CTS Asset Management LLC

Flagship Program *QEP*


Monthly Performance (%)

Date Range: 06/17 - 12/18
  Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec  YTD 
2018 1.49 -6.74 -0.07 -3.78 -6.14 -0.24 1.20 2.32 3.11 -2.09 -1.89 2.44  -10.47 
2017 1.59 0.94 -0.93 2.98 -0.76 2.03  5.93 
Note: Estimates appear in italics. All performance data is since program inception.

Strategy Description

The Flagship Program is a diversified short-term managed futures program, with an average hold period of five days. It is 100% systematic and trades outright futures only. Twenty-six markets in the currencies, interest rates, stock indices, energies, metals, and softs sectors are traded. Multiple trading strategies and multiple time frames are used, relying primarily on short-term price patterns and breakouts.

Performance Statistics

Date Range: 06/17 - 12/18
  Program S&P 500 Altegris 40 
Total Return -5.16% 7.20% -2.10% 
Annualized Return -3.47% 4.49% -1.33% 
Annualized Std. Deviation 9.89% 12.26% 8.02% 
Correlation 0.16 0.66 
Sharpe Ratio (rf=2.5%) -0.60 0.16 -0.48 
Worst Month -6.74% -9.03% -6.10% 
Date of Worst Month 02/2018 12/2018 02/2018 
Worst Drawdown -16.04% -13.52% -7.84% 
Date of Worst Drawdown 1/18 - 6/18 9/18 - 12/18 1/18 - 11/18 
Note: Estimates appear in italics. All performance data is since program inception.

Annual Performance (%)

Date Range: 06/17 - 12/18

Year or YTD Program S&P 500 Altegris 40 
2018 -10.47 -4.38 -4.29 
2017 5.93 11.43 5.36 
Note: Estimates appear in italics. All performance data is since program inception.

Performance Comparison

Date Range: 06/17 - 12/18
Date: 12/31/2018
Perf: $1,008.41 Date: 11/30/2018
Perf: $1,004.20 Date: 10/31/2018
Perf: $1,016.39 Date: 9/30/2018
Perf: $1,042.13 Date: 8/31/2018
Perf: $1,046.84 Date: 7/31/2018
Perf: $1,020.81 Date: 6/30/2018
Perf: $1,028.53 Date: 5/31/2018
Perf: $1,019.96 Date: 4/30/2018
Perf: $1,033.29 Date: 3/31/2018
Perf: $1,022.25 Date: 2/28/2018
Perf: $1,023.17 Date: 1/31/2018
Perf: $1,089.64 Date: 12/31/2017
Perf: $1,053.60 Date: 11/30/2017
Perf: $1,042.24 Date: 10/31/2017
Perf: $1,040.89 Date: 9/30/2017
Perf: $999.03 Date: 8/31/2017
Perf: $1,020.56 Date: 7/31/2017
Perf: $1,003.90 Date: 6/30/2017
Perf: $1,000.00 Date: 12/31/2018
Perf: $1,065.41 Date: 11/30/2018
Perf: $1,171.16 Date: 10/31/2018
Perf: $1,147.75 Date: 9/30/2018
Perf: $1,232.02 Date: 8/31/2018
Perf: $1,225.04 Date: 7/31/2018
Perf: $1,186.36 Date: 6/30/2018
Perf: $1,143.81 Date: 5/31/2018
Perf: $1,136.76 Date: 4/30/2018
Perf: $1,110.01 Date: 3/31/2018
Perf: $1,105.81 Date: 2/28/2018
Perf: $1,134.63 Date: 1/31/2018
Perf: $1,178.10 Date: 12/31/2017
Perf: $1,114.26 Date: 11/30/2017
Perf: $1,102.02 Date: 10/31/2017
Perf: $1,069.20 Date: 9/30/2017
Perf: $1,044.85 Date: 8/31/2017
Perf: $1,023.76 Date: 7/31/2017
Perf: $1,020.60 Date: 6/30/2017
Perf: $1,000.00 Date: 12/31/2018
Perf: $948.40 Date: 11/30/2018
Perf: $925.81 Date: 10/31/2018
Perf: $943.65 Date: 9/30/2018
Perf: $963.79 Date: 8/31/2018
Perf: $934.72 Date: 7/31/2018
Perf: $913.53 Date: 6/30/2018
Perf: $902.69 Date: 5/31/2018
Perf: $904.87 Date: 4/30/2018
Perf: $964.06 Date: 3/31/2018
Perf: $1,001.93 Date: 2/28/2018
Perf: $1,002.63 Date: 1/31/2018
Perf: $1,075.10 Date: 12/31/2017
Perf: $1,059.31 Date: 11/30/2017
Perf: $1,038.24 Date: 10/31/2017
Perf: $1,046.19 Date: 9/30/2017
Perf: $1,015.91 Date: 8/31/2017
Perf: $1,025.45 Date: 7/31/2017
Perf: $1,015.90 Date: 6/30/2017
Perf: $1,000.00
Note: All performance data is since program inception.

Monthly Returns

Date Range: 06/17 - 12/18
Date: 12/31/2018
Return: 2.44 % Date: 11/30/2018
Return: -1.89 % Date: 10/31/2018
Return: -2.09 % Date: 9/30/2018
Return: 3.11 % Date: 8/31/2018
Return: 2.32 % Date: 7/31/2018
Return: 1.20 % Date: 6/30/2018
Return: -0.24 % Date: 5/31/2018
Return: -6.14 % Date: 4/30/2018
Return: -3.78 % Date: 3/31/2018
Return: -0.07 % Date: 2/28/2018
Return: -6.74 % Date: 1/31/2018
Return: 1.49 % Date: 12/31/2017
Return: 2.03 % Date: 11/30/2017
Return: -0.76 % Date: 10/31/2017
Return: 2.98 % Date: 9/30/2017
Return: -0.93 % Date: 8/31/2017
Return: 0.94 % Date: 7/31/2017
Return: 1.59 % Date: 6/30/2017
Return: 0.00 %
Note: All performance data is since program inception.

Distribution of Monthly Returns

Date Range: 06/17 - 12/18
Return: -2.00 %
Count: 2 Return: -6.00 %
Count: 1 Return: -4.00 %
Count: 1 Return: -7.00 %
Count: 1 Return: 3.00 %
Count: 2 Return: -1.00 %
Count: 2 Return: 1.00 %
Count: 3 Return: 2.00 %
Count: 4 Return: 0.00 %
Count: 3
Note: All performance data is since program inception.

Underwater Curve

Date Range: 06/17 - 12/18
Date: 12/31/2018
Drawdown: -11.78 % Date: 11/30/2018
Drawdown: -13.89 % Date: 10/31/2018
Drawdown: -12.23 % Date: 9/30/2018
Drawdown: -10.35 % Date: 8/31/2018
Drawdown: -13.06 % Date: 7/31/2018
Drawdown: -15.03 % Date: 6/30/2018
Drawdown: -16.04 % Date: 5/31/2018
Drawdown: -15.83 % Date: 4/30/2018
Drawdown: -10.33 % Date: 3/31/2018
Drawdown: -6.81 % Date: 2/28/2018
Drawdown: -6.74 % Date: 1/31/2018
Drawdown: 0.00 % Date: 12/31/2017
Drawdown: 0.00 % Date: 11/30/2017
Drawdown: -0.76 % Date: 10/31/2017
Drawdown: 0.00 % Date: 9/30/2017
Drawdown: -0.93 % Date: 8/31/2017
Drawdown: 0.00 % Date: 7/31/2017
Drawdown: 0.00 %
Note: All performance data is since program inception.

Underwater Curve

Manager Information

Manager Name:  CTS Asset Management LLC
Address: 102 S. Tejon St, Suite 1100
City: Colorado Springs
State: CO
Zip: 80903
Country: US

Key People

Name:  Brian Bell
Position:  Managing Director
Biography: 

Mr. Bell has been involved in the futures industry as an analyst, trading system and software developer, consultant, CTA allocator, and CTA since 1987. He was previously the Director of Research at The Bornhoft Group, a firm that has created and managed multiple-CTA portfolios since the 1980’s. Mr. Bell was also the owner of CTS Capital Management, LLC, a CTA that operated from 2006 to 2010. He has developed proprietary trading systems and indicators since 1991, some of which are still used by traders around the world. As an educator, Mr. Bell taught three-day seminars on trading system design and programming to top Wall Street firms.


Additional Information

 Futures Sectors Traded
 Stock Indexes Yes 
 Interest Rates Yes 
 Currencies Yes 
 Metals Yes 
 Energies Yes 
 Softs Yes 
 Investment Methodology
 Systematic Yes 
 Diversified Yes 
 Pattern Recognition Yes 
 Other Yes 
 Instruments Traded
 Futures Yes 
 Geographical Focus
 Global Yes 
 Holding Period
 Intra-Week Yes 
 Investment Terms & Information
 Managed Account Minimum: $1,000,000 
 Margin / Equity Ratio: 7% 
 Managed Account Availability: Open