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Selecting a CTA to trade your portfolio can be a daunting task.

If you would like consulting services or need assistance creating a portfolio please complete our Portfolio Request Form.

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Emerging Traders Fund LP

Build your own private futures fund....

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Autumn Gold CTA Indexes

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Statistical Definitions

Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on an Non-Compounded basis. This would occur when a CTA trades based on account unit rather than on account equity.

The Annual Compound Rate of Return represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smoothes out returns by assuming constant growth.

Annual Rate of Return is calculated adding each month's return.

The Current Losing Streak represents the extent of the Advisor's current drawdown.

The Worst Peak-to-Valley Drawdown is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value.

Unless otherwise indicated, the Worst Peak-to Valley Drawdown is calculated from inception.

Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return.

Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return.

The Sharpe Ratio is a risk adjusted ratio that rewards consistancy of returns. Traders are penalized for volatility regardless of whether it is onthe up or downside. When comparing Sharpe Ratios it is important to use the same risk free rate of return. The Current Risk Free ROR is set at 1%

The Sortino Ratio is a risk adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return. Autumn Gold uses a 5% Minimum Acceptable Rate of Return in its statistical calculations.

The Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data.

The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually.

Managed Futures Resources

A well balanced managed futures portfolio can provide a diversified global investment opportunity for investors. The main benefits include:

  • Opportunity to reduce the volatility risk of a portfolio
  • Opportunity to enhance a portfolio's returns
  • The ability to profit in both rising and falling markets
  • The opportunity the participate in global markets

The addition of managed futures to a client's portfolio does not mean that a portfolio will be profitable or that it will not experience substantial losses and that the studies conducted in the past may not be indicative of current time periods or of the performance of any individual CTA.

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Managed Futures vs. U.S. Stocks vs. International Stocks

The addition of managed futures to a client's portfolio does not mean that a portfolio will be profitable or that it will not experience substantial losses and that the studies conducted in the past may not be indicative of current time periods or of the performance of any individual CTA.

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Return During Critical Events

The addition of managed futures to a client's portfolio does not mean that a portfolio will be profitable or that it will not experience substantial losses and that the studies conducted in the past may not be indicative of current time periods or of the performance of any individual CTA.

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Omega

The addition of managed futures to a client's portfolio does not mean that a portfolio will be profitable or that it will not experience substantial losses and that the studies conducted in the past may not be indicative of current time periods or of the performance of any individual CTA.

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Accounting Services

For CTAs & Funds

Steve Crawford

CTA Outsource Solutions, Inc.

CTA Accounting
Fund Accounting
Disclosure Documents

Phone: 303.744.3030