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Report Start Date Report End Date


Trading Strategy: Discretionary / Systematic Guidance / Softs & Ags
3C1 Exemption - QEPs Only

Program Description: Martin Options Program (MOP) utilizes option spreads structures to profit from macro opportunities in the Softs (Coffee Sugar Cocoa), Grains (Corn Soybeans Wheat) and Precious Metals (Gold) commodity sectors. The program recognizes that many of these commodities are at or near 30+ year lows; with a major post-COVID crisis demand surge on the horizon, the program seeks significant opportunities using option structures within a robust multi-layered risk management system. The program also recognizes the increased volatility in these markets given many new factors (China trade war/deal, COVID-19, EM currency routs); the program seeks to benefit from this volatility within a systematic risk protocol. MOP targets a 15% volatility, annual return goals of 20%+, with a target Sharpe ratio of 1.5+ or better. Strategy capacity USD 500M.

Investment Information

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Performance Since May 2020 See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2020  4.58% -2.19% 11.35% -2.60% 0.06% 0.15% 3.13% 22.25%
2021 15.38% 10.34% -5.25% 16.25% 2.51% -2.74% 18.53% 2.83% 0.56% -0.49% 5.42% -0.73%
2022 1.73% 0.17% -5.23% 0.69% 1.84% -0.22% -6.95% 11.05% -2.78% -16.65% 1.03% -1.52%
2023 4.64% -0.93% -4.36% -0.11% 0.88% 10.13% 4.07% -4.85% -3.01% 1.50% 1.71% 21.35%

 2020202120222023 YTD
ROR40.16%78.45%-17.68%32.39%
Max DD-2.60%-5.25%-19.38%-7.71%

Track Record Prepared By: Deloitte

Program Statistics
Omega Ratio % Threshold 2.39
Peak-to-Valley Drawdown (1) (Aug 2022 - Apr 2023) -20.15%
Worst Monthly Return (Oct 2022) -16.65%
Current Losing Streak 0.00%
Average Monthly Return 2.58%
Monthly Std. Deviation 7.70%
# Months with Positive Performance 27
# Months with Negative Performance 17
Gain to Loss Ratio 1.81
Annualized Statistics
Compound ROR (2) 31.45%
Standard Deviation 26.69%
Downside Deviation (3) 11.85%
Sharpe Ratio (4) 1.12
Sortino Ratio (5) 1.92
Calmar Ratio (6) 1.23
Sterling Ratio (7) 1.19
Profit Loss Ratio 2.87

            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) 31.45%5.08%16.26%
Cumulative Return 172.58%19.93%73.74%
Cumulative VAMI(8) 272611991737
Largest Monthly Gain 22.25%2.99%10.95%
Largest Monthly Loss -16.65%-1.27%-9.21%
Profit Loss Ratio 2.873.501.90
Correlation —0.3850.075
Last Month 21.35%1.67%4.54%
Last 12 Months 32.39%3.77%26.29%
Last 36 Months 94.47%14.54%33.11%
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+++ Accounting Notes: Deloitte.

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 2020

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 2020-05-31 to 2023-12-31
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.