Growth of $1,000 VAMI Comparison
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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
Accounting Notes
The Fund launched in June 2016 and the underlying portfolio has developed over the years. The Firm views the period beginning September 2022 as the point in time when the current portfolio structure was substantially in place and as a useful starting point for analysis and understanding purposes. Westrock Enhanced Composite (“WAM+”) utilizes a 2% management fee and 20% performance fee. The period from April 2024 through October 10, 2024, represents re-weighted returns to illustrate what the portfolio is running today (the “Conversion Period”) and is hypothetical performance. Westrock Enhanced Composite (“WAM+”) represents the Westrock Composite enhanced to illustrate a higher target volatility for the timeframe shown. The formulaic approach to achieve WAM+ is as follows: (i) WAM gross performance, (ii) remove gains and losses from treasury bills, (iii) multiply the result by 2.0, (iv) add back the gains and losses from treasury bills, (v) and subtract composite Fund expenses including management fees and performance fees, as applicable. WAM+ is considered hypothetical performance. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.\r\nPast performance is not indicative of future results. Commodity interest trading involves substantial risk of loss.\r\nUnless otherwise indicated, all Westrock performance results presented herein are net of fees and expenses including a 2% management fee and 20% performance fee.
An Important Note on the Start Date and End Date 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.
Performance Results reported or amended subsequent to Sunday August 2, 2026 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.
Historical Drawdowns and Recoveries
The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.
Statistical Footnotes
1) The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth.
2) Peak to Valley Drawdown = worst % loss between Sep-2022 and Apr-2026
3) Calmar Ratio uses the last 36 months of data.
Benchmark Descriptions
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 was prepared from trader-provided information and is believed to be reliable.
It should be read alongside each Trader’s Disclosure Document or Fund Offering 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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.
