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Report Start Date Report End Date


Trading Strategy: LT Trend Following / Revsersal
4.7 Exempt - Qualified Eligible Persons Only

Program Description: WMA Institutional is a fully diversified 100% systematic medium to long-term trend following program, encompassing a portfolio of financial, energy, metal and agricultural futures markets. WMA Institutional is a compounded growth strategy. The investment objective is to extract profits from up and down trends, resulting in a return stream that exhibits very low correlation with traditional asset classes. WMA Institutional targets 1/2 the volatility of DUNN's flagship WMA Program and is expected to average ~11.5% annually over time (vs. ~23% for the standard WMA Program).

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
2019-1.67% 0.85% 5.38% 0.85% 0.57% 2.15% 2.50% 5.47% -5.63% -3.02% 1.47% -0.15%
2020 0.19% -2.71% 3.82% 0.22% -1.42% -1.70% -0.59% 0.85% -2.63% -0.08% -0.16% 3.92%
2021 -1.16% 1.73% 0.87% 3.76% 1.32% -2.21% -1.18% -0.31% 0.62% 4.32% -7.75% 3.07%
2022 4.59% 3.65% 6.66% 4.19% -0.61% 1.05% -3.07% 6.44% 3.53% 0.31% -4.18% 2.09%
2023 -4.54% 5.59% -7.18% 4.12% 2.03% 3.44% -0.52% -1.27% 1.24% -3.29% -6.06% -1.68%
2024 4.74% 9.38% 1.32%  

 201920202021202220232024 YTD
ROR8.54%-0.56%2.52%26.83%-8.69%16.08%
Max DD-8.48%-5.65%-7.75%-4.18%-11.18%0.00%

Track Record Prepared By: N/A

Program Statistics
Omega Ratio % Threshold 1.07
Peak-to-Valley Drawdown (1) (Aug 2019 - Nov 2020) -11.26%
Worst Monthly Return (Nov 2021) -7.75%
Current Losing Streak 0.00%
Average Monthly Return 0.69%
Monthly Std. Deviation 3.45%
# Months with Positive Performance 37
# Months with Negative Performance 26
Gain to Loss Ratio 1.17
Annualized Statistics
Compound ROR (2) 7.86%
Standard Deviation 11.96%
Downside Deviation (3) 8.05%
Sharpe Ratio (4) 0.61
Sortino Ratio (5) 0.34
Calmar Ratio (6) 0.96
Sterling Ratio (7) 0.56
Profit Loss Ratio 1.67

            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) 7.86%5.60%17.11%
Cumulative Return 48.76%33.12%129.11%
Cumulative VAMI(8) 148813312291
Largest Monthly Gain 9.38%2.99%12.82%
Largest Monthly Loss -7.75%-1.42%-12.35%
Profit Loss Ratio 1.673.661.95
Correlation —0.565-0.193
Last Month 1.32%1.93%3.22%
Last 12 Months 13.30%8.32%29.88%
Last 36 Months 35.89%16.18%38.61%
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+++ Accounting Notes: Previously: From inception of WMA Institutional in Oct 2011 through mid-Jan 2013, the program targeted a 12% annualized volatility. Currently: Beginning Jan 2013, WMA Institutional targets 1/2 the volatility of the WMA Program. In mid-Jan 2013 DUNN's research team implemented a new risk management methodology to replace the previously fixed value at risk ("VaR") target. The new risk management methodology, referred to as the Adaptive Risk Profile ("ARP"), gears the portfolio's VaR to current market conditions. Under ARP, VaR is recalibrated daily based on a proprietary metric that incorporates trend confidence, volatility and market correlations and serves to size WMA's portfolio positions accordingly. VaR at the 99% confidence level is in the range of -11% to -4%, with an average VaR of -8%. This risk management methodology improvement is expected to reduce WMA's downside deviation by about 25%, with no adverse impact on upside performance.

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 Nov 2011

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.