CTA Profiles Sweet Futures

Start Date: Jan-1987
Mar Return: 0.97%
YTD Return: -0.16%
Annual CROR: 10.21

Worst Drawdown: -27.11%
Losing Streak: -8.48 %
Sharpe Ratio: 0.58
Calmar Ratio: N/A

Min Investment: $20,000,000
Currency: US Dollar
Notional Funding: Yes
NFA Number: 0237054

Margin: 10%
Mgt Fee: 1.00%
Incentive Fee: 20.00%
Round Turns: 1,500

Trading Strategy: The Advisor utilizes a multi-system algorithmic trend following approach to the markets. Occasionally, discretion and judgment may be used for risk management purposes or in connection with order entry timing. The systems used have undergone an evolutionary development, some for protracted periods. Many of the current systems bear little resemblance to their prototypes. The systems are subject to change if the methodical principles indicate that it is warranted. The markets traded have been chosen for historical performance, and for customary liquidity.

Trading Methodology
100% Systematic
Trading Style
95% Trend Following
5% Contrarian

Style Sub-Categories
Trend Following
Pattern Recognition

Holding Period
33% Medium Term
62% Short Term
5% Intraday
Sector: Global
Contracts: Futures

Market Allocation
10% Stock Indices
25% Currencies
37% Financials
7% Metals
10% Energies
7% Agriculturals
4% Softs

Recent Performance - Start Date of Program August 1991

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-1.31%	0.19%	0.97%										-0.16%	-1.31%
2023	1.36%	-1.35%	-0.70%	-0.45%	-2.64%	-0.16%	-0.77%	-4.23%	0.84%	-1.53%	-1.66%	4.64%	-6.69%	-12.03%
2022	0.61%	3.56%	6.01%	1.23%	-0.89%	0.94%	1.99%	-1.46%	1.89%	-1.07%	-0.37%	-0.31%	12.53%	-1.75%
2021	-4.00%	5.79%	-2.09%	-1.03%	0.17%	-0.69%	0.51%	-2.94%	0.06%	6.88%	-1.35%	-4.93%	-4.22%	-6.21%
2020	3.97%	4.06%	1.19%	0.44%	-1.35%	1.96%	4.45%	-2.16%	-1.09%	-3.06%	0.91%	-0.25%	9.1%	-6.19%
2019	-1.23%	-1.17%	-0.41%	-0.05%	0.15%	-0.46%	1.96%	6.35%	-6.05%	-2.01%	-3.61%	-0.94%	-7.67%	-12.1%
2018	8.58%	-2.96%	-0.85%	-0.66%	-1.47%	0.29%	0.80%	0.35%	1.56%	-1.11%	-0.84%	1.71%	5.06%	-5.84%
2017	-3.45%	-1.17%	-1.93%	1.87%	0.21%	2.34%	-0.54%	0.97%	-0.18%	3.48%	-2.04%	3.40%	2.72%	-6.42%
2016	7.76%	3.30%	-2.13%	0.31%	-2.06%	8.53%	-0.03%	-8.80%	-2.04%	-2.71%	1.27%	3.68%	5.98%	-13.11%
2015	4.72%	-0.46%	-0.66%	-1.66%	2.13%	-4.82%	0.22%	-4.69%	3.06%	-0.68%	1.62%	-7.41%	-8.95%	-13.05%
2014	-2.38%	7.11%	-5.02%	0.72%	1.72%	0.70%	-4.36%	5.40%	1.16%	5.44%	3.63%	1.50%	15.86%	-6.29%
2013	3.26%	-1.27%	0.85%	0.45%	-5.03%	-4.53%	-0.73%	0.57%	1.47%	-0.10%	3.89%	2.34%	0.76%	-9.99%
2012	1.36%	1.68%	-2.47%	1.61%	8.23%	-6.71%	8.29%	1.72%	-0.95%	-7.91%	0.28%	0.01%	3.92%	-8.78%
2011	-3.24%	3.07%	-1.48%	9.04%	-4.26%	-5.00%	0.85%	-0.32%	-8.07%	-3.92%	-2.53%	0.03%	-15.64%	-21.28%
2010	-6.92%	-1.12%	0.52%	2.55%	2.73%	5.53%	-1.87%	3.63%	5.09%	3.62%	-2.35%	8.45%	20.6%	-7.96%
2009	-1.38%	-0.23%	0.86%	-1.79%	3.41%	-5.06%	1.26%	0.48%	2.35%	-4.85%	6.74%	-5.64%	-4.49%	-5.92%
2008	1.85%	10.01%	0.21%	0.14%	1.70%	3.10%	-5.47%	-2.71%	2.69%	0.17%	1.20%	0.25%	13.15%	-8.03%
2007	0.37%	0.67%	-4.07%	3.19%	1.70%	5.21%	1.23%	-1.76%	11.81%	5.39%	3.06%	3.76%	34.12%	-4.07%
2006	0.67%	-2.13%	-4.36%	4.92%	1.34%	1.83%	-3.54%	1.86%	-1.79%	0.67%	5.95%	-2.33%	2.54%	-6.4%
2005	-3.38%	0.23%	1.33%	-1.79%	6.16%	3.25%	-0.20%	3.72%	-1.86%	0.31%	0.64%	0.34%	8.69%	-3.63%
2004	-2.22%	4.29%	-0.76%	-4.36%	0.05%	-3.64%	-2.69%	4.40%	0.85%	5.96%	4.38%	-1.13%	4.55%	-10.96%
2003	1.56%	7.26%	-0.58%	0.31%	4.78%	-0.80%	-1.55%	0.44%	0.15%	-0.70%	0.86%	2.70%	15.02%	-2.45%
2002	2.69%	-4.55%	-0.99%	3.92%	-0.68%	2.59%	2.24%	-0.34%	-1.01%	-1.90%	-1.40%	10.79%	11.07%	-5.49%
2001	1.63%	-1.07%	0.40%	-0.48%	3.40%	-3.28%	-1.42%	5.87%	-3.28%	5.58%	-2.36%	0.76%	5.34%	-4.65%
2000	-2.14%	-0.61%	-1.94%	-0.29%	1.88%	-1.45%	-2.71%	0.43%	1.48%	0.83%	12.30%	10.02%	17.94%	-7.11%
1999	1.49%	5.12%	-6.18%	-2.59%	-2.43%	1.43%	5.18%	-5.62%	3.31%	-2.86%	0.04%	-0.73%	-4.54%	-10.83%
1998	4.77%	2.48%	-3.20%	-5.17%	1.89%	1.57%	-1.59%	25.28%	0.18%	0.39%	-0.15%	0.65%	27.1%	-8.2%
1997	12.66%	6.91%	6.00%	1.24%	1.89%	5.39%	9.18%	-4.11%	6.51%	-0.41%	-3.54%	-2.35%	45.18%	-6.19%
1996	8.72%	-5.40%	2.60%	17.48%	-9.28%	-3.32%	-4.28%	-1.20%	17.55%	16.24%	11.43%	-5.51%	47.94%	-17.05%
1995	-1.39%	8.85%	14.13%	3.21%	20.13%	-1.32%	-10.31%	-3.27%	-2.80%	-5.58%	9.24%	13.01%	47.33%	-21.43%
1994	-18.30%	-0.70%	10.58%	2.17%	5.05%	1.66%	-0.10%	-8.59%	13.36%	-10.50%	8.74%	-10.45%	-11.69%	-18.87%
1993	-1.38%	9.63%	-8.28%	9.41%	3.81%	12.13%	9.41%	4.85%	-6.67%	1.74%	4.90%	9.45%	57.95%	-8.28%
1992	-15.27%	-7.56%	-5.70%	2.22%	-3.45%	9.35%	11.43%	7.51%	-1.18%	-4.35%	7.70%	-4.60%	-7.26%	-27.11%
1991								-1.00%	6.64%	0.25%	2.09%	27.92%	38.22%	-1%

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

Chart

Track Record Prepared By: NAV Consulting, Inc.

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.