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Report Start Date Report End Date


Trading Strategy: Discretionary Trading

Program Description: The program focuses primarily on domestic agricultural commodity futures and options with emphasis on wheat, corn, soybeans, and soybean products. She may on occasion trade other Ag related markets. The program is traded by Megan Bocken. Megan gained a thorough understanding of the grain trade by helping to service commercial grain accounts including both users and producers, and by studying the fundamentals of the grain markets as a research analyst. She currently maintains her own research focusing on wheat, corn, and soybeans placing special emphasis on relationships among the different classes of wheat. This includes forecasting both US and world supply and demand of each particular commodity in order to determine "value" and price trends based on ever- changing market conditions. It also involves a careful and constant monitoring of US and world weather, geopolitical issues, and currency relationships. By combining the factors, Megan is able to make trading decisions that integrate flat price, intra and inter market spreads as well as options strategies.

Investment Information

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Performance Since January 2019 See Accounting Notes+++

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019-0.65% -1.08% 0.35% 0.11% 2.54% -1.22% -1.04% -1.38% -0.27% -2.30% -1.01% 2.15%
2020 -0.58% -0.11% 0.64% 1.73% -0.78% -0.98% -0.77% 5.46% 1.83% 0.66% 6.87% 8.40%
2021 4.50% 0.55% -3.33% 12.04% -1.98% 3.63% 0.18% -3.41% 3.10% 1.11% 0.09% 0.77%
2022 4.35% 6.02% -1.97% 3.06% -3.87% -6.83% 4.27% -0.17% -2.04% 1.27% -0.17% -1.50%
2023 -0.83% -1.79% -1.14% -0.75% -0.44% 2.20% -0.68% -1.79% -2.22% -1.66% -1.14% -2.12%
2024 -1.57% 0.90% -4.19%  

 201920202021202220232024 YTD
ROR-3.84%24.13%17.61%1.65%-11.75%-4.85%
Max DD-7.02%-2.51%-3.41%-10.44%-11.75%-4.85%

Track Record Prepared By: N/A

Program Statistics
Omega Ratio % Threshold 0.97
Peak-to-Valley Drawdown (1) (Apr 2022 - Mar 2024) -23.63%
Worst Monthly Return (Jun 2022) -6.83%
Current Losing Streak -23.63%
Average Monthly Return 0.33%
Monthly Std. Deviation 3.10%
# Months with Positive Performance 27
# Months with Negative Performance 36
Gain to Loss Ratio 1.82
Annualized Statistics
Compound ROR (2) 3.51%
Standard Deviation 10.74%
Downside Deviation (3) 6.32%
Sharpe Ratio (4) 0.28
Sortino Ratio (5) -0.23
Calmar Ratio (6) -0.02
Sterling Ratio (7) -0.02
Profit Loss Ratio 1.36

            Current Losing Streak = -23.63%

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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) 3.51%5.60%17.11%
Cumulative Return 19.83%33.12%129.11%
Cumulative VAMI(8) 119813312291
Largest Monthly Gain 12.04%2.99%12.82%
Largest Monthly Loss -6.83%-1.42%-12.35%
Profit Loss Ratio 1.363.661.95
Correlation —0.1960.167
Last Month -4.19%1.93%3.22%
Last 12 Months -12.79%8.32%29.88%
Last 36 Months -1.16%16.18%38.61%
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+++ Accounting Notes: The returns reflect the performance of accounts traded in the Bocken Trading Discretionary Trading Program, as listed in the program's disclosure document.

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 Jun 2011

*** 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.