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WINNING

Managed Futures Proxy

DBMF + KMLM trend-following with crisis alpha overlay

3Y

Total Return

+2.3%

3Y

Sharpe Ratio

-0.61

3Y

Max Drawdown

-7.0%

3Y

Win Rate

53.9%

3Y

Alpha

-64.7%

3Y

Comp. Score *

0.02

Risk Parameters

Max Allocation0.0%

Stop Loss7.0%

Take Profit5.0%

Max DD Tolerance7.0%

Rebalancemonthly

Execution Guidance

Order TypeLimit

Entry RuleBuy 0.5% below market in uptrend.

TimingSAFE TO BUY. *

ScalingEnter in 3 tranches over 1-2 weeks.

Positions — Vol-Adjusted Sizing

Symbol	Action	Vol	Stop Loss	Take Profit	Size	Links
DBMF	BUY	11%	3.5% below entry	3.0% above entry	0.0%	TV YH
KMLM	BUY	11%	3.5% below entry	3.0% above entry	0.0%	TV YH