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Report Start Date Report End Date


Trading Strategy: Algorithmic / Energies
4.7 Exempt - QEP Investors Only

Program Description: The Systematic Energy Diversified program comprises of 5 algorithms derived from the advisor's 10 years spent working at JP Morgan. The 5 algorithms focus on the movement of oil products around the world and forecasting future supply and demand. The program will trade futures and options on WTI, BRENT, Heating oil, and Gasoline. The algorithms look at the underlying fundamental data of each respective product and will identify trades within each product. The algorithms look at fundamental data in the energy markets. We are a very unique systematic strategy in that we don't use any technical analysis or standard price based indicators to identify opportunities

Investment Information

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Performance Since January 2019

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-3.67% 2.64% -0.92% 6.47% 6.37% -1.11% -1.02% -5.59% 3.99% 3.54% -0.77% -2.38%
2020 7.15% -3.60% 14.94% 10.39% 3.55% 1.03% -1.82% -1.08% 1.72% -8.81% 0.20% -0.28%
2021 3.15% 7.02% -2.67% -7.51% 1.68% 3.75% 3.27% -2.91% -1.35% 4.03% -5.10% -0.51%
2022 5.58% 10.05% 25.16% -5.53% -1.36% 0.86% -7.30% -1.01% 0.30% 4.33% -4.95% 6.03%
2023 0.56% -4.10% 7.27% 7.84% 2.30% 2.74% 6.30% -4.86% -1.25% -5.88% -2.86% -2.07%
2024 2.46% -2.81% -3.72%  

 201920202021202220232024 YTD
ROR6.97%23.44%1.86%32.25%4.84%-4.12%
Max DD-7.59%-9.98%-9.98%-14.23%-15.88%-6.43%

Track Record Prepared By: CTA Services

Program Statistics
Omega Ratio % Threshold 1.37
Peak-to-Valley Drawdown (1) (Jul 2023 - Mar 2024) -19.35%
Worst Monthly Return (Oct 2020) -8.81%
Current Losing Streak -19.35%
Average Monthly Return 1.08%
Monthly Std. Deviation 5.70%
# Months with Positive Performance 32
# Months with Negative Performance 31
Gain to Loss Ratio 1.63
Annualized Statistics
Compound ROR (2) 11.70%
Standard Deviation 19.74%
Downside Deviation (3) 10.30%
Sharpe Ratio (4) 0.61
Sortino Ratio (5) 0.60
Calmar Ratio (6) 0.41
Sterling Ratio (7) 0.34
Profit Loss Ratio 1.69

            Current Losing Streak = -19.35%

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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) 11.70%5.64%17.11%
Cumulative Return 78.80%33.35%129.11%
Cumulative VAMI(8) 178813342291
Largest Monthly Gain 25.16%2.99%12.82%
Largest Monthly Loss -8.81%-1.42%-12.35%
Profit Loss Ratio 1.693.671.95
Correlation —0.243-0.045
Last Month -3.72%2.10%3.22%
Last 12 Months -2.83%8.51%29.88%
Last 36 Months 26.03%16.38%38.61%
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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 Jan 2019

*** 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.