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WaveFront Global Asset Management Corp - Global Investment Program

Principal(s): David Mather
Strategy: Systematic Diversified Trend
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Investment Restrictions: 4.7 Exempt - Qualified Eligible Persons Only++
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Statistics & Program Information

Mar Return 4.35%	Worst Drawdown ⁽²⁾ -44.45%	Minimum Investment $2,000,000
YTD Return 13.11%	Losing Streak ⁽³⁾ -0.89 %	AUM⁽⁵⁾ $19,591,674
Annual CROR ⁽¹⁾ 6.43	Sharpe Ratio ⁽⁴⁾ 0.40	Calmar Ratio ⁽⁶⁾ N/A

Trading Methodology 100% Systematic	Style Sub-Categories Trend Following	Trading Style 100% Trend Following
Market Sector 10% Stock Indices 20% Currencies 20% Financials 13% Metals 13% Energies 8% Agriculturals 8% Meats 8% Softs	Holding Period 100% Long Term	Sector Global Contracts Futures Options

Start Date Feb-2007	Currency US Dollar	Margin ⁽⁷⁾ 15%
New Money Yes	AUM ⁽⁵⁾ $19,591,674	Management Fee 2.00%
Min Investment $2,000,000	Annual CROR ⁽¹⁾ 6.43	Incentive Fee 20.00%
Fund Minimum $1,000	Losing Streak ⁽³⁾ -0.89 %	Other Fees None
Notional Funds Yes	Worst Drawdown ⁽²⁾ -44.45 %	Avg Comm ⁽⁸⁾
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.40	Max Comm ⁽⁹⁾ 0.00
NFA Number 0330993	Calmar Ratio ⁽⁶⁾ N/A	Round Turns ⁽¹⁰⁾ 1,900

Starting Date: Feb-2007	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $19,591,674
Open to US Investors: Yes	Annual CROR: 6.43%
Minimum Fund Investment: $1,000	Worst Monthly Drawdown: -44.45
Minimum Managed Account: $2,000,000	Current Losing Streak: -0.89 %
Domocile: Canada	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 0.40
Redemptions: N/A	US Attorney: Not Listed
Lock Up: N/A	Offshore Attorney: Not Listed
Hurdle Rate: N/A	Administrator: Not Listed
Administraton Fee: 0.00%	Prime Broker: Not Listed
Management Fee: 2.00%	Auditor: Not Listed
Incentive Fee: 20.00%	NFA Member: Yes
Other Fees: None	FINRA Member: No
	Other Memberships: MFA,NFA

Type of Fund: Futures Fund Single Advisor Fund	Domicile: Canada	Strategy: Futures Strategies

Track Record Prepared By: Compliance Supervisors

Correlations:

P - Proprietary Trading Results * C - Client Trading Result * P&C - Combines Client & Proprietary Trading Results (the accounting notes will identify the time frame for each. 1. Rates of Return: Rate of Returns are calculated from the start date of each program. Usually returns are calculated based on the Annual Compounded Rate of Return method. In some cases returns have been calculated on a Non-Compounded basis. This would occur when a Manager trades based on account unit rather than on account equity. The Annual Compound Rate of Return ("Annual CROR") represents the compounded rate of return or 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. The Annual Rate of Return ("Annual ROR") is the annualized Mean Return. 2. The Worst Peak-to-Valley Drawdown ("Worst Drawdown") is defined as the greatest cumulative percentage decline in net asset value due to losses sustained by the trading program during any period in which the initial net asset value is not equaled or exceeded by a subsequent asset value. 3. Start & End Dates: Indicates the Start and End Dates of the Worst Peak-to-Valley Drawdown. 4. The Current Losing Streak ("Losing Streak") represents the extent of the Advisor's current drawdown. 5. Annualzied Standard Deviation is one way to look at consistency of returns. It measures the degree by which the monthly returns vary from the average (mean) return. 6. Downside Deviation is a measure of downside volatility. It only considers those monthly performance results that are less than the monthly Minimum Acceptable Rate of Return. 7. The Sharpe Ratio is a risk-adjusted ratio that rewards consistency of returns. Traders are penalized for volatility regardless of whether it is on the up or downside. The Sharpe Ratios is calculated using a 1% risk-free rate of return. 8. The Sortino Ratio is a risk-adjusted ratio. The higher the number the better. Results are dependent upon the Minimum Acceptable Rate of Return (currently set at 5%. 9. The Sterling Ratio is a risk-adjusted return measurement calculated by dividing the Annualized Compound ROR by the Average Yearly Maximum Drawdown less an arbitrary 10%. The Sterling Ratio is normally calculated using the last 36 months of data. 10. The Calmar Ratio represents the historical amount gained for each dollar risked. A higher number is better. Unless otherwise denoted the Calmar Ratio is calculated by dividing the 36 month Compounded ROR by the 36 month Peak to Valley Drawdown. Traders with less than 36 months of data or a negative Calmar Ratio will be indicated by N/A. 11. The Omega Function accounts for the non-normal distributions of returns and takes into account the investor's preferences for loss and gain. Omega is computed directly from the returns distribution and measures the total impact of the moments instead of each one of them individually. 12. Minimum Investment represents the minimum account size. 13. Assets Under Management ("AUM") represents the current nominal assets traded by the Manager. 14. The Number of Winning Months represents the months with positive return. 15. The Number of Losing Months represents the months with negative return. 16. The Percentage of Winning Months represents the % of winning months. 17. Margin to Equity ("Margin") represents the average margin as a percent of a fully funded account. 18. Round Turns per Million ("Round Turns") represent the average number of round turns that would be generated in a $1,000,000 account. 19. Average Commission ("Avg Comm") represents the average commission rate of the composite track record. A higher or lower commission rate would increase or decrease the performance accordingly. 20. Maximum Commisions ("Max Comm") is the Maximum Round Turn Rate allowable by the Manager.

Trading Description, Risk Strategy & Background

Trading Description

The WaveFront Global Investment Program holds as its central investment tenet the belief that markets exhibit serial correlation or price trends and other persistent anomalies that cannot be explained by random behavior or the assumption of fully informed and rational market participants. Price trends, or serial correlation in market prices, may be the result of many factors including deeply rooted supply and demand trends for physical commodities, equity risk premiums, persistent interest rate differentials between currencies, the basis embedded in the term structure of futures prices and the crowd behavior of market participants.

The WaveFront Global Investment Program utilizes proprietary systematic trading strategies to invest in long-term price trends in over 60 industrial, agricultural and financial futures markets. The average duration of profitable trades is approximately one year, though they often last anywhere from two to five years with losses cut quickly when they occur. Risk management, which accounts for two thirds of trading activity, operates at much higher frequencies of as little as two days. WaveFront's trading is based on an analysis of market statistics that is firmly rooted in both probability theory and post-modern portfolio theory.

Risk Strategy

The WaveFront Global Investment Program is based on a risk budgeting strategy for allocating capital to markets and signal generators. WaveFront utilizes a fixed risk budget that targets long-term average annualized downside deviation of less than 13%. This risk budget is then equally allocated across over 60 markets, adjusted by their volatilities and correlations. The degree to which a market's allocated risk budget is utilized is then determined by the net trading position of 576 distinct signal generators per market. Although trend-based, these signal generators are not trend-following in the traditional sense and make significant use of both smoothing algorithms and sampling techniques to separate serial correlation in market data from higher frequency noise. Unutilized risk budgets that result from conflicting underlying signals are not re-allocated to other markets but go to cash. This risk budgeting strategy results in a 99% 1-month Portfolio Value-at-Risk ( VaR ) using Extreme Value Theory ( EVT ) of 10%.

In addition, the program incorporates two risk budget overlays that can reduce or eliminate the initial risk budget allocated to a market. One overlay is reactionary and based on identifying high percentile degradation in current market trends while the other is anticipatory and takes profits based on high percentile rankings of actual versus expected profitability in a given market. Lastly, WaveFront has developed two additional strategies that are, respectively, specific to short-term interest rate futures and equity indices. These strategies act as both diversifying and macro-hedging strategies to the core trend-based program in that they are generally uncorrelated to trend-based strategies but also tend to be negatively correlated when trend-based strategies underperform.

As markets continue to evolve over time and as WaveFront is continuously engaged in market research, a core feature of the WaveFront Global Investment Program is that it may also, in the future, incorporate additional trading and risk-management strategies and / or modify or eliminate all or some of the current trading strategies already in use.

Background

WaveFront Global Asset Management Corp. is a global asset management company based in Toronto, Canada. Wavefront manages approximatley $ 893 mllion for investors in Canada, China and Korea. At our core, we are driven by the quantifiable success of our clients. To us this means delivering superior investment performance across a variety of strategies and global asset classes. We look to develop strong, long-term partnerships with a select number of clients through candor, trust and full transparency.

Performance

Monthly Performance Since February 2007

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	1.79%	6.49%	4.35%										13.11%	0%
2023	-1.81%	0.77%	-5.06%	5.65%	1.04%	1.34%	-0.51%	-3.30%	1.91%	-1.00%	-1.00%	-2.39%	1.34%	-3.4%	-6.2%
2022	2.32%	6.78%	11.21%	10.34%	-2.47%	0.77%	-4.12%	0.19%	9.44%	-2.32%	-4.38%	-2.88%	25.66%	-9.29%
2021	1.69%	8.82%	-1.22%	4.44%	2.84%	-2.34%	-0.19%	-0.26%	2.89%	5.02%	-6.46%	-0.38%	14.93%	-6.82%
2020	3.46%	1.95%	20.78%	-0.03%	-3.64%	-2.32%	2.24%	2.49%	-5.70%	-5.70%	5.00%	12.20%	31.59%	-12.32%
2019	-4.92%	4.07%	0.48%	2.09%	-0.48%	-1.57%	-1.71%	4.79%	-7.03%	-3.21%	0.30%	1.38%	-6.3%	-10.02%
2018	6.96%	-10.73%	-2.21%	0.12%	-2.87%	-0.78%	0.39%	-0.11%	1.90%	-6.92%	0.16%	3.79%	-10.92%	-19.88%
2017	-1.52%	-1.83%	-3.22%	-0.83%	-2.99%	-1.46%	1.96%	1.55%	-3.35%	-0.38%	-0.40%	1.10%	-10.96%	-11.93%
2016	3.60%	1.72%	-3.60%	-3.23%	-4.77%	5.18%	-0.31%	-5.82%	-3.13%	-4.96%	-5.68%	-0.23%	-19.91%	-24%
2015	13.11%	-1.18%	0.76%	-4.70%	0.85%	-2.37%	5.30%	1.06%	0.34%	-3.97%	3.23%	-1.46%	10.23%	-6.57%
2014	-2.85%	1.26%	-3.61%	0.13%	0.18%	0.34%	5.19%	3.37%	2.77%	-0.31%	8.50%	3.82%	19.76%	-5.18%
2013	3.16%	-0.52%	0.69%	4.04%	-0.08%	0.35%	-2.87%	-3.76%	1.06%	2.16%	3.36%	2.33%	10.03%	-6.52%
2012	-2.74%	-2.75%	-1.51%	3.16%	6.99%	-6.02%	1.21%	-1.45%	-4.51%	-4.78%	-1.50%	0.63%	-13.14%	-16.05%
2011	-0.21%	3.88%	-1.43%	3.73%	-2.92%	-2.32%	2.96%	1.03%	-4.08%	-4.29%	0.67%	1.32%	-2.1%	-9.44%
2010	-3.36%	2.31%	3.52%	0.56%	-3.44%	-0.62%	-3.88%	9.37%	1.80%	5.63%	-1.86%	3.07%	12.94%	-7.76%
2009	-0.88%	-0.47%	-3.63%	-1.84%	-2.95%	0.27%	-0.04%	4.39%	3.31%	-4.28%	8.77%	-3.99%	-2.14%	-9.43%
2008	4.59%	18.84%	-1.19%	-2.77%	1.07%	4.26%	-6.98%	-3.39%	4.26%	19.65%	2.26%	2.23%	47.47%	-10.13%
2007		-6.55%	-3.03%	9.05%	5.56%	4.44%	-7.01%	-3.72%	11.52%	7.13%	-1.25%	2.27%	17.69%	-10.47%

Annual Performance

Years	2007	2008	2009	2010	2011	2012
ROR	17.69%	47.47%	-2.14%	12.94%	-2.10%	-13.14%
Max DD	-10.47%	-10.13%	-9.43%	-7.76%	-9.44%	-16.05%

Years	2013	2014	2015	2016	2017	2018
ROR	10.03%	19.76%	10.23%	-19.91%	-10.96%	-10.92%
Max DD	-6.52%	-5.18%	-6.57%	-24.00%	-11.93%	-19.88%

Years	2019	2020	2021	2022	2023	2024 YTD
ROR	-6.30%	31.59%	14.93%	25.66%	-3.40%	13.11%
Max DD	-10.02%	-12.32%	-6.82%	-9.29%	-6.20%	0.00%

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. THERE IS A RISK OF LOSS IN FUTURES TRADING.

VAMI, Assets under Management & Worst Drawdown

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Monthly Returns

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++Qualified Eligible Investors Only:

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 $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

Exemptions:

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION IN CONNECTION WITH THE ACCOUNTS OF QUALIFIED ELIBIBLE 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 ADEQUANCY OR ACCURACY OF THE COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE COMMODITY FUTURES TRADING COMMISSION HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS BROCHURE OR ACCOUNT DOCUMENT.

RISK DISCLOSURE

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS.

THIS MATTER IS INTENDED AS A SOLICITATION FOR MANAGED FUTURES. THE RISK OF TRADING COMMODITY FUTURES, OPTIONS AND/OR FOREIGN EXCHANGE ('FOREX') IS SUBSTANTIAL. THE HIGH DEGREE OF LEVERAGE ASSOCIATED WITH COMMODITY FUTURES, OPTIONS AND FOREX CAN WORK AGAINST YOU AS WELL AS FOR YOU. THIS HIGH DEGREE OF LEVERAGE CAN RESULT IN SUBSTANTIAL LOSSES, AS WELL AS GAINS. YOU SHOULD THEREFORE CAREFULLY CONSIDER WHETHER SUCH TRADING IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. IF YOU ARE UNSURE YOU SHOULD SEEK PROFESSIONAL ADVICE. AN INVESTOR MUST READ AND UNDERSTAND THE CTA’S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY.

PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.

THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.

AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.

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