Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Systematic / Intraday / Diversified

Program Description: The GT Systematic Day Trading Program relies primarily technical indicators, specifically the Elliot Wave Principle, in determining positions. The Elliott Wave Principle is a form of technical analysis used by trader to analyze financial market cycles and forecast market trends by identifying extremes in investor psychology, highs and lows in prices, and other collective factors. The Elliott Wave Principle posits that collective investor psychology, or crowd psychology, moves between optimism and pessimism in natural sequences. These mood swings create patterns evidenced in the price movements of markets at every degree of trend or time scale. The program will result on both trend following and counter trend following position.

Investment Information

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Performance Since January 2019

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019	9.65%	4.21%	-9.57%	0.48%	2.60%	-3.18%	-2.10%	2.70%	2.70%	3.22%	-1.69%	2.13%
2020	-9.62%	12.22%	19.57%	3.18%	0.20%	-6.66%	-7.33%	-9.34%	6.18%	1.06%	-1.35%	-6.89%
2021	-3.68%	4.73%	5.91%	-3.73%	-1.01%	-1.07%	-6.15%	-0.17%	-0.97%	0.30%	5.04%	-11.58%
2022	8.30%	-5.53%	2.83%	-1.71%	7.70%	4.87%	-1.91%	7.21%	5.72%	-13.89%	4.47%	-2.56%
2023	-9.09%	-4.00%	3.18%	7.77%	-3.20%	2.49%	1.26%	-12.23%	2.72%	12.90%	2.43%	-3.23%

	2019	2020	2021	2022	2023 YTD
ROR	10.35%	-3.09%	-12.95%	13.82%	-1.64%
Max DD	-11.64%	-22.71%	-18.52%	-13.89%	-14.43%

Track Record Prepared By: Donahue Associates LLC

Program Statistics
Omega Ratio % Threshold	0.89
Peak-to-Valley Drawdown (1) (May 2020 - Aug 2023)	-34.47%
Worst Monthly Return (Oct 2022)	-13.89%
Current Losing Streak	-24.67%
Average Monthly Return	0.27%
Monthly Std. Deviation	6.48%
# Months with Positive Performance	32
# Months with Negative Performance	28
Gain to Loss Ratio	0.98

Annualized Statistics
Compound ROR (2)	0.83%
Standard Deviation	22.43%
Downside Deviation (3)	15.91%
Sharpe Ratio (4)	0.10
Sortino Ratio (5)	-0.26
Calmar Ratio (6)	-0.03
Sterling Ratio (7)	-0.03
Profit Loss Ratio	1.11

Current Losing Streak = -24.67%

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Select an index or program to add as a benchmark:

Comparisons	Program	AG CTA Index	SP 500 TR
Annualized Compound ROR (2)	0.83%	5.04%	15.69%
Cumulative Return	4.23%	27.89%	107.23%
Cumulative VAMI(8)	1042	1279	2072
Largest Monthly Gain	19.57%	2.99%	12.82%
Largest Monthly Loss	-13.89%	-1.42%	-12.35%
Profit Loss Ratio	1.11	3.29	1.85
Correlation	—	-0.055	-0.365
Last Month	-3.23%	1.67%	4.54%
Last 12 Months	-1.64%	3.77%	26.29%
Last 36 Months	-2.54%	14.54%	33.11%

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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 Aug 2017

*** 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 2023-12-31
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.