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Report Start Date Report End Date


Trading Strategy: Systematic / Intraday / Momentum / Equity Index (Futures)
4.7 Exempt - US Clients must be QEP

Program Description: ICA is a pure intraday momentum program, focusing on large tail events in global equity indices, aiming to stay away from the average daily trading ranges that tend to be mean reverting. ICA is designed to benefit from big intraday moves to the upside as well as downside, generating pure alpha and providing hedging capabilities in times of crisis without the usual cost of an insurance premium. Trading only intraday and closing out all positions by the end of the trading session, ICA is extremely capital efficient and can be implemented on top of any portfolio without additional capital requirements. While the program has initially been developed and traded on the S&P 500 futures, it has matured into a global program, trading a total of 16 equity index futures in the uncorrelated intraday sessions in the US, Asia (added in 01/2019) and Europe (added in 11/2019).

Investment Information

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ProForma Returns adjusted for a 1% management fee & 20% trading fee. Prior to June 2018 returns represent performance record of Systematic Absolute Return AG. See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
20191.13% 2.45% 1.03% -1.34% -2.22% 0.25% -2.16% 1.40% 0.18% -2.10% 2.52% -1.73%
2020 4.35% 4.61% 0.16% 4.37% 2.36% 7.58% -2.06% -1.68% -0.57% -7.55% -1.36% -2.18%
2021 -3.49% 3.12% -0.41% -0.80% 0.25% -0.97% 5.49% -3.83% 0.69% -1.10% -0.69% 3.36%
2022 0.82% 2.02% 1.21% 5.50% 4.46% 2.79% 1.28% 1.15% -5.23% 0.17% 1.00% 1.43%
2023 -0.31% -3.85% 1.98% -0.63% -0.89% 1.11% -0.01% 0.24% -1.39% -2.46% 1.76% -1.85%
2024 1.32% -3.26% 0.14%  

 201920202021202220232024 YTD
ROR-0.76%7.33%1.22%17.51%-6.26%-1.84%
Max DD-5.90%-14.59%-4.89%-5.23%-6.26%-3.26%

Track Record Prepared By: Circle Partners, Netherlands

Program Statistics
Omega Ratio % Threshold 1.04
Peak-to-Valley Drawdown (1) (Jun 2020 - Jan 2021) -17.57%
Worst Monthly Return (Oct 2020) -7.55%
Current Losing Streak -10.52%
Average Monthly Return 0.28%
Monthly Std. Deviation 2.70%
# Months with Positive Performance 35
# Months with Negative Performance 28
Gain to Loss Ratio 1.05
Annualized Statistics
Compound ROR (2) 2.96%
Standard Deviation 9.35%
Downside Deviation (3) 6.71%
Sharpe Ratio (4) 0.25
Sortino Ratio (5) -0.29
Calmar Ratio (6) 0.32
Sterling Ratio (7) 0.21
Profit Loss Ratio 1.31

            Current Losing Streak = -10.52%

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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) 2.96%5.60%17.11%
Cumulative Return 16.56%33.09%129.11%
Cumulative VAMI(8) 116613312291
Largest Monthly Gain 7.58%2.99%12.82%
Largest Monthly Loss -7.55%-1.42%-12.35%
Profit Loss Ratio 1.313.651.95
Correlation —-0.0180.033
Last Month 0.14%1.91%3.22%
Last 12 Months -5.87%8.29%29.88%
Last 36 Months 10.42%16.15%38.61%
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+++ Accounting Notes: Pro-Forma returns shown are actual investment returns net of an assumed 1% annual management fee, payable monthly in arrears, and a quarterly performance fee of 20% of net new trading profits. ICA program returns prior to June 2018 represent the track record of ICA managed at Systematic Absolute Return AG by its founding principal Arne Schmidt and Michael Ahrndt, who joined Deep Field Capital in Q1 2018. Extracted returns (prior to June 2018) are that of ICA as a sub-component of the Systematic Volatility Arbitrage Program (VolArb), with a nominal of seventy percent of this program's assets, and hence being traded on 0.7x. Adjustments have been made to the actual 0.7x returns to scale up the leverage to a 1x to represent a 1x track record of the ICA Program as offered and traded by Deep Field Capital. Beginning June 2018, ICA returns represent the composite trading returns of all client accounts trading the ICA Program as a stand-alone program, managed by Deep Field Capital. The leverage adjustments make the returns hypothetical for the period prior to June 2018. Further information on the methodology for calculating the presented performance including original broker statements is available upon request.

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 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 2024-03-31
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.