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Report Start Date Report End Date


Trading Strategy: Fundamental / Technical / Diversified

Program Description: The program employs a proprietary trading technique in which fundamental factors, such as market psychology, and technical indicators are combined in an attempt to forecast market direction. The Advisor looks to enter markets which appear to be overbought or oversold and exploit these conditions by taking the appropriate side in the market. In determining which direction of the market to trade, the Advisor uses technical indicators such as Elliot Wave counts, Fibonacci retracements, moving averages, and stochastics to determine appropriate entry and exit levels. For instance, if a market appears to be in a bearish trend, the Advisor waits until all of the program's indicators show the market as being oversold and that a trend reversal is likely to occur before placing an order to go long in the market.

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
20194.65% 2.30% -5.39% 0.00% 0.41% -0.61% -0.83% 2.23% 1.08% 1.42% -1.39% -1.50%
2020 -6.62% 3.44% 15.17% 1.85% 4.13% 3.60% -2.82% -7.32% 5.89% -1.92% -1.61% 2.79%
2021 -3.16% 2.75% 5.37% -3.65% 0.53% -0.27% 0.06% 1.14% 0.09% -0.29% 2.46% -3.54%
2022 3.61% 0.99% 0.14% 1.83% 1.95% 1.58% -4.00% 2.90% 1.92% -4.80% 5.91% 2.02%
2023 -6.73% 1.37% -4.03% 0.21% -7.38% -6.19% -4.45% 0.70% 0.31% -0.23% 1.04% -1.72%

 20192020202120222023 YTD
ROR2.04%15.63%1.10%14.44%-24.45%
Max DD-6.37%-9.93%-3.65%-4.80%-24.51%

Track Record Prepared By: Michael Doherty

Program Statistics
Omega Ratio % Threshold 0.75
Peak-to-Valley Drawdown (1) (Dec 2022 - Jul 2023) -24.51%
Worst Monthly Return (May 2023) -7.38%
Current Losing Streak -24.45%
Average Monthly Return 0.12%
Monthly Std. Deviation 3.85%
# Months with Positive Performance 36
# Months with Negative Performance 24
Gain to Loss Ratio 0.73
Annualized Statistics
Compound ROR (2) 0.62%
Standard Deviation 13.32%
Downside Deviation (3) 9.68%
Sharpe Ratio (4) 0.04
Sortino Ratio (5) -0.44
Calmar Ratio (6) -0.18
Sterling Ratio (7) -0.20
Profit Loss Ratio 1.09

            Current Losing Streak = -24.45%

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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) 0.62%5.04%15.69%
Cumulative Return 3.13%27.89%107.23%
Cumulative VAMI(8) 103112792072
Largest Monthly Gain 15.17%2.99%12.82%
Largest Monthly Loss -7.38%-1.42%-12.35%
Profit Loss Ratio 1.093.291.85
Correlation —-0.006-0.415
Last Month -1.72%1.67%4.54%
Last 12 Months -24.45%3.77%26.29%
Last 36 Months -12.60%14.54%33.11%
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+++ Accounting Notes: Pro-forma adjustments were made to demonstrate the rates of return that would have been achieved if the Advisor's maximum current fee structure was in effect.

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 Jun 2009

*** 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 2023-12-31
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.