CTA Report

ABR Dynamic Funds LLC / ABR 75/25 Volatility Strategy Fund
Accepting New Investors: Yes Quantitative / Absolute Return / VIX, S&P 500, US Treasuries, Cash
2.12(c)3 - QEPs Only

Performance Since January 2020

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2020 0.70% -3.84% 21.80% 4.50% 4.70% -7.54% 6.70% 6.30% -7.20% -4.60% 10.70% 2.40%

2021 -5.50% 2.90% 7.40% 6.30% 0.30% 3.50% 1.90% 4.30% -4.90% 7.90% -3.80% 5.50%

2022 -6.80% -7.30% 0.30% -10.30% -6.80% -7.30% 10.40% -2.50% -8.00% 6.00% 6.10% -5.20%

2023 9.30% -2.70% 0.20% 4.60% 0.70% 6.00% 1.70% -3.00% -4.90% -2.50% 8.90% 5.34%

2024 0.30% 2.60% 2.40% -3.90% 3.90% 2.90% 1.34% 1.40% 1.90% -4.30% 8.74% -2.20%

2025 2.20% -1.60% -6.77%

2020 2021 2022 2023 2024 2025 YTD
ROR 35.81% 27.56% -29.10% 24.84% 15.38% -6.24%
Max DD -11.47% -5.50% -33.50% -10.06% -4.30% -8.26%

The Notes Below Are An Integral Part of this Report | Track Record Compiled By: Wilshire Associates

Program Description: The ABR 75/25 Volatility Strategy is intended as an optimal blend of 75% ABR Dynamic Blend Equity and Volatility Index (ABRVXX) plus 25% ABR Enhanced Short Volatility Index (ABRXIV). Using ABR's proprietary models, the strategy incorporates long volatility exposure to target significant gains in extended periods of high volatility (Crisis Alpha) while using short volatility exposure to seek to harvest the volatility risk premium in normal markets. With both long and short exposures to volatility, the ABR 75/25 Volatility Strategy has the potential to produce positive returns in various market conditions. The ABRVXX and ABRXIV Indices were created on April 30, 2015 and January 31, 2017, respectively, with a time series data beginning on December 30, 2005. Each individual Index is independently calculated and published by Wilshire Associates

Investment Information

Program Start Date Feb-2017

Minimum Investment 100,000

Management Fee 0.00%

Incentive Fee 0.00%

Margin

Round Turns per Million 0

Currency US Dollars

NFA No: #P153870

Trading Strategy Market Segment

Program Statistics
Peak-to-Valley Drawdown (1) (Dec 2021 - Sep 2022) -33.50%

Worst Monthly Return (Apr 2022) -10.30%

Current Losing Streak -8.31%

Average Monthly Return 0.98%

Annualized Statistics

Annualized Compounded ROR (2) 10.12%

Standard Deviation 20.65%

Sharpe Ratio (4) 0.52

36 Month Calmar Ratio (3) 0.15

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: info@ascentcm.com | Web Address: http://www.ascentcm.com

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020	0.70%	-3.84%	21.80%	4.50%	4.70%	-7.54%	6.70%	6.30%	-7.20%	-4.60%	10.70%	2.40%
2021	-5.50%	2.90%	7.40%	6.30%	0.30%	3.50%	1.90%	4.30%	-4.90%	7.90%	-3.80%	5.50%
2022	-6.80%	-7.30%	0.30%	-10.30%	-6.80%	-7.30%	10.40%	-2.50%	-8.00%	6.00%	6.10%	-5.20%
2023	9.30%	-2.70%	0.20%	4.60%	0.70%	6.00%	1.70%	-3.00%	-4.90%	-2.50%	8.90%	5.34%
2024	0.30%	2.60%	2.40%	-3.90%	3.90%	2.90%	1.34%	1.40%	1.90%	-4.30%	8.74%	-2.20%
2025	2.20%	-1.60%	-6.77%

	2020	2021	2022	2023	2024	2025 YTD
ROR	35.81%	27.56%	-29.10%	24.84%	15.38%	-6.24%
Max DD	-11.47%	-5.50%	-33.50%	-10.06%	-4.30%	-8.26%

Time Window Analysis

Length	Best	Average	Worst
1 mo	21.8%	1%	-10.3%
3 mo	33.3%	3.2%	-22.5%
6 mo	39.8%	5.7%	-32.8%
12 mo	42.5%	10.6%	-29.1%
18 mo	71.8%	13.6%	-21.5%
24 mo	73.2%	13%	-21.7%
36 mo	34.9%	12.4%	-2.5%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Jan-22	-33.50%	9 mo	24 mo	Sep-24
Sep-20	-11.47%	2 mo	2 mo	Dec-20
Dec-24	-8.31%	4 mo	0 mo	n/a
Jun-20	-7.54%	1 mo	2 mo	Aug-20
Jan-21	-5.50%	1 mo	2 mo	Mar-21
Sep-21	-4.90%	1 mo	1 mo	Oct-21

Comparisons	Program	AG CTA Index	SP 500 TR
Annualized Compound ROR	10.12%	5.08%	12.85%
Cumulative Return	65.89%	29.69%	88.63%
Cumulative VAMI (5)	1659	1297	1886
Largest Monthly Gain	21.80%	2.99%	12.82%
Largest Monthly Loss	-10.30%	-1.27%	-12.35%
Correlation	—	0.411	0.600
Last 12 Months	2.66%	0.52%	8.26%
Last 36 Months	10.51%	8.94%	29.74%

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: info@ascentcm.com | Web Address: http://www.ascentcm.com

+ NOTES:

A Qualified Eligible Person must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions.

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.

** 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.

Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

Statistical Notes

1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2020-01-31 to 2025-03-31

2. The Annualized Compounded ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.

3. Calmar Ratio Uses last 36 months of Data

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.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: info@ascentcm.com | Web Address: http://www.ascentcm.com