PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. Actual results for this managed futures program may vary, see disclaimers below.

VAMI presented above for this manged futures program is actual monthly compound performance net of all fees (commission, management and incentive fees below) as reported by the CTA. Please see accounting notes (if any) below. Index performance is based on monthly data. Price returns used for the S&P 500, total returns (price + distributions) used from the iShares US Aggregate Bond ETF (AGG) to simulate the performance of a diversified portfolio of bonds and net ror used for the SocGen CTA Index. The S&P 500 and SocGen CTA Index are not directly investable. Please consider that any index performance is for the constituents of that index only and does not represent the entire universe of possible investments within that asset class. Limitations and biases to indices include survivorship, self reporting, instant history, etc.

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Historical Performance

Performance Summary

CTA S&P 500 SGCTA AGG
VAMI $1,435 $1,421 $1,040 $1,103
Cumulative ROR 43.52% 42.09% 4.02% 10.30%
CAGR 13.84% 11.77% 1.51% 3.20%
Max Drawdown -13.90% -20.00% -11.08% -1.64%
Date of Max DD 04-2019 03-2020 01-2019 03-2020
Current DD 0.00% 0.00% -1.52% -0.64%
% Losing Months 34.21% 28.95% 47.37% 39.47%
Worst Month -5.83% -12.51% -6.33% -0.78%
Max Run Up 43.52% 42.09% 5.63% 11.01%
% Winning Months 63.16% 68.42% 50.00% 57.89%
Best Month 12.29% 12.68% 5.58% 1.73%
Average Gain 3.46% 3.82% 1.94% 0.69%
Average Loss -3.04% -5.35% -1.77% -0.35%
Average Month 1.15% 1.07% 0.13% 0.26%
Monthly Standard Deviation 4.30% 5.28% 2.37% 0.65%
Sharpe Ratio 0.92 0.70 0.19 1.38
Sortino Ratio 0.51 0.27 0.08 0.95
Ulcer Index 0.92 0.93 2.40 0.11
UPI Index 4.31 3.98 0.19 7.96
Mar Ratio 1.00 0.59 0.14 1.95
Downside Deviation 2.12% 3.49% 1.58% 0.28%
Kurtosis 0.4972 0.6314 0.5254 -0.7493
Skew 0.6692 -0.4367 -0.0469 0.4281
Correlation ----- 0.06 -0.03 0.01
R^2 ----- 0.00 0.00 0.00
Beta ----- 0.05 -0.06 -0.06
Alpha ----- 1.02% 1.07% 1.03%
Annualized Alpha ----- 12.98% 13.66% 13.11%
Commission $10
Management Fee 0%-2%
Incentive Fee 20%-25%
Minimum Account $100K
Investor Restrictions None

Monthly Non-Compounded ROR

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Year DD
2018 1.03% -5.83% -0.25% 3.55% 2.26% 5.47% 0.56% 5.16% -0.06% 2.46% 0.43% 0.48% 15.26% -6.08%
2019 0.18% -4.05% -4.87% -4.98% 0.11% 1.23% 0.71% 2.54% 3.31% -1.61% -0.45% 3.96% -3.92% -13.90%
2020 6.42% -3.72% 0.01% 4.44% 8.95% 11.32% 0.74% -3.24% 5.48% -4.32% -4.19% -2.01% 19.89% -10.51%
2021 12.29% 12.29% 0.00%

RISK MANAGEMENT

Positions are sized to volatility, with larger positions taken in lower volatility markets and smaller positions in higher volatility markets. A variety of range based stops are employed at the system level for each system to protect against large losses for any given trade in the model, as well as an overall portfolio stop employed at the model level. For each $100,000 trading unit, a maximum of 3 contracts can be held overnight. While the program is traded systematically, we apply a discretionary overlay to account for risk factors which are not contemplated by the trading models, such as event risk.

Drawdown ROR above is based on actual monthly non-compound returns net of all fees as reported by the CTA and compound ROR as reported by the indexes.

Correlation Matrix

CTA S&P NDX DJIA SX5E HSI CTA Bonds
CTA -0.09 -0.16 -0.07 0.00 0.00 -0.02 0.08
S&P -0.09 0.90 0.96 0.67 0.61 0.08 -0.09
NDX -0.16 0.90 0.80 0.64 0.59 0.10 -0.03
DJIA -0.07 0.96 0.80 0.62 0.57 0.09 -0.17
SX5E 0.00 0.67 0.64 0.62 0.47 0.08 -0.03
HSI 0.00 0.61 0.59 0.57 0.47 -0.03 0.12
CTA -0.02 0.08 0.10 0.09 0.08 -0.03 0.47
Bonds 0.08 -0.09 -0.03 -0.17 -0.03 0.12 0.47

This table represents a correlation matrix of the monthly rates of return for the following programs:  this CTA, S&P 500 Index, Nasdaq 100 Index, Down Jones Industrial Average Index, EuroStoxx 50 Index, Hang Seng Index, SG CTA Index and iShares US Aggregate Bond ETF (AGG).  Please consider that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, instant history, etc. The performance data for these indexes is compiled from various sources and is based on end of day data available to us.

Monthly Return Distribution above for this managed futures program is monthly simple non-compounded ROR net of all fees as reported by the CTA.

PROGRAM DESCRIPTION

The program is divided into two components: a day trade and overnight component, each containing several systematic trading models. The position or overnight component consists of a mean reversion and pattern recognition strategy. The mean reversion strategy seeks to profit from short term overbought or oversold conditions which occur against the dominant trend. This model is long biased, with net short positions only possible in structural bear markets. There are two pattern recognition trades in the overnight component of the program which look for buying opportunities in cyclical market patterns, such as monthly option and quarterly equity futures expiration. Overnight positions are typically held one to three days.

The day trade component is also heavily long-biased, though net short positions are taken in bull market conditions as well as bear markets. The main day trading model is a momentum model, which analyzes advancing and declining shares to arrive at a directional signal for the day. In addition, the system employs a short term trend and momentum reversal algorithm to account for failures of the market to follow through with momentum.

Estimated market sector attribution as reported by the CTA.

Daily GROSS P&L presented above is actual P&L gross of ALL commission and fees listed above. It is intended to help customers match system performance to their brokerage statements.  Tap on the data type for more info or see definition below.

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Accounting Notes:
This trading program uses the Only Accounts Trading method to compute return and returns are simple non-compounded returns, since trading P&L is not reinvested in the program. Month to date return for the current month is estimated using a $100K tracking account applying a 2% management fee, a 22% incentive fee and a $10 round turn commission.

IMPORTANT RISK FACTORS AND PERFORMANCE DISCLOSURES

THE RISK OF LOSS IN TRADING COMMODITY FUTURES AND OPTIONS CAN BE SUBSTANTIAL AND MAY NOT BE SUITABLE FOR ALL INVESTORS. Prior to investing in a trading system with a registered commodity trading representative, investors need to carefully consider whether such trading is suitable for them in light of their own specific financial condition. In some cases, futures accounts are subject to substantial charges for commission, management, incentive or advisory fees. It may be necessary for accounts subject to these charges to make substantial trading profits to avoid depletion or exhaustion of their assets. In addition, one should carefully study the accompanying prospectus, account forms, disclosure documents and/or risk disclosure statements required by the CFTC or NFA, which are provided directly by the system vendor, CTAs and/or the broker carrying your account. Past performance is not necessarily indicative of future results.

Important Information About this Trading Program Analysis

Unless otherwise specified, the tables and charts above represent the summation of actual monthly rates of return as reported by the CTA.  Returns are simple, non-compounded returns, as profits are not reinvested.  Rates of return are net of all fees, including commissions, incentive and management fees.  Please be aware of the following for each section (if displayed):

VAMI Chart
This chart represents the visualization of the growth of a hypothetical $1,000 investment in this trading program, as compared to such an investment in the S&P 500 (S&P 500), the SG CTA Index (SGCTA) and the iShares Aggregate US Bond ETF (Bonds). Unless otherwise noted above, this VAMI chart is presented inclusive of all fees and utilizes monthly non-compounded rates of return for the CTA and compounded rates of return for the benchmarks.  The S&P 500 (S&P 500) is unmanaged, not directly investable, reflects reinvestment income and does not reflect the impact of advisory fees. SocGen’s CTA Index (SGCTA) is not directly investable and reflects reinvestment income and any distributions. The iShares Aggregate US Bond ETF (US Bonds) is investable, reflects reinvestment income and distributions and is used to benchmark program performance against a diversified portfolio of bonds. Please consider that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. There can be limitations and biases to indices such as survivorship, self reporting, instant history, etc. The performance data for these benchmarks is compiled from various sources and is based on end of day data available to us. Please refer to the accounting notes above (if any) for more information. 

Performance Summary Table
Each listing in the table is defined in a 'tooltip', simply tap on the statistic to read its definition. Each statistic is calculated for one trading unit of the trading program using non-compounded returns as reported by the CTA. 

Monthly ROR Table
This table represents the monthly non-compounded rate of return as reported by the CTA. Unless otherwise noted above, this table is presented inclusive of all fees. Please refer to the accounting notes above (if any) for more information. 

Drawdown Comparison to Benchmarks
This chart represents the drawdowns experienced by this program and the listed benchmarks for the stated time period using cumulative returns from the previous equity high as reported by the CTA.

Monthly Return Distribution
This chart represents the distribution of monthly returns of this program as reported by the CTA. Please see the accounting notes above (if any).

Correlation Matrix
This table displays the correlation of monthly rates of return between this program and the following benchmarks:  S&P 500 Index, Nasdaq 100 Index, Down Jones Industrial Average Index, EuroStoxx 50 Index, Hang Seng Index, SG CTA Index and iShares Aggregate US Bond ETF (US Bonds). Only the iShares Aggregate US Bond ETF is directly investable. All rates of return reflect reinvestment income except this program. Please consider that any index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, instant history, etc. The performance data for these indexes is compiled from various sources and is based on end of day data available to us.

Daily Gross Actual P&L Chart
This chart represents the actual gross daily profit and loss for one trading unit of the trading program. Unless otherwise noted above, this chart is presented GROSS of ALL commissions and fees. This chart is intended to assist customers in matching P&L to their daily brokerage statements, etc. It represents a rolling 30 day period to make the chart easier to read.

Actual dollar and percentage gains/losses experienced by investors would depend on many factors not accounted for in these statistics, including, but not limited to, starting account balances, market behavior, fees, incidence of split fills and other variations in order execution, and the duration and extent of individual investor participation in the specified system. While the information and statistics given are believed to be complete and accurate we cannot guarantee their completeness or accuracy. THIS INFORMATION IS PROVIDED FOR EDUCATIONAL AND INFORMATIONAL PURPOSES ONLY. These results are not indicative of, and have no bearing on, any individual results that may be attained by the trading system in the future.

The information contained in this report is provided with the objective of “standardizing” trading program performance measurements, and it is intended for educational/informational purposes only. All information is offered with the understanding that an investor considering investing in a trading program must carry out his/her own research and due diligence in deciding whether to investing in a trading program noted within or without this report. This report does not constitute a solicitation to purchase or invest in any trading system which may be mentioned herein.

NO FINANCIAL ADVICE PROVIDED: BTR TRADING GROUP MAKES NO REPRESENTATIONS AS TO WHETHER A MANAGED FUTURES INVESTMENT IS APPROPRIATE FOR YOU. FURTHER, BTR TRADING GROUP MAKES NO REPRESENTATIONS OR GUARANTEES AS TO THE PERFORMANCE OF ANY MANAGED FUTURES TRADING PROGRAM OR STRATEGY. THROUGH YOUR OWN SELECTION, IT IS UP TO YOU TO DECIDE WHETHER A STRATEGY IN WHICH YOU PARTICIPATE IS APPROPRIATE FOR YOU. YOU ACKNOWLEDGE THAT YOU ARE CAPABLE OF INDEPENDENTLY ANALYZING SUCH CONTENT USING YOUR OWN EXPERTISE, DUE DILIGENCE AND DECISION MAKING AND THAT YOU ARE NOT RELYING ON THIS SITE AS A BASIS FOR ANY DECISIONS YOU MAY MAKE CONCERNING INVESTMENTS.

YOU SHOULD NOT CONSIDER ANY CONTENT ON THIS SITE TO BE PROFESSIONAL INVESTMENT, TAX, TRADING OR OTHER FINANCIAL ADVICE. NOTHING ON THE SITE SHOULD BE CONSTRUED AS A RECOMMENDATION OF ANY SECURITY, FUTURES CONTRACT, COMMODITY, TRANSACTION, INVESTMENT STRATEGY, OR EXCHANGE OR MARKET BY BTR TRADING GROUP, ITS AFFILIATES OR ANY THIRD PARTY. ALL CONTENT ON THIS SITE IS IMPERSONAL AND NOT TAILORED TO THE INVESTMENT NEEDS OF ANY SPECIFIC PERSON.

General Risk Disclosure for Futures Trading: Transactions in securities futures, commodity and index futures and options on futures carry a high degree of risk. The amount of initial margin is small relative to the value of the futures contract, meaning that transactions are heavily “leveraged”. A relatively small market movement will have a proportionately larger impact on the funds you have deposited or will have to deposit: this may work against you as well as for you. You may sustain a total loss of initial margin funds and any additional funds deposited with the clearing firm to maintain your position. If the market moves against your position or margin levels are increased, you may be called upon to pay substantial additional funds on short notice to maintain your position. If you fail to comply with a request for additional funds within the time prescribed, your position may be liquidated at a loss and you will be liable for any resulting deficit.