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Report Start Date Report End Date


Trading Strategy: Systematic / Trend Following / Diversified

Program Description: Commodity futures regularly exhibit various degrees of disequilibrium as producers, consumers, and speculators attempt to maximize their gains and limit their risks. Tangible / raw / physical commodities are particularly prone to supply & demand shocks as the post Covid-19 era has demonstrated. From time to time these significant flows of capital produce sustained price trends, either up or down. Our Commodity Long-Short strategy is designed to identify these trends and to signal an opportune time to deploy risk capital in an attempt to exploit them for profit. All positions are taken in the direction of the longer-term trend, whether going long or short. The average holding period of a trade is 9 days and historically the strategy has exhibited very low or even negative correlation to stocks, bonds, hedge funds, CTAs, and long-only commodity indexes.

Investment Information

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From Sep 2013 - Apr 2014 the returns for this composite are presented pro forma net of 2/20 fees. See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-8.76% 4.29% -3.07% 1.40% 8.12% -2.44% -1.15% 4.38% -6.29% -3.17% -0.88% 5.24%
2020 2.23% 8.18% 13.16% -2.97% -0.99% -1.59% -1.65% -4.58% -0.25% -0.16% -1.76% 3.49%
2021 2.10% 11.67% -1.92% 13.18% 2.22% -3.25% -0.30% 4.43% 7.09% 3.76% -2.14% -0.83%
2022 9.08% 1.23% 7.44% 5.57% -2.22% -2.80% 1.81% 1.28% -7.51% 1.24% -6.11% 0.75%
2023 -3.13% 2.62% 4.67% 8.63% 3.80% -0.65% -1.76% -1.84% -0.86% 2.14% -2.45% -2.49%
2024 6.23% 5.96% 1.92% 2.19%  

 201920202021202220232024 YTD
ROR-3.66%12.42%40.53%8.73%8.27%17.23%
Max DD-10.06%-13.20%-3.54%-13.84%-7.72%0.00%

Track Record Prepared By:

Program Statistics
Omega Ratio % Threshold 1.39
Peak-to-Valley Drawdown (1) (Apr 2022 - Jan 2023) -15.91%
Worst Monthly Return (Jan 2019) -8.76%
Current Losing Streak 0.00%
Average Monthly Return 1.27%
Monthly Std. Deviation 4.73%
# Months with Positive Performance 33
# Months with Negative Performance 31
Gain to Loss Ratio 1.90
Annualized Statistics
Compound ROR (2) 14.93%
Standard Deviation 16.39%
Downside Deviation (3) 8.76%
Sharpe Ratio (4) 0.87
Sortino Ratio (5) 1.04
Calmar Ratio (6) 0.96
Sterling Ratio (7) 0.80
Profit Loss Ratio 2.02

            Current Losing Streak = 0.00%

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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) 14.93%5.76%15.91%
Cumulative Return 110.07%34.78%119.75%
Cumulative VAMI(8) 210113482198
Largest Monthly Gain 13.18%2.99%12.82%
Largest Monthly Loss -8.76%-1.42%-12.35%
Profit Loss Ratio 2.023.771.87
Correlation —0.380-0.305
Last Month 2.19%1.27%-4.08%
Last 12 Months 12.30%8.28%22.67%
Last 36 Months 53.24%15.72%26.21%
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+++ Accounting Notes: From Sep 2013 - Apr 2014 the returns for this composite are presented pro forma net of 2/20 fees. Effective December 2014, the daily compounded method of calculating ROR was used for all accounts in the composite. Before December 2014, accounts that were opened or closed during the month or experienced material additions, withdrawals, or changes in nominal account size during the month were not included in the composite.

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 2013

*** 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.