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Diamond Capital Mgt | Enhanced S&P Program

Growth of $1000 VAMI, Assets Under Management & Worst Drawdown

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Performance - Please see Accounting Notes

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2013  1.94% 2.37% 1.47% -0.76% 4.93% -1.43% 4.43% 2.99% 1.09% 2.22%
2014 -3.71% 4.89% 1.91% 1.78% 2.57% 1.87% -1.43% 5.30% 0.42% -1.65% 2.17% -0.81%
2015 -2.12% 6.09% -0.71% 1.97% 0.30% -0.64% 1.76% -5.33% 1.12% 3.12% 1.10% 1.11%
2016 -10.44% -0.06% 3.70% 0.57% 2.28% 1.79% 2.77% 0.32% 0.82% -0.87% 0.18% 0.68%
2017 1.38% 2.48% 0.44% 0.55% -0.08% 0.61% 1.82% 0.58% 1.63% 1.82% 2.44% 1.11%
2018 4.52% -5.28% 0.80% 1.45% 1.65% 1.21% 2.39% 3.04% 0.61% -5.41% 0.44% -8.06%
2019 3.99% 3.74% 1.43% 3.08% -6.77% 6.85% 1.53% -6.99% 0.21% -1.74% 0.52% 3.16%
2020 0.80% -5.13% -3.21% -0.69% 1.24% -0.17% 4.18% 3.79% -3.51% 2.19% 1.46% 2.76%
2021 -0.40% 1.79% 0.56% 2.81% 0.58% 1.37% 1.00% 1.60% -2.77% 4.12% 0.09% 2.39%
2022 -7.08% -0.29% -1.22% -1.18% 3.13% -4.63% 4.90% -1.30% 1.70% -0.64% -1.30% -0.66%
2023 -0.64%  

 2013201420152016201720182019202020212022
ROR26.42%13.73%7.59%1.02%15.78%-3.44%8.33%3.28%13.79%-8.74%
Max DD-1.43%-3.71%-5.33%-10.49%-0.08%-12.65%-8.42%-8.80%-2.77%-11.04%
 2023 YTD
ROR-0.64%
Max DD-0.64%

Program Statistics
Compound ROR 6.84%
Peak-to_Valley Drawdown (1) (Sep 2018- Apr 2020) -13.01%
Worst Monthly Return (Jan 2016) -10.44%
Current Losing Streak -9.33%
Average Monthly Return 0.60%
Gain Deviation (82 months gain) 1.47%
Loss Deviation (37 months loss) 2.67%
Profit Loss Ratio 1.72


Comparisons ProgramAG CTA Index DJ Industrial Avg
Annualized Compound ROR 6.84%2.43%9.27%
Cumulative Return 92.72%26.85%140.82%
Cumulative VAMI(2) 192712682408
Profit Loss Ratio 1.721.591.68
Correlation —0.2900.635
Last Month -0.64%0.28%2.09%
Last 12 Months -2.42%4.44%-3.68%
Last 36 Months 5.71%19.31%19.77%


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Statistical Notes
Due to the MF Global bankruptcy certain accounts were not under the control of the CTA and were excluded from the performance calculation. There were 4 accounts excluded, totaling $429,389, or 39% of assets under management for the ESP in November 2011. The performance range for accounts excluded in November 2011 was -1.75% to -2.39%. Two of these accounts then closed as a result of the MFG bankruptcy. The initial account utilizing the Enhanced S&P Program began trading in July 2009 and is a limited partnership which includes family members and friends of the family that became interested in the trading program through their relationship with Mr. Hu. Performance for this account is considered proprietary under CFTC guidelines. The accounts included in this table were charged actual fees ranging from 0% to 2% Management fees and 20% to 30% Incentive fees.
1.Peak-to-Valley Drawdown is the worst peak to valley % loss over the period of 2013-03-31 to 2023-01-31.
2. The hypothetical growth of $1,000

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.

DJ Industrial Avg: The Dow Jones Industrial Average is a price-weighted average of 30 blue-chip stocks that are generally the leaders in their industry. It has been a widely followed indicator of the stock market since October 1, 1928.

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.