Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Systematic LT Trend Following

Program Description: The Futures Trading Program is a proprietary systematic long-term trend following system developed by Scot Lowry. Mr. Lowry converted his knowledge and research of the markets into a mechanical trading approach. The Program looks for specific turning points which signal new trends, and attempts to enter trades earlier than most long-term technical systems. The Program is 99% mechanical, based on technical data, using price information to signal entry and exit points. The only discretion used is to add or delete markets traded due to liquidity issues. The Futures Trading Program trades on-exchange futures and currencies in Asia, Europe and the United States. It also trades Metal Contracts on the LME exchange in London. The Futures Trading Program employs its own built in risk management procedures to limit risk to individual trades and provide overall portfolio protection.

Investment Information

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Performance of the Futures Program of the L&E Investment Group, L.P. See Accounting Notes for Details. See Accounting Notes+++

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019	-4.59%	2.35%	0.19%	3.92%	2.04%	-1.43%	-2.24%	7.66%	-5.26%	-0.88%	2.94%	2.35%
2020	-3.34%	4.39%	2.74%	-4.65%	0.36%	-3.68%	2.79%	2.50%	-0.11%	3.99%	0.22%	7.23%
2021	2.57%	5.35%	-2.36%	7.98%	-1.99%	-2.50%	-1.87%	-3.03%	0.47%	2.66%	-1.71%	-4.74%
2022	4.20%	8.49%	6.50%	8.13%	-4.68%	2.86%	-5.53%	-2.79%	2.86%	-3.34%	0.99%	-1.04%
2023	-0.67%	-2.47%	-2.92%	-1.69%	2.99%	-3.77%	0.90%	-4.23%	1.96%	6.89%	1.78%	2.10%
2024	-2.73%	9.95%	9.75%

	2019	2020	2021	2022	2023	2024 YTD
ROR	6.49%	12.38%	0.05%	16.47%	0.28%	17.38%
Max DD	-6.09%	-7.83%	-12.18%	-10.53%	-11.45%	-2.73%

Track Record Prepared By: Futures Accounting & Compliance

Program Statistics
Omega Ratio % Threshold	1.09
Peak-to-Valley Drawdown (1) (Apr 2022 - Aug 2023)	-20.78%
Worst Monthly Return (Jul 2022)	-5.53%
Current Losing Streak	0.00%
Average Monthly Return	0.87%
Monthly Std. Deviation	4.08%
# Months with Positive Performance	35
# Months with Negative Performance	28
Gain to Loss Ratio	1.35

Annualized Statistics
Compound ROR (2)	9.90%
Standard Deviation	14.12%
Downside Deviation (3)	8.24%
Sharpe Ratio (4)	0.67
Sortino Ratio (5)	0.56
Calmar Ratio (6)	0.44
Sterling Ratio (7)	0.41
Profit Loss Ratio	1.68

Comparisons	Program	AG CTA Index	SP 500 TR
Annualized Compound ROR (2)	9.90%	5.60%	17.11%
Cumulative Return	64.15%	33.09%	129.11%
Cumulative VAMI(8)	1641	1331	2291
Largest Monthly Gain	9.95%	2.99%	12.82%
Largest Monthly Loss	-5.53%	-1.42%	-12.35%
Profit Loss Ratio	1.68	3.65	1.95
Correlation	—	0.505	-0.249
Last Month	9.75%	1.91%	3.22%
Last 12 Months	25.16%	8.29%	29.88%
Last 36 Months	30.00%	16.15%	38.61%

+++ Accounting Notes: The performance listed is based on the performance of an exempt pool (L&E Investment Group, L.P. is an exempt pool under CFTC rule 4.13). This pool trades in Futures Program that was created and operated by Scot Lowry. The capsule shows only the performance of the Futures Program. The account was funded with an initial amount of $210,000 actual and $290,000 of notional funds ($500,000 nominal). In November 2001 when the actual funds reached 393,000 an additional notional amount was added of $250,000 bringing the total account to approximately 933,000 (at that point). On January 1, 2004 $360,000 of notional funding was added, bringing the total notional funding to $900,000. On August 1, 2008 the notional funding was reduced by $300,000 bringing the total notional funding level to $600,000.

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 Apr 2000

*** 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.