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Report Start Date Report End Date


Trading Strategy: Quantitative with Discretionary Macro Overlay
4.7 Exempt - QEPs Only

Program Description:

  • The Horizon3 Program blends scientific, engineering and behavioural disciplines to capture market behaviour and deliver a robust, skewed risk/return profile.
  • Unique strategy which uses Linear methods (e.g. Digital Signal Processing) combined with non-linear methods (e.g. Pattern Recognition) in a rigorous, automated and adaptive system to deal with the changeable nature of markets.
  • A maximization of diversification with adaptive portfolio construction methodology of over 125 liquid markets in financial and commodity futures as well as FX, constantly looking for best diversifying and non-correlated opportunities.
  • Horizon3 has a long track record of adding diversification to investor portfolios with its low correlation to traditional markets such as stocks and bonds as well as low correlation to other CTA strategies.

Investment Information

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Please See Accounting Notes See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-6.62% 1.95% 2.22% 2.87% -0.27% 1.32% 0.18% 4.61% -8.58% -2.22% 2.11% 1.35%
2020 1.65% 6.45% 6.05% -5.66% -2.44% -1.33% 6.17% -0.48% -2.25% 3.78% -1.78% 4.43%
2021 -3.89% 7.14% 2.43% -0.12% -0.21% -1.13% 0.41% -1.15% 4.12% 7.93% -2.89% -2.77%
2022 -0.06% 3.16% 5.30% 0.54% -3.19% 6.30% -5.67% 4.22% 12.86% -1.51% -1.78% -0.03%
2023 -1.06% -2.21% -3.75% 0.99% 3.95% -2.45% -5.15% -4.21% 5.93% 2.87% -10.45% 6.01%
2024 -5.45% -0.13% -1.23%  

 201920202021202220232024 YTD
ROR-1.93%14.56%9.46%20.52%-10.38%-6.74%
Max DD-10.61%-9.19%-5.58%-5.67%-15.46%-6.74%

Track Record Prepared By: N/A

Program Statistics
Omega Ratio % Threshold 1.11
Peak-to-Valley Drawdown (1) (Sep 2022 - Mar 2024) -19.17%
Worst Monthly Return (Nov 2023) -10.45%
Current Losing Streak -19.17%
Average Monthly Return 0.43%
Monthly Std. Deviation 4.30%
# Months with Positive Performance 30
# Months with Negative Performance 33
Gain to Loss Ratio 1.42
Annualized Statistics
Compound ROR (2) 4.16%
Standard Deviation 14.89%
Downside Deviation (3) 10.18%
Sharpe Ratio (4) 0.28
Sortino Ratio (5) -0.08
Calmar Ratio (6) 0.08
Sterling Ratio (7) 0.07
Profit Loss Ratio 1.29

            Current Losing Streak = -19.17%

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Select an index or program to add as a benchmark:

Comparisons ProgramAG CTA Index
Remove		SP 500 TR
Remove
Annualized Compound ROR (2) 4.16%5.60%17.11%
Cumulative Return 23.89%33.09%129.11%
Cumulative VAMI(8) 123913312291
Largest Monthly Gain 12.86%2.99%12.82%
Largest Monthly Loss -10.45%-1.42%-12.35%
Profit Loss Ratio 1.293.651.95
Correlation —0.428-0.443
Last Month -1.23%1.91%3.22%
Last 12 Months -10.25%8.29%29.88%
Last 36 Months 4.54%16.15%38.61%
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+++ Accounting Notes: Prior trading names: Wimmer Horizon LLP (29th Jan 2019 - 20th Jan 2023), Beach Horizon LLP (26 May 2004 - 29 Jan 2019).

The composite monthly net performance results shown in the table above are net of all management fees, incentive fees and brokerage commissions and related transaction fees and expenses. Certain accounts managed by Horizon3 Investment Management LLP and/or its principals have been excluded from the composite table because such accounts had materially differences in rates of return from the accounts included in the composite. In addition, for various reasons including, without limitation, the timing of the commencement or cessation of trading for an account, the size of an account, the levels of fees and expenses charged to account, the degree of leverage employed and other differences, an individual account may have realized more or less favorable results than the composite results indicate.

Total AUM equals the notional value of all accounts traded by Horizon3 Investment Management LLP and its principals.

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. The Inception of this program is May 2005

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS BROCHURE OR ACCOUNT DOCUMENT IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE COMMISSION. THE COMMODITY FUTURES TRADING COMMISSION DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

*** 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.

Statistical Notes
1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2019-01-31 to 2024-03-31
2. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
3. Downside Deviation uses a 5% Minimum Acceptable ROR
4. Sharpe Ratio uses a 1% Risk Free ROR
5. Sortino Ratio uses a 5% Minimum Acceptable ROR
6. Calmar Ratio Uses last 36 months of Data
7. Sterling Ratio uses last 36 months of Data
8. The hypothetical growth of $1,000 VAMI
ROR = Rate of Return

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 the Trader's Disclosure Document or Fund's Offering Document.