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Report Start Date Report End Date


Trading Strategy: Trend Follower / Diversified
4.7 Exempt - Qualified Eligible Persons Only

Program Description: The Program is a systematic managed futures strategy that trades exchange traded futures in 7 market sectors. The program targets annualized returns of 10-15% with an annualized standard deviation of 15%. The objective is to produce absolute returns that are non-correlated to equity and bond investments thus providing excellent diversification benefits for traditional investment portfolios. The portfolio is diversified across global commodity and financial futures and invests only in liquid exchange traded futures contracts. Initially, no more than 1/7 of the fund's risk will be allocated to any single sector ensuring broad portfolio diversification. The system is non-discretionary and aims to capitalize in both upward and downward trends. The strategy derives superior returns by adapting organically to changes in volatility and risk resulting in a greater efficiency in capturing the trends in each individual market traded. The strategy has a very low margin to equity ratio (average <7%) resulting in an efficient and scalable CTA exposure. Rigorous drawdown and scenario analysis is conducted to ensure robustness of the strategy and to provide clarity to the probable and possible return and risk scenarios.

Investment Information

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Performance Since January 2019 See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-4.15% -0.47% -0.65% 3.50% -7.43% -0.37% 0.52% 10.60% -7.59% -1.33% 1.42% 0.25%
2020 -2.06% -0.19% 9.72% -3.16% -0.47% 0.28% 3.36% 2.08% -2.15% 0.99% 2.69% 6.73%
2021 2.67% 9.55% -0.89% 4.61% 0.61% -1.50% -1.77% 0.98% 0.49% 1.32% -4.28% -1.89%
2022 2.20% 4.32% 7.95% 3.54% -1.84% 0.55% -2.90% -0.17% 2.43% -0.51% -4.30% 0.00%
2023 2.15% -3.64% 0.34% 2.92% 0.87% -2.21% -0.36% -0.80% 3.37% -3.36% -3.35% -0.49%
2024 -1.18% 2.95% -0.04% 2.71%  

 201920202021202220232024 YTD
ROR-6.75%18.46%9.62%11.19%-4.79%4.45%
Max DD-9.53%-3.62%-6.57%-6.70%-7.14%-1.18%

Track Record Prepared By: SGGG Fund Services (Toronto)

Program Statistics
Omega Ratio % Threshold 0.88
Peak-to-Valley Drawdown (1) (Apr 2022 - Jan 2024) -12.21%
Worst Monthly Return (Sep 2019) -7.59%
Current Losing Streak -7.21%
Average Monthly Return 0.52%
Monthly Std. Deviation 3.56%
# Months with Positive Performance 33
# Months with Negative Performance 31
Gain to Loss Ratio 1.41
Annualized Statistics
Compound ROR (2) 5.63%
Standard Deviation 12.32%
Downside Deviation (3) 7.65%
Sharpe Ratio (4) 0.42
Sortino Ratio (5) 0.08
Calmar Ratio (6) 0.11
Sterling Ratio (7) 0.07
Profit Loss Ratio 1.51

            Current Losing Streak = -7.21%

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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) 5.63%5.76%15.91%
Cumulative Return 33.89%34.78%119.75%
Cumulative VAMI(8) 133913482198
Largest Monthly Gain 10.60%2.99%12.82%
Largest Monthly Loss -7.59%-1.42%-12.35%
Profit Loss Ratio 1.513.771.87
Correlation —0.722-0.176
Last Month 2.71%1.27%-4.08%
Last 12 Months -2.16%8.28%22.67%
Last 36 Months 3.93%15.72%26.21%
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+++ Accounting Notes: Returns are net of all fees, expenses, and interest. Please contact Auspice if you require the returns in any other configuration. For the Period between April 2006 to May 2007, the program started by trading a total of 11 markets. Markets were added as trades developed toward full diversification by the end of May 07. The current system and portfolio has been in place from June 07. Returns and simulations prior to 2007 are available by request.

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 Apr 2004

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 2024-04-30
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.