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Report Start Date Report End Date


Trading Strategy: Systematic / Volatility Futures with Equity Hedge
4.7 Exempt - QEP Investors Only

Program Description: Rotella Capital Management ("RCM") was founded in 1995. RCM is built on the vision of Robert Rotella, one of the early pioneers in bringing a purely systematic approach to investing in the futures space. RCM has built on that deep experience to create multiple futures and securities strategies. Rotella Qdeck Tactical Long-Biased Volatility Program ("Program") uses a rules- based systematic approach to trade volatility futures with an equity hedge. It is a combination of an opportunistic long-short system trading VIX futures contract hedged with E-Mini S&P 500 futures, an opportunistic long-short system trading VSTOXX futures hedged with Euro STOXX 50 futures, and long only positions in each of the assets. The first two systems explicitly exploit the relationship between volatility term structure and its future returns as a form of directional carry. This long-short exposure serves as a time decay hedge, while opportunistically capturing tail events. The final system attempts to measure volatility breakout conditions, and piles on long volatility exposure in such environments while maintaining an equity hedge.

Investment Information

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Please see Accounting Notes See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-0.66% -0.56% 0.69% 0.31% -0.60% -0.20% 0.33% -2.12% 0.70% -0.22% 1.13% 1.94%
2020 -0.70% -0.38% 12.49% -0.46% -1.07% 2.74% 1.05% 3.87% 1.66% 0.83% -0.96% 0.07%
2021 -2.50% 0.19% 0.75% 1.37% -0.95% 1.02% 1.18% -0.71% -2.75% 3.02% -0.17% -0.72%
2022 -2.79% 0.00% -1.79% 3.04% -2.13% -1.32% -2.04% 2.45% 0.29% -6.17% -2.83% -1.18%
2023 -4.28% -0.60% 1.12% -0.63% -3.18%  

 20192020202120222023 YTD
ROR0.67%20.06%-0.43%-13.83%-7.44%
Max DD-2.81%-1.53%-3.44%-13.83%-7.44%

Track Record Prepared By: N/A

Program Statistics
Omega Ratio % Threshold 0.57
Peak-to-Valley Drawdown (1) (Jul 2021 - May 2023) -21.37%
Worst Monthly Return (Oct 2022) -6.17%
Current Losing Streak -21.37%
Average Monthly Return -0.05%
Monthly Std. Deviation 2.57%
# Months with Positive Performance 24
# Months with Negative Performance 29
Gain to Loss Ratio 1.14
Annualized Statistics
Compound ROR (2) -0.92%
Standard Deviation 8.89%
Downside Deviation (3) 6.09%
Sharpe Ratio (4) -0.17
Sortino Ratio (5) -0.95
Calmar Ratio (6) -0.21
Sterling Ratio (7) -0.24
Profit Loss Ratio 0.95

            Current Losing Streak = -21.37%

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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) -0.92%5.18%14.22%
Cumulative Return -4.01%24.97%79.92%
Cumulative VAMI(8) 96012501799
Largest Monthly Gain 12.49%2.99%12.82%
Largest Monthly Loss -6.17%-1.42%-12.35%
Profit Loss Ratio 0.953.271.76
Correlation —0.312-0.279
Last Month -3.18%0.40%0.43%
Last 12 Months -17.16%0.64%2.92%
Last 36 Months -12.99%17.35%43.99%
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+++ Accounting Notes: The performance record reflects unaudited, actual returns of a single proprietary account invested in the Program, net of applicable fees and expenses. Individual client experience may vary, due to timing of investment and actual fees and expenses paid. Returns of the proprietary account are net of brokerage commissions and other transaction expenses and are adjusted to reflect a pro forma fee of 1.00% annual management fee (pro-rated monthly) and a 15% quarterly incentive fee (accrued monthly), but no other operating expenses. The most recent month- end return is an estimate and subject to change.

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 Nov 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 2023-05-31
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.