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Report Start Date Report End Date


Trading Strategy: Fundamental / Agricultural
4.7 Exempt - QEPs Only

Program Description: The primary focus of the trading program is agricultural commodity markets with particular emphasis on soybean, soybean products, and commodity futures and options, but does occasionally trade other markets. Mr. Davis develops trading strategies that may involve long or short futures positions as well as intra- and inter-market spread positions. Options are frequently used to manage risk exposure or general additional opportunities. Technical or chart analysis is generally used only to help determine entrance and exit points, as Mr. Davis believes that fundamentals ultimately determine price movement.

Investment Information

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Proprietary Performance Pro-Forma from Jan 2012 through Dec 2015. Davis Commodities Performance from Jan 2016. Please see Acct Notes for Additional Information. See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-2.02% -2.11% -2.98% 2.10% 5.99% -3.54% -1.32% -2.09% 3.15% 3.41% -1.96% 1.57%
2020 3.83% 0.31% 0.80% 4.55% -0.30% 1.91% 2.13% 4.25% 3.61% 3.40% 4.89% 4.46%
2021 -1.06% 1.09% -4.28% 5.65% 1.89% -0.76% -3.47% 2.36% 1.31% -0.58% -0.59% -0.07%
2022 4.93% 4.05% -0.88% -1.90% 0.19% 0.59% -0.67% -3.42% 2.34% -0.51% -0.69% 1.72%
2023 0.23% -1.40% -0.45% 3.08% 2.30% -0.85% -1.04% -0.10% -0.87% -1.91% -0.75% 3.24%
2024 5.39% 5.95% -2.53%  

 201920202021202220232024 YTD
ROR-0.31%39.38%1.11%5.57%1.32%8.84%
Max DD-6.95%-0.30%-4.28%-5.99%-5.40%-2.53%

Track Record Prepared By: N/A

Program Statistics
Omega Ratio % Threshold 1.23
Peak-to-Valley Drawdown (1) (Jan 2019 - Mar 2019) -6.95%
Worst Monthly Return (Mar 2021) -4.28%
Current Losing Streak -2.53%
Average Monthly Return 0.82%
Monthly Std. Deviation 2.67%
# Months with Positive Performance 33
# Months with Negative Performance 30
Gain to Loss Ratio 1.95
Annualized Statistics
Compound ROR (2) 9.82%
Standard Deviation 9.24%
Downside Deviation (3) 5.29%
Sharpe Ratio (4) 0.95
Sortino Ratio (5) 0.85
Calmar Ratio (6) 1.19
Sterling Ratio (7) 0.48
Profit Loss Ratio 2.14

            Current Losing Streak = -2.53%

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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) 9.82%5.60%17.11%
Cumulative Return 63.55%33.12%129.11%
Cumulative VAMI(8) 163613312291
Largest Monthly Gain 5.99%2.99%12.82%
Largest Monthly Loss -4.28%-1.42%-12.35%
Profit Loss Ratio 2.143.661.95
Correlation —0.041-0.018
Last Month -2.53%1.93%3.22%
Last 12 Months 12.09%8.32%29.88%
Last 36 Months 22.95%16.18%38.61%
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+++ Accounting Notes: Proprietary Performance Pro-Forma Adjusted for a 2% Management Fee and 20% Incentive Fee from Jan 2012 through Dec 2015. Jan 2016 onwards performance data began applying to Davis Commodities rather than individual Stephen Davis. Trading Style has remained the same through the transition.

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 Jan 2012

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.