| Live period | 65 days |
| Net return | +2.27% |
| Annualized return* | +13.4% |
| Average daily return | +0.035% |
| Best day | +0.53% |
| Worst day | −0.78% |
| Positive days (active) | 83% |
| Longest win streak | 7 days |
| Longest losing streak | 1 day |
| Months positive | 3 / 3 |
| Sharpe ratio | 3.97 |
| Sortino ratio | 6.55 |
| Calmar ratio* | 17.6 |
| Annualized volatility | 3.2% |
| Downside deviation | 1.9% |
| Maximum drawdown | 0.76% |
| Return skew | −0.44 |
| Excess kurtosis | +9.3 |
| Market exposure | Two-sided |
| Status | Live · Automated |
Returns to date are concentrated in the most recent month following a refinement to the model.
MTF Dislocation is a systematic, fully automated strategy that trades a diversified book of liquid perpetual futures. It is two-sided and broadly market-neutral, designed to deliver a smooth, low-volatility return stream with tightly controlled drawdowns rather than large directional bets.
*Annualized return and Calmar ratio are extrapolated from a 65-day live window and are indicative only. Statistics are computed from the daily return series of live, automated trading since 16 April 2026, net of fees, on a constant nominal capital base. Past performance does not guarantee future results.