CTA Profiles Sweet Futures

Start Date: Apr-2000
Nov Return: 2.77%
YTD Return: 13.56%
Annual CROR: 5.06

Worst Drawdown: -48.27%
Losing Streak: -10.70 %
Sharpe Ratio: 0.29
Calmar Ratio: 0.39

Min Investment: $1,000,000
Currency: US Dollars
Notional Funding: Yes
NFA Number: 0371845

Margin: 18%
Mgt Fee: 2.00%
Incentive Fee: 20.00%
Round Turns: 1,500

Trading Strategy: The Futures Trading Program is a proprietary systematic long-term trend following system developed by Scot Lowry. Mr. Lowry converted his knowledge and research of the markets into a mechanical trading approach. The Program looks for specific turning points which signal new trends, and attempts to enter trades earlier than most long-term technical systems. The Program is 99% mechanical, based on technical data, using price information to signal entry and exit points. The only discretion used is to add or delete markets traded due to liquidity issues. The Futures Trading Program trades on-exchange futures and currencies in Asia, Europe and the United States. It also trades Metal Contracts on the LME exchange in London. The Futures Trading Program employs its own built in risk management procedures to limit risk to individual trades and provide overall portfolio protection. Risk Strategy: The Futures Trading Program employs its own built in risk management procedures to limit risk to individual trades and provide overall portfolio protection.

Accounting Notes: The performance listed is based on the performance of an exempt pool (L&E Investment Group, L.P. is an exempt pool under CFTC rule 4.13). This pool trades in Futures Program that was created and operated by Scot Lowry. The capsule shows only the performance of the Futures Program. The account was funded with an initial amount of $210,000 actual and $290,000 of notional funds ($500,000 nominal). In November 2001 when the actual funds reached 393,000 an additional notional amount was added of $250,000 bringing the total account to approximately 933,000 (at that point). On January 1, 2004 $360,000 of notional funding was added, bringing the total notional funding to $900,000. On August 1, 2008 the notional funding was reduced by $300,000 bringing the total notional funding level to $600,000.

Trading Methodology
95% Systematic
5% Discretionary
Trading Style
90% Trend Following
10% Contrarian

Style Sub-Categories
Trend Following
Pattern Recognition

Holding Period
100% Long Term
Sector: Global
Contracts: Futures

Market Allocation
13% Stock Indices
13% Currencies
15% Financials
15% Metals
7% Energies
15% Agriculturals
7% Meats
15% Softs

Performance of the Futures Program of the L&E Investment Group, L.P. See Accounting Notes for Details.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-2.73%	9.95%	9.75%	4.66%	-6.27%	-0.58%	0.49%	0.92%	0.56%	-5.35%	2.77%		13.56%	-10.05%
2023	-0.67%	-2.47%	-2.92%	-1.69%	2.99%	-3.77%	0.90%	-4.23%	1.96%	6.89%	1.78%	2.10%	0.28%	-11.45%
2022	4.20%	8.49%	6.50%	8.13%	-4.68%	2.86%	-5.53%	-2.79%	2.86%	-3.34%	0.99%	-1.04%	16.47%	-10.53%
2021	2.57%	5.35%	-2.36%	7.98%	-1.99%	-2.50%	-1.87%	-3.03%	0.47%	2.66%	-1.71%	-4.74%	0.05%	-12.18%
2020	-3.34%	4.39%	2.74%	-4.65%	0.36%	-3.68%	2.79%	2.50%	-0.11%	3.99%	0.22%	7.23%	12.38%	-7.83%
2019	-4.59%	2.35%	0.19%	3.92%	2.04%	-1.43%	-2.24%	7.66%	-5.26%	-0.88%	2.94%	2.35%	6.49%	-6.09%
2018	2.90%	-0.96%	1.22%	-3.09%	-1.83%	3.20%	2.54%	-1.80%	1.65%	0.73%	-0.72%	2.87%	6.65%	-4.86%
2017	-3.39%	-0.27%	-2.08%	-0.21%	-4.35%	1.45%	0.51%	-1.57%	-2.77%	0.97%	-0.10%	1.04%	-10.44%	-12.12%
2016	3.44%	4.75%	-3.47%	-1.89%	-13.51%	4.60%	5.51%	-4.26%	-5.24%	-7.91%	-0.43%	-1.08%	-19.4%	-25.61%
2015	7.68%	2.24%	-1.01%	-1.49%	-8.32%	-0.24%	-4.22%	-1.01%	7.02%	-11.76%	13.37%	-11.61%	-11.9%	-20.15%
2014	-3.68%	5.35%	-2.67%	0.96%	2.74%	-5.03%	9.61%	2.04%	4.60%	-1.89%	7.11%	5.81%	26.56%	-5.03%
2013	-1.41%	-0.48%	6.73%	-4.18%	-2.07%	-2.94%	-9.29%	-5.09%	-5.83%	-0.91%	-1.19%	1.44%	-23.22%	-27.71%
2012	1.87%	1.98%	-6.52%	-6.39%	16.17%	-5.79%	1.07%	0.41%	0.10%	-3.16%	-2.34%	0.62%	-3.82%	-12.49%
2011	5.22%	-2.09%	-7.07%	-2.20%	-7.43%	-9.13%	8.64%	8.79%	10.43%	-15.05%	19.73%	-10.73%	-6.66%	-25.15%
2010	-3.20%	-5.42%	9.35%	-4.61%	2.93%	-3.68%	1.41%	2.25%	11.54%	13.21%	-7.32%	11.52%	28.14%	-8.45%
2009	-3.53%	-0.11%	-11.24%	-4.68%	13.36%	-6.58%	3.35%	1.60%	0.15%	-5.52%	7.35%	-1.88%	-9.66%	-18.47%
2008	7.82%	22.84%	-6.53%	-7.33%	7.35%	1.63%	-5.85%	7.83%	14.68%	34.13%	7.32%	5.23%	120.75%	-13.38%
2007	0.55%	-2.23%	3.51%	3.59%	-2.66%	6.93%	0.58%	-4.45%	7.97%	-1.08%	6.87%	-2.25%	17.58%	-4.45%
2006	6.10%	-2.08%	0.34%	1.60%	2.21%	-5.23%	-6.01%	-1.27%	2.45%	-0.50%	1.84%	1.21%	0.03%	-12.06%
2005	-6.85%	3.88%	-2.00%	-4.27%	0.03%	0.67%	-1.82%	-8.19%	1.91%	2.55%	4.12%	5.03%	-5.82%	-17.6%
2004	5.65%	5.77%	0.72%	-8.03%	-10.36%	-8.07%	-4.92%	-7.94%	2.54%	-1.97%	-1.47%	-0.40%	-26.35%	-34.56%
2003	4.35%	6.22%	-12.10%	3.73%	12.26%	-12.09%	6.06%	3.60%	-1.18%	8.83%	-5.26%	6.13%	18.5%	-12.1%
2002	1.78%	-6.77%	1.46%	0.57%	1.25%	13.42%	7.53%	0.61%	5.53%	-12.31%	-2.48%	2.50%	11.27%	-14.48%
2001	5.32%	-4.46%	14.02%	0.44%	0.23%	2.22%	1.79%	3.97%	9.66%	2.42%	-7.53%	-3.69%	24.98%	-10.94%
2000				-0.04%	-2.92%	-1.14%	-0.87%	0.54%	-2.59%	3.11%	0.71%	8.19%	4.64%	-6.86%

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

Chart

Track Record Prepared By: Futures Accounting & Compliance

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.