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Report Start Date Report End Date


Trading Strategy: Short-Term / Momentum / Diversified
4.7 Exempt - QEPs Only

Program Description: AQO is a short term momentum strategy with trades lasting 8 days on average. Trades are filtered for maximum volatility expansion potential and are timed using short term trade entry techniques. Trading systems are weighted within the portfolio based on their contributions to targeted volatility and drawdown levels. Integrated risk models manage risks by monitoring volatility metrics, market liquidity and sector exposure limits.

Investment Information

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Pro-Forma Performance from Feb 2002 to January 2009 based on one-client account. Results Feb 2009 represents total client performance. See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-7.73% -2.46% 3.98% -1.54% 6.52% 6.06% 2.10% 8.47% -4.44% -0.90% -0.38% -1.80%
2020 7.32% 0.58% 8.81% -0.18% -4.36% -0.43% 5.35% -3.43% -6.69% 0.17% -4.29% 1.44%
2021 -4.84% 13.09% 2.90% 2.68% -1.23% -0.33% 0.74% -1.82% -0.12% 7.65% -4.82% -1.90%
2022 -0.60% 0.69% 13.38% 9.81% -0.73% 1.23% -1.70% 2.00% 7.19% -2.54% -5.72% 1.26%
2023 -4.21% -0.26% -7.43% 2.08% -1.77% 0.22% 0.85% -5.85% 7.48% -0.54% -2.31% -1.16%
2024 2.81% -0.29% 5.65% 7.47%  

 201920202021202220232024 YTD
ROR6.79%3.07%11.13%25.23%-12.89%16.39%
Max DD-10.00%-13.61%-6.63%-8.11%-15.61%-0.29%

Track Record Prepared By:

Program Statistics
Omega Ratio % Threshold 1.23
Peak-to-Valley Drawdown (1) (Sep 2022 - Aug 2023) -21.48%
Worst Monthly Return (Jan 2019) -7.73%
Current Losing Streak -5.67%
Average Monthly Return 0.80%
Monthly Std. Deviation 4.77%
# Months with Positive Performance 30
# Months with Negative Performance 34
Gain to Loss Ratio 1.79
Annualized Statistics
Compound ROR (2) 8.61%
Standard Deviation 16.51%
Downside Deviation (3) 9.49%
Sharpe Ratio (4) 0.52
Sortino Ratio (5) 0.36
Calmar Ratio (6) 0.35
Sterling Ratio (7) 0.36
Profit Loss Ratio 1.58

            Current Losing Streak = -5.67%

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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) 8.61%5.76%15.91%
Cumulative Return 55.31%34.78%119.75%
Cumulative VAMI(8) 155313482198
Largest Monthly Gain 13.38%2.99%12.82%
Largest Monthly Loss -7.73%-1.42%-12.35%
Profit Loss Ratio 1.583.771.87
Correlation —0.630-0.320
Last Month 7.47%1.27%-4.08%
Last 12 Months 12.30%8.28%22.67%
Last 36 Months 24.10%15.72%26.21%
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+++ Accounting Notes: For the periods Feb 2002 through Oct 2002 and Feb 2005 through Jan 2009, the performance shown represents the pro forma extracted trading results of one client account managed by Quest. Beginning Feb 2009, the performance shown represents the total trading results of client accounts in this program and therefore no longer includes extracted performance or pro forma adjustments.

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 Feb 2002

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 2024-04-30
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.