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Report Start Date Report End Date


Trading Strategy: Option Writing / S&P 500

Program Description: McMillan Asset Management's primary objective is to provide a consistent, low volatility return stream that is uncorrelated to traditional investments. The Volatility Capture CTA strategy utilizes a repeatable process to systematically capture futures index option premium and manage drawdowns through the use of volatility derivatives. The strategy is managed in separate accounts providing for both liquidity and transparency.

Investment Information

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Client Trading from May 2018 to Dec 2018. Pro-Forma Proprietary Trading from Jan 2019 - Jun 2019. Client Trading from July 2019. See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
20190.63% 0.52% 0.73% 0.61% 2.41% 2.10% 1.02% -2.90% 2.65% 2.11% 1.34% 1.21%
2020 0.39% -33.73% 77.36% 1.28% 1.33% -1.32% 2.33% -1.07% 2.59% -0.40% 1.06% 0.68%
2021 0.52% 0.83% 0.79% 0.32% 0.22% 0.20% 0.15% 0.14% 2.15% -0.06% 0.92% 2.65%
2022 0.34% 1.25% 1.22% 3.39% 2.68% -8.22% -1.69% 1.75% 0.93% -0.55% -0.04% 0.01%
2023 0.20% 1.90% 0.58% 0.37% 0.62% -0.03% 0.30% 1.36% 0.77% 1.77% -0.03% 0.33%
2024 0.33% -0.06% 0.08%  

 201920202021202220232024 YTD
ROR13.03%25.77%9.15%0.57%8.43%0.35%
Max DD-2.90%-33.73%-0.06%-9.77%-0.03%-0.06%

Track Record Prepared By: N/A

Program Statistics
Omega Ratio % Threshold 1.77
Peak-to-Valley Drawdown (1) (Jan 2020 - Feb 2020) -33.73%
Worst Monthly Return (Feb 2020) -33.73%
Current Losing Streak 0.00%
Average Monthly Return 1.29%
Monthly Std. Deviation 10.77%
# Months with Positive Performance 50
# Months with Negative Performance 13
Gain to Loss Ratio 0.68
Annualized Statistics
Compound ROR (2) 10.61%
Standard Deviation 37.32%
Downside Deviation (3) 15.51%
Sharpe Ratio (4) 0.39
Sortino Ratio (5) 0.34
Calmar Ratio (6) 0.55
Sterling Ratio (7) 0.40
Profit Loss Ratio 2.62

            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) 10.61%5.60%17.11%
Cumulative Return 69.80%33.09%129.11%
Cumulative VAMI(8) 169813312291
Largest Monthly Gain 77.36%2.99%12.82%
Largest Monthly Loss -33.73%-1.42%-12.35%
Profit Loss Ratio 2.623.651.95
Correlation —0.287-0.208
Last Month 0.08%1.91%3.22%
Last 12 Months 5.95%8.29%29.88%
Last 36 Months 16.92%16.15%38.61%
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+++ Accounting Notes: Management of the Volatility Capture CTA strategy for outside investors began in May of 2018. At the end of December, the initial investors closed their account. For the purpose of continuity, the returns from Jan 2019 through June 2019 reflect the proforma performance of a proprietary account. No actual fees were charged to this account during that time period, however the performance reflects a performance fee of 20% of profits. Client performance resumes in July 2019 and continues going forward.

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 2018

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.