55%	20.88%	0%
2021	1.15%	3.26%	-0.98%	0.92%	-0.75%	-3.18%	-0.95%	3.78%	0.45%	-0.29%	-0.02%	2.24%	5.54%	-4.89%
2020	0.94%	2.51%	1.62%	1.94%	0.21%	1.11%	-1.15%	-0.89%	0.60%	-2.22%	-0.28%	0.71%	5.12%	-3.9%
2019			0.79%	1.38%	1.87%	1.13%	0.66%	-4.70%	2.31%	-1.34%	0.63%	0.59%	3.17%	-4.7%

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.

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.