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Report Start Date Report End Date


Trading Strategy: Global Macro Trend-Following / Diversified
Accredited or Qualified Investors

Program Description: Founded in 2008 by Donald Wieczorek, Purple Valley Capital, Inc. (“PVC”) is an asset management firm that offers professional money management to institutions and high net worth individuals by trading a diverse group of futures markets. Our primary objective is to use our systematic risk management strategy to capture large market trends around the world in order to provide investors long-term capital appreciation with very low correlation to traditional investments. Please visit each section of our website to learn more about the potential benefits of diversifying your portfolio with PVC.

Investment Information

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Performance Since January 2019

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-7.79% 8.24% -12.08% 5.09% 5.92% 2.19% -17.34% 24.86% -19.57% 0.37% 0.45% 10.08%
2020 -0.69% 17.65% 56.50% -11.45% -5.61% -12.99% 27.16% 10.83% -21.09% 10.62% 20.66% 51.81%
2021 7.86% 35.24% 19.40% 3.67% -5.71% -9.47% -1.24% -2.23% -1.66% -2.77% -12.22% -13.03%
2022 12.80% 8.30% 12.41% 25.82% -2.26% 6.34% -11.11% -14.25% 7.27% -8.18% -8.39% 2.36%
2023 -1.68% -2.24% -15.58% 8.60% 5.17% -1.85% -1.54% -12.19% 8.16% -2.15% -4.38% 13.59%
2024 -14.29% 41.15% 24.03%  

 201920202021202220232024 YTD
ROR-8.07%199.65%8.63%26.43%-9.60%50.05%
Max DD-19.57%-27.28%-39.84%-31.22%-21.36%-14.29%

Track Record Prepared By: Michael Coglianese CPA. P.C.

Program Statistics
Omega Ratio % Threshold 1.39
Peak-to-Valley Drawdown (1) (Jun 2022 - Jan 2024) -45.45%
Worst Monthly Return (Sep 2020) -21.09%
Current Losing Streak -4.50%
Average Monthly Return 3.77%
Monthly Std. Deviation 16.18%
# Months with Positive Performance 32
# Months with Negative Performance 31
Gain to Loss Ratio 1.86
Annualized Statistics
Compound ROR (2) 36.55%
Standard Deviation 56.06%
Downside Deviation (3) 25.61%
Sharpe Ratio (4) 0.79
Sortino Ratio (5) 1.04
Calmar Ratio (6) 0.05
Sterling Ratio (7) 0.05
Profit Loss Ratio 1.92

            Current Losing Streak = -4.50%

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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) 36.55%5.64%17.11%
Cumulative Return 413.24%33.35%129.11%
Cumulative VAMI(8) 513213342291
Largest Monthly Gain 56.50%2.99%12.82%
Largest Monthly Loss -21.09%-1.42%-12.35%
Profit Loss Ratio 1.923.671.95
Correlation —0.693-0.201
Last Month 24.03%2.10%3.22%
Last 12 Months 67.17%8.51%29.88%
Last 36 Months 6.97%16.38%38.61%
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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 Aug 2008

*** 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.