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Report Start Date Report End Date


Trading Strategy: Volatility Trading in VIX Futures
4.7 Exempt - QEPs Only

Program Description: The Coloma Hedged Volatility Strategy looks to take advantage of mispricing in VIX futures while reducing risk with a statistically-driven overlay strategy. Conceptually, risk-sensitive market participants have alternating emotions of enthusiasm and fear which impact stock market volitility and the related futures. This influence on market structure frequently creates mispricing opportunities in diverse market environments for the strategy. The approach takes both long and short views on volatility. The day-to-day signal generation is systematic with human oversight and trade execution.

Investment Information

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Proprietary Performance from May 10, 2013 to July 17, 2013 Pro-Forma adjusted for 2% management and 20% incentive fee. Client Performance from July 18, 2013. See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-1.56% -0.75% -0.65% 0.23% 5.33% -2.55% -0.30% -4.15% 0.14% 3.04% -0.10% 3.30%
2020 -0.10% 1.40% -4.80% -5.00% -4.10% -5.90% -0.50% -1.90% 3.10% -1.70% 1.90% -2.60%
2021 1.60% 2.00% 2.20% -0.90% 0.30% 0.80% -0.50% -1.80% -1.50% 0.10% 2.30% 0.20%
2022 -0.70% -2.40% -2.20% 4.40% 2.80% -0.20% 0.30% 3.90% 3.20% -0.40% 0.50% 1.60%
2023 3.20% 2.20% -8.80% 0.90% -1.00% 1.40% -2.10% 1.10% 0.10% -3.70% -1.00% -1.50%
2024 -0.90% -0.70% 0.00%  

 201920202021202220232024 YTD
ROR1.62%-18.83%4.79%11.04%-9.35%-1.59%
Max DD-6.87%-20.34%-3.76%-5.22%-14.05%-1.59%

Track Record Prepared By: Coloma Capital

Program Statistics
Omega Ratio % Threshold 0.76
Peak-to-Valley Drawdown (1) (Feb 2020 - Mar 2022) -20.41%
Worst Monthly Return (Mar 2023) -8.80%
Current Losing Streak -16.83%
Average Monthly Return -0.21%
Monthly Std. Deviation 2.58%
# Months with Positive Performance 30
# Months with Negative Performance 33
Gain to Loss Ratio 0.88
Annualized Statistics
Compound ROR (2) -2.91%
Standard Deviation 8.93%
Downside Deviation (3) 7.81%
Sharpe Ratio (4) -0.40
Sortino Ratio (5) -1.00
Calmar Ratio (6) -0.04
Sterling Ratio (7) -0.04
Profit Loss Ratio 0.80

            Current Losing Streak = -16.83%

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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) -2.91%5.59%17.11%
Cumulative Return -14.38%33.06%129.11%
Cumulative VAMI(8) 85613312291
Largest Monthly Gain 5.33%2.99%12.82%
Largest Monthly Loss -8.80%-1.42%-12.35%
Profit Loss Ratio 0.803.651.95
Correlation —-0.194-0.226
Last Month 0.00%1.89%3.22%
Last 12 Months -7.26%8.27%29.88%
Last 36 Months -2.00%16.13%38.61%
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+++ Accounting Notes: Proprietary Account Composite return data is from May 10, 2013 to July 17, 2013 close and Client Composite inception is from July 18, 2013 onward. 2013 Year-to-date returns combine Proprietary Account and Client Composite monthly returns. Proprietary Account Composite returns were adjusted on a pro forma basis to include a 2% annual (0.167% monthly) management fee and 20% incentive fee paid monthly. All returns include estimated or realized commissions and fees (realized and/or accrued).

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 2013

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.