CTS Capital Management LLC

Diversified II Program

Minimum Investment
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 18.13%
Sharpe (RFR=1%) 0.58
CAROR 10.43%
Assets 5,321,000
Worst Drawdown -11.13
S&P Correlation -0.11


CTS Capital’s Diversified II Program employs both long-term and short-term fully systematic strategies. It trades a diverse universe of futures contracts, including currencies, interest rates, stock indices, energies, grains, metals, livestock, and softs. Market diversification is maintained at approximately 50% financial contracts and 50% non-financial contracts. The trading models are applied on multiple time frames.A series of enhancements were made to the program beginning in May 2007 in the areas of strategies, models, and risk control. Performance shown shown is since May 2007. For performance information since inception of the program in March 2006 please refer to the Disclosure Document.