Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Discretionary / Option Writer / Stock Indices

Program Description: Warrington Asset Management's Tactical trading program builds on the firm's nineteen year history of successful money management. Utilizing a fundamental, discretionary trading strategy based solely on S&P 500 futures options, we seek to produce consistent, non-volatile, superior returns that are uncorrelated to stocks, bonds, and other CTAs. The short-term trading strategy sells options, usually 1-2 weeks before expiration, which are deep out-of-the-money to capture small, consistent profits, with disciplined risk management to protect against adverse market moves. The option trades are spread across multiple serial, quarterly, end-of-month and weekly expirations, providing additional diversification.

Investment Information

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Client Returns from Feb 2015. Proprietary ProForma Results prior to Feb 2015 have been adjusted for a 2% management fee and 20% incentive fee See Accounting Notes+++

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019	0.43%	0.39%	0.51%	0.56%	-0.02%	0.73%	0.75%	-0.17%	0.43%	0.05%	0.45%	0.39%
2020	-0.11%	0.10%	0.01%	0.47%	0.46%	-0.24%	0.38%	0.35%	-1.03%	0.31%	0.24%	0.46%
2021	0.35%	0.26%	0.31%	0.33%	0.53%	0.49%	0.49%	0.33%	0.36%	0.28%	0.11%	0.11%
2022	-0.30%	0.00%	0.20%	-0.09%	-0.12%	-0.23%	0.03%	0.07%	0.00%	0.02%	-0.01%	0.13%
2023	0.09%	0.15%	0.07%	0.11%	0.23%	0.22%	0.29%	0.41%	0.31%	0.37%	0.54%	0.63%
2024	0.52%	0.78%	0.81%

	2019	2020	2021	2022	2023	2024 YTD
ROR	4.59%	1.40%	4.02%	-0.30%	3.47%	2.12%
Max DD	-0.17%	-1.03%	0.00%	-0.54%	0.00%	0.00%

Track Record Prepared By:

Program Statistics
Omega Ratio % Threshold	1.24
Peak-to-Valley Drawdown (1) (Aug 2020 - Sep 2020)	-1.03%
Worst Monthly Return (Sep 2020)	-1.03%
Current Losing Streak	0.00%
Average Monthly Return	0.24%
Monthly Std. Deviation	0.30%
# Months with Positive Performance	53
# Months with Negative Performance	10
Gain to Loss Ratio	1.42

Annualized Statistics
Compound ROR (2)	2.90%
Standard Deviation	1.06%
Downside Deviation (3)	1.14%
Sharpe Ratio (4)	1.78
Sortino Ratio (5)	-1.77
Calmar Ratio (6)	5.16
Sterling Ratio (7)	0.27
Profit Loss Ratio	7.50

Comparisons	Program	AG CTA Index	SP 500 TR
Annualized Compound ROR (2)	2.90%	5.59%	17.11%
Cumulative Return	16.22%	33.06%	129.11%
Cumulative VAMI(8)	1162	1331	2291
Largest Monthly Gain	0.81%	2.99%	12.82%
Largest Monthly Loss	-1.03%	-1.42%	-12.35%
Profit Loss Ratio	7.50	3.65	1.95
Correlation	—	0.303	0.434
Last Month	0.81%	1.89%	3.22%
Last 12 Months	5.34%	8.27%	29.88%
Last 36 Months	8.59%	16.13%	38.61%

+++ Accounting Notes: Prior to February 2015, the performance returns presented herein are the composite returns of Warrington Asset Management LLC (the "Manager") representing multiple managed accounts consisting of proprietary capital of Mr. Scott Kimple, the principal of the Manager (the "Proprietary Returns"). The Proprietary Returns are presented pro forma net of fees (2% management fee and 20% performance allocation) and net of all brokerage and trading related expenses. Starting with February 2015, the performance returns presented herein are the composite returns of the Manager representing multiple third party managed accounts (the "Third Party Returns"). The Third Party Returns are presented net of all fees (2% management fee and 20% performance allocation) and net of all brokerage and trading related expenses.

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 May 2012

*** 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.