Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Discretionary Trading

Program Description: The program focuses primarily on domestic agricultural commodity futures and options with emphasis on wheat, corn, soybeans, and soybean products. She may on occasion trade other Ag related markets. The program is traded by Megan Bocken. Megan gained a thorough understanding of the grain trade by helping to service commercial grain accounts including both users and producers, and by studying the fundamentals of the grain markets as a research analyst. She currently maintains her own research focusing on wheat, corn, and soybeans placing special emphasis on relationships among the different classes of wheat. This includes forecasting both US and world supply and demand of each particular commodity in order to determine "value" and price trends based on ever- changing market conditions. It also involves a careful and constant monitoring of US and world weather, geopolitical issues, and currency relationships. By combining the factors, Megan is able to make trading decisions that integrate flat price, intra and inter market spreads as well as options strategies.

Investment Information

Program Start Date	Jun-2011
Percent Discretionary	100%
Percent Systematic	0%
Minimum Investment	100,000
Management Fee	2.00%
Incentive Fee	20.00%
Margin	7%
Round Turns per Million	1,755
Currency	US Dollar
NFA No:	#428507

Loading chart...

Performance Since January 2019 | Track Record Compiled By: N/A | Please See Accounting Notes

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019	-0.65%	-1.08%	0.35%	0.11%	2.54%	-1.22%	-1.04%	-1.38%	-0.27%	-2.30%	-1.01%	2.15%
2020	-0.58%	-0.11%	0.64%	1.73%	-0.78%	-0.98%	-0.77%	5.46%	1.83%	0.66%	6.87%	8.40%
2021	4.50%	0.55%	-3.33%	12.04%	-1.98%	3.63%	0.18%	-3.41%	3.10%	1.11%	0.09%	0.77%
2022	4.35%	6.02%	-1.97%	3.06%	-3.87%	-6.83%	4.27%	-0.17%	-2.04%	1.27%	-0.17%	-1.50%
2023	-0.83%	-1.79%	-1.14%	-0.75%	-0.44%	2.20%	-0.68%	-1.79%	-2.22%	-1.66%	-1.14%	-2.12%
2024	-1.57%	0.90%	-4.19%

	2019	2020	2021	2022	2023	2024 YTD
ROR	-3.84%	24.13%	17.61%	1.65%	-11.75%	-4.85%
Max DD	-7.02%	-2.51%	-3.41%	-10.44%	-11.75%	-4.85%

Program Statistics
Peak-to-Valley Drawdown (2) Apr 2022 - Mar 2024	-23.63%
Worst Monthly Return (Jun 2022)	-6.83%
Current Losing Streak	-23.63%
Average Monthly Return	0.33%
Monthly Std. Deviation	3.10%
Gain Deviation (27 months gain)	2.88%
Loss Deviation (36 months loss)	1.35%
Gain to Loss Ratio	1.82
Omega Ratio % Threshold	0.97

Annualized Statistics
Compound ROR (1)	3.51%
Standard Deviation	10.74%
Downside Deviation	6.32%
Sharpe Ratio (3)	0.28
Sortino Ratio (4)	-0.23
Calmar Ratio (5)	-0.02
Sterling Ratio (6)	-0.02
Gain Deviation	9.99%
Loss Deviation	4.68%
Profit Loss Ratio	1.36

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISORS CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. ONE SHOULD RECOGNIZE THAT AN INTRODUCING BROKER MAY CHARGE A FRONT-END START OF FEE OF UP TO 3% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMER'S ABILITY TO ACHIEVE SIMILAR RETURNS. PAST PERFORMANCE IS NOT NECESSARILY INDICIATIVE OF FUTURE SUCCESS.

AutumnGold.com LLC
719-685-6183 Email: [email protected] | Web Address: http://www.autumngold.com

Time Window Analysis

Length	Best	Average	Worst
1 mo	12%	0.3%	-6.8%
3 mo	21.1%	1.2%	-7.7%
6 mo	31.8%	2.9%	-10.1%
12 mo	45%	8.1%	-13.1%
18 mo	54.5%	15.5%	-17.1%
24 mo	62.6%	24.6%	-21.3%
36 mo	58.9%	38%	-1.2%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
May-22	-23.63%	23 mo	0 mo	n/a
Jun-19	-7.02%	6 mo	10 mo	Sep-20
Aug-21	-3.41%	1 mo	2 mo	Oct-21
Mar-21	-3.33%	1 mo	1 mo	Apr-21
Mar-22	-1.97%	1 mo	1 mo	Apr-22
Jan-19	-1.72%	2 mo	3 mo	May-19

Current Losing Streak = -23.63%

Loading chart...

Select an index or program to add as a benchmark:

Statistical Comparisons	Program/Portfolio	AG CTA Index	SP 500 TR
Annualized Compound ROR (1)	3.51%	5.64%	17.11%
Cumulative Return	19.83%	33.35%	129.11%
Cumulative VAMI(7)	1198	1334	2291
Best Monthly Return	12.04%	2.99%	12.82%
Worst Monthly Return	-6.83%	-1.42%	-12.35%
Annual Standard Deviation	10.74%	3.44%	18.17%
Profit Loss Ratio	1.36	3.67	1.95
Correlation	—	0.191	0.167
Last Month	-4.19%	2.10%	3.22%
Last 12 Months	-12.79%	8.51%	29.88%
Last 36 Months	-1.16%	16.38%	38.61%

Loading chart...

AutumnGold.com LLC
719-685-6183 Email: [email protected] | Web Address: http://www.autumngold.com

+++ Accounting Notes: The returns reflect the performance of accounts traded in the Bocken Trading Discretionary Trading Program, as listed in the program's disclosure document.

Other Fees: None

An Important Note on the Start Date and End Dates of this Report. If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report.

Performance Results reported or amended subsequent to Friday April 19, 2024 are not reflected in this Report. Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

Historical Drawdowns & Recoveries: The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.

FOOTNOTES

1. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
2. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of Jan-2019 to Mar-2024
3. Sharpe Ratio uses a 1% Risk Free ROR
4. Sortino Ratio uses a 5% Minimum Acceptable ROR
5. Calmar Ratio Uses last 36 months of Data
6. Sterling Ratio uses last 36 months of Data
7. The hypothetical growth of $1,000
8. The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery.

AG CTA Index: The Autumn Gold CTA Index is a Non-Investable Index comprised of the client performance of all CTA programs included in the AG database and does not represent the complete universe of CTAs. CTA programs with proprietary performance are not included. Monthly numbers are updated until 45 days after the end of the month. Investors should note that it is not possible to invest in this index.

SP 500 TR: The S&P 500 indices are designed to reflect all sectors of the U.S. equity markets. The S&P 500 includes 500 blue chip, large cap stocks, which together represent about 75% of the total U.S. equities market. Companies eligible for addition to the S&P 500 have market capitalization of at least US$3.5 billion. The TR Index accounts for the reinvestment of dividends.

This report has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with each Trader's Disclosure Document or Fund's Offering Document.

AutumnGold.com LLC
719-685-6183 Email: [email protected] | Web Address: http://www.autumngold.com