CTS Capital Management LLC

Short-Term Systematic (STS) Program

Year-to-Date
N/A
Minimum Investment
1,000,000
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 14.08%
Sharpe (RFR=1%) 0.52
CAROR
Assets 1,496,000
Worst Drawdown -9.65
S&P Correlation 0.01

Summary

CTS Capital’s Short-Term Systematic (STS) Program employs fully systematic strategies that have an average trade length from one to twenty days. 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. The use of short-term models leads to very low correlation to other strategies and the rest of the managed futures industry. The strategy was traded as a component of the Diversified-II program beginning in late 2007, and then launched as a separate program in January 2009.