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Report Start Date Report End Date


Trading Strategy: Systematic / Long Short / Diversified

Program Description: The objective of the World Select Program is to deliver high absolute returns in rising or falling markets through systematic long-term positioning in managed futures. The program seeks to dynamically construct long-short portfolios that efficiently allocate risk across 6 distinct sectors - equities, fixed income, currencies, energies, metals, and agricultural markets. The program invests in over 26 futures markets listed on regulated exchanges around the world and takes a long-term approach to capturing momentum by holding positions, on average, for 180 days. This long-term perspective reduces the likelihood of being shaken out of the market by short-term price fluctuations. Portfolio selection is done systematically and position evaluation criteria include absolute and relative momentum, market volatility and correlations, term structure based signals, and relative market/sector valuations.

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
2019-4.40% 0.23% 1.42% 0.55% -0.97% -1.42% -0.04% 2.83% -3.50% -1.03% -0.97% 0.91%
2020 1.43% 1.81% 2.72% 0.51% 1.08% 0.02% 1.15% -2.18% 0.36% -1.76% 1.00% 3.52%
2021 0.59% -1.99% 1.21% 2.37% -0.10% 1.68% -1.00% 1.46% 3.63% 0.82% -2.72% -0.09%
2022 4.68% 0.94% 8.89% 6.17% -1.48% -5.90% 2.87% 5.83% 2.19% 2.03% -2.57% -3.50%
2023 -2.26% 2.41% -5.36% 0.93% 1.30% -2.91% 0.63% 1.37% 0.41% 1.35% 1.16% -0.74%
2024 2.07% 3.05% 0.79%  

 201920202021202220232024 YTD
ROR-6.42%9.94%5.83%20.86%-1.98%6.01%
Max DD-7.26%-3.56%-2.81%-7.29%-6.05%0.00%

Track Record Prepared By:

Program Statistics
Omega Ratio % Threshold 0.96
Peak-to-Valley Drawdown (1) (Oct 2022 - Jun 2023) -11.59%
Worst Monthly Return (Jun 2022) -5.90%
Current Losing Streak -2.30%
Average Monthly Return 0.53%
Monthly Std. Deviation 2.61%
# Months with Positive Performance 41
# Months with Negative Performance 22
Gain to Loss Ratio 0.92
Annualized Statistics
Compound ROR (2) 6.14%
Standard Deviation 9.05%
Downside Deviation (3) 6.13%
Sharpe Ratio (4) 0.59
Sortino Ratio (5) 0.18
Calmar Ratio (6) 0.87
Sterling Ratio (7) 0.64
Profit Loss Ratio 1.71

            Current Losing Streak = -2.30%

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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) 6.14%5.60%17.11%
Cumulative Return 36.75%33.09%129.11%
Cumulative VAMI(8) 136813312291
Largest Monthly Gain 8.89%2.99%12.82%
Largest Monthly Loss -5.90%-1.42%-12.35%
Profit Loss Ratio 1.713.651.95
Correlation —0.421-0.157
Last Month 0.79%1.91%3.22%
Last 12 Months 9.70%8.29%29.88%
Last 36 Months 33.21%16.15%38.61%
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+++ Accounting Notes: When calculating the yearly rate of return the Advisor resets the nominal value at the beginning of each month and as a result the yearly return is computed as an addition of all months and is not compounded. As of June 1, 2020 performance in the World Select program is based on a proprietary account held by the advisor. Performance is formulated using a 1% management fee and a 20% incentive fee. No material differences arise between such performance and the performance of the offered trading program.

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 Apr 2016

*** 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.