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Report Start Date Report End Date



Trading Strategy: Discretionary Trend Follower
4.7 Exempt (QEP)

Program Description: AIS' Multi-Asset Allocation Portfolio ("MAAP") Program seeks to provide growth of capital through investment in both commodity and financial futures contracts. The AIS MAAP Program seeks to identify and capitalize on longer-term price movements in the futures markets traded and differs from its peers because 1) the strategy has a heavier emphasis on commodities than most other managed futures programs, and 2) the strategy's investment process is "discretionary global macro" rather than purely computerized or algorithmic. The portfolio takes long, short, or neutral positions in highly liquid futures markets across six sectors. Over its 22-year track record, the AIS MAAP Program has delivered low realized correlations to other macro and CTA programs, owing to its higher-than-typical allocation to commodities and its differentiated investment process. This composite represents those AIS MAAP Program accounts for which the firm has applied leverage such that the aggregate contract value of positions held are usually between two and four times the equity invested ("MAAP (2X-4X)").

Investment Information

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Performance Since January 2019

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
20192.06% -1.19% -0.49% 1.22% -0.97% 11.07% -4.69% -5.97% -2.63% 1.55% -6.50% 6.24%
2020 -8.35% -3.58% -2.14% -1.03% 22.36% 9.43% 15.97% 11.67% -8.70% -2.97% 15.28% 24.85%
2021 8.27% 7.11% -7.43% 21.93% 8.25% -2.50% 0.43% -2.98% 0.39% 7.93% -19.12% 16.83%
2022 10.62% 16.66% 7.22% 4.98% 0.38% -9.61% -4.92% -7.27% -7.97% 2.54% 3.97% 6.30%
2023 5.39% -10.87% 7.57% 0.13% -13.00% 0.66% 16.44% -2.45% -0.72% -2.30% 3.24% -4.04%
2024 0.77% 0.06% 12.40%  

 201920202021202220232024 YTD
ROR-1.65%89.23%37.82%21.19%-3.29%13.33%
Max DD-17.14%-14.41%-19.12%-26.66%-16.48%0.00%

Track Record Prepared By: AIS Capital Management, L.P.


Program Statistics
Omega Ratio % Threshold 1.19
Peak-to-Valley Drawdown (1) (May 2022 - May 2023) -26.84%
Worst Monthly Return (Nov 2021) -19.12%
Current Losing Streak -8.90%
Average Monthly Return 2.35%
Monthly Std. Deviation 8.97%
# Months with Positive Performance 36
# Months with Negative Performance 27
Gain to Loss Ratio 1.52
Annualized Statistics
Compound ROR (2) 26.30%
Standard Deviation 31.06%
Downside Deviation (3) 16.26%
Sharpe Ratio (4) 0.87
Sortino Ratio (5) 1.15
Calmar Ratio (6) 0.73
Sterling Ratio (7) 0.66
Profit Loss Ratio 2.02



            Current Losing Streak = -8.90%


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Select an index or program to add as a benchmark:


Comparisons ProgramAG CTA Index
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SP 500 TR
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Annualized Compound ROR (2) 26.30%5.60%17.11%
Cumulative Return 240.70%33.09%129.11%
Cumulative VAMI(8) 340713312291
Largest Monthly Gain 24.85%2.99%12.82%
Largest Monthly Loss -19.12%-1.42%-12.35%
Profit Loss Ratio 2.023.651.95
Correlation 0.3690.337
Last Month 12.40%1.91%3.22%
Last 12 Months 8.47%8.29%29.88%
Last 36 Months 70.53%16.15%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 Oct 1992

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.