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Report Start Date Report End Date


Trading Strategy: Quantitative / Global Macro / Diversified

Program Description: The O'Brien Investment Group (OBIG) Quantitative Global Macro Futures Program is a systematic strategy diversified across 45 different financial and commodity futures markets including global stock indices, global interest rates, currencies, metals, energies, grains, softs and meats. The foundation of the strategy are long-term trend following models seeking to capture absolute returns. Trend following has historically generated "crisis alpha" during times of stress in the markets. The strategy also incorporates a series of options on futures models with a goal of smoothing out the return stream and to generate positive returns when implied volatility levels are attractive. The option models will not sell naked short open positions. Only covered positions or long puts / long call positions are considered.

Investment Information

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Pro-Forma Performance Adjusted for a 1% Management Fee and 20% Incentive Fee. See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
20191.30% 1.08% 0.93% 2.42% -1.10% 1.54% 1.39% 2.55% -1.67% -1.79% -0.06% 0.95%
2020 -0.30% 0.53% 1.51% -1.33% -1.56% -2.74% 9.72% -1.12% -1.35% 1.90% -2.66% 1.59%
2021 -0.25% 9.78% -1.28% 3.12% -2.48% -1.22% 2.08% 0.57% 3.92% 1.97% -2.74% -3.94%
2022 1.99% 3.80% 8.78% 2.89% -0.26% 0.83% -3.85% -0.10% 3.72% 1.20% -8.23% 0.44%
2023 -2.51% -0.15% -4.05% 6.49% 4.56% -0.04% -2.04% -4.38% 3.08% -3.64% -2.39% 5.50%
2024 0.00% 9.23% 0.56% 5.32%  

 201920202021202220232024 YTD
ROR7.69%3.64%9.12%10.73%-0.38%15.68%
Max DD-3.49%-5.53%-6.58%-8.23%-9.22%0.00%

Track Record Prepared By:

Program Statistics
Omega Ratio % Threshold 1.11
Peak-to-Valley Drawdown (1) (Oct 2022 - Mar 2023) -13.91%
Worst Monthly Return (Nov 2022) -8.23%
Current Losing Streak 0.00%
Average Monthly Return 0.75%
Monthly Std. Deviation 3.48%
# Months with Positive Performance 35
# Months with Negative Performance 29
Gain to Loss Ratio 1.50
Annualized Statistics
Compound ROR (2) 8.62%
Standard Deviation 12.06%
Downside Deviation (3) 7.02%
Sharpe Ratio (4) 0.66
Sortino Ratio (5) 0.49
Calmar Ratio (6) 0.55
Sterling Ratio (7) 0.39
Profit Loss Ratio 1.81

            Current Losing Streak = 0.00%

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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) 8.62%5.76%15.91%
Cumulative Return 55.42%34.78%119.75%
Cumulative VAMI(8) 155413482198
Largest Monthly Gain 9.78%2.99%12.82%
Largest Monthly Loss -8.23%-1.42%-12.35%
Profit Loss Ratio 1.813.771.87
Correlation —0.618-0.139
Last Month 5.32%1.27%-4.08%
Last 12 Months 15.85%8.28%22.67%
Last 36 Months 24.91%15.72%26.21%
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+++ Accounting Notes: The strategy was opened up to outside investors in July 2017. The first external managed account began trading July 19, 2017. The performance for July 2017 does not represent a full month. Furthermore, the actual trading results for July 2017 and going forward are pro forma and net of all trading costs to a 1% Management Fee and a 20% Incentive Fee paid quarterly. Separately Managed Account performance can be higher or lower than the below reported performance of the program depending upon several factors such as commission and fee levels, investment amount, duration, the actual prices received and government taxes (if applicable). The results are based on pro forma adjustments assuming the above stated fee structure. In reality, accounts may have different fee structures, higher or lower commission rates and can be traded with a higher or lower leverage which could result in significant different performance in an actual account.

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 Jul 2017

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.