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Report Start Date Report End Date


Trading Strategy: Index Option Writer

Program Description: The Stock Index Option Writing Strategy writes call and put options on index futures (primarily on the S&P index but occasionally also on other indices). The strategy is designed to capture the decay of option premiums. The program sells deep out of the money options after unusual Stock Market movements. Option contracts are written at a sufficient distance, to allow in most cases, for the options to expire worthless. Primarily uncovered or naked options are sold (although spreads are utilized at times). The advisor may also take outright positions in the underlying future contract. The trading strategy is mostly discretionary. Both fundamental and technical analysis is incorporated into the trading decision.

Investment Information

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Performance Since January 2019

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
20194.37% 1.52% 1.40% 1.44% -1.53% 2.05% 1.52% -3.29% 2.42% 0.53% 2.78% 0.43%
2020 0.12% -17.68% -0.10% 1.98% 3.57% -3.23% 1.89% 0.60% -3.85% 0.58% 1.92% 3.03%
2021 0.44% 3.35% 4.21% 1.64% 2.34% 2.03% 1.39% 1.65% 1.46% 1.62% 0.90% 2.37%
2022 -3.41% -0.52% 2.98% -2.12% 2.81% -4.66% 2.03% 1.50% 0.82% 2.86% 1.69% 0.80%
2023 1.44% 0.91% 0.07% 1.44% 0.70% 0.97% 1.14% 1.14% 0.75% 1.43% 1.30% 0.90%
2024 0.62% 0.35% 1.39%  

 201920202021202220232024 YTD
ROR14.27%-12.40%26.01%4.51%12.89%2.38%
Max DD-3.29%-17.76%0.00%-5.07%0.00%0.00%

Track Record Prepared By:

Program Statistics
Omega Ratio % Threshold 1.44
Peak-to-Valley Drawdown (1) (Jan 2020 - Mar 2020) -17.76%
Worst Monthly Return (Feb 2020) -17.68%
Current Losing Streak 0.00%
Average Monthly Return 0.72%
Monthly Std. Deviation 2.97%
# Months with Positive Performance 53
# Months with Negative Performance 10
Gain to Loss Ratio 0.40
Annualized Statistics
Compound ROR (2) 8.35%
Standard Deviation 10.28%
Downside Deviation (3) 8.99%
Sharpe Ratio (4) 0.74
Sortino Ratio (5) 0.35
Calmar Ratio (6) 2.38
Sterling Ratio (7) 0.94
Profit Loss Ratio 2.12

            Current Losing Streak = 0.00%

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Select an index or program to add as a benchmark:

Comparisons ProgramAG CTA Index
Remove		SP 500 TR
Remove
Annualized Compound ROR (2) 8.35%5.64%17.11%
Cumulative Return 52.35%33.35%129.11%
Cumulative VAMI(8) 152313342291
Largest Monthly Gain 4.37%2.99%12.82%
Largest Monthly Loss -17.68%-1.42%-12.35%
Profit Loss Ratio 2.123.671.95
Correlation —0.1870.513
Last Month 1.39%2.10%3.22%
Last 12 Months 12.82%8.51%29.88%
Last 36 Months 40.69%16.38%38.61%
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++ This Manager offers a range of fees: Mgt Fees 0-4% : Inc Fees 15-35%

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 Nov 2008

*** 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.