Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Short Term Systematic / Diversified
4.7 Exempt - Qualified Eligible Participants Only

Program Description: Mosaic Institutional is an ensemble of 100% systematic, quantitative, short-term trading models that evaluate and modify positions daily. Mosaic Institutional utilizes a pattern-recognition methodology. The program targets a zero correlation to trend-following and exhibits low correlation with equities and other asset classes. Mosaic Institutional trades 52 global markets, and goes long or short with no bias. The program targets a 12% annualized standard deviation of returns.

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	0.20%	-0.21%	-3.88%	0.46%	3.22%	4.91%	-2.15%	9.57%	-5.98%	-0.51%	1.88%	-2.67%
2020	2.62%	8.26%	5.46%	-0.92%	0.22%	-2.24%	3.40%	0.61%	-4.43%	-2.31%	2.48%	1.80%
2021	-0.72%	2.60%	3.39%	1.75%	-4.73%	-2.60%	-3.81%	-2.76%	0.16%	3.29%	-1.36%	-1.13%
2022	1.72%	-2.81%	-0.15%	6.39%	-0.31%	0.64%	2.14%	-0.18%	4.16%	-1.64%	1.04%	-0.04%
2023	1.14%	-2.16%	-5.83%	0.35%	-2.93%	-2.57%	-1.14%	0.01%	-0.94%	1.06%	-0.56%	-1.07%
2024	1.27%	-1.79%	-1.19%

	2019	2020	2021	2022	2023	2024 YTD
ROR	3.98%	15.22%	-6.16%	11.17%	-13.87%	-1.72%
Max DD	-7.25%	-6.65%	-13.21%	-2.96%	-14.85%	-2.96%

Track Record Prepared By: In-House

Program Statistics
Omega Ratio % Threshold	0.72
Peak-to-Valley Drawdown (1) (Apr 2021 - Mar 2024)	-17.60%
Worst Monthly Return (Sep 2019)	-5.98%
Current Losing Streak	-17.60%
Average Monthly Return	0.13%
Monthly Std. Deviation	3.06%
# Months with Positive Performance	30
# Months with Negative Performance	33
Gain to Loss Ratio	1.24

Annualized Statistics
Compound ROR (2)	1.08%
Standard Deviation	10.60%
Downside Deviation (3)	7.34%
Sharpe Ratio (4)	0.06
Sortino Ratio (5)	-0.52
Calmar Ratio (6)	-0.32
Sterling Ratio (7)	-0.28
Profit Loss Ratio	1.13

Comparisons	Program	AG CTA Index	SP 500 TR
Annualized Compound ROR (2)	1.08%	5.60%	17.11%
Cumulative Return	5.78%	33.09%	129.11%
Cumulative VAMI(8)	1058	1331	2291
Largest Monthly Gain	9.57%	2.99%	12.82%
Largest Monthly Loss	-5.98%	-1.42%	-12.35%
Profit Loss Ratio	1.13	3.65	1.95
Correlation	—	0.356	-0.219
Last Month	-1.19%	1.91%	3.22%
Last 12 Months	-9.17%	8.29%	29.88%
Last 36 Months	-16.16%	16.15%	38.61%

++ This Manager offers a range of fees:

+++ Accounting Notes: The performance shown is the hypothetical investment return based on a reduced volatility version of the Mosaic program. The returns were calculated by taking the actual daily returns achieved by the Mosaic program and reducing them by 58%, which calibrates the risk profile to the targeted 1% probability of an account experiencing a loss of 8% or greater in a one month period (or 21 trading days). There can be no assurance that had Revolution Capital Management, LLC offered this program during the period shown above, an investor's investment returns would have been as shown. Hypothetical investment returns have the benefit of hindsight inthat the returns are being presented after the fact when the results of investment decisions are already known. Hypothetical results have certain inherent limitations, the most important of which is that past results give no assurance of future profits.

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 Sep 2009

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.