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Valorem Investments LLC - Currency Futures Alpha Strategy

Principal(s): Chris Cue
Strategy: Systematic / Macro / Mean Reversion / Currencies
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Investment Restrictions: None++

Statistics & Program Information

Oct Return 2.45%	Worst Drawdown ⁽²⁾ -10.02%	Minimum Investment $100,000
YTD Return -4.83%	Losing Streak ⁽³⁾ -7.82 %	AUM⁽⁵⁾ $1,055,000
Annualized CROR ⁽¹⁾ 3.08	Sharpe Ratio ⁽⁴⁾ 0.27	Calmar Ratio ⁽⁶⁾ N/A

Trading Methodology 95% Systematic 5% Discretionary	Style Sub-Categories	Trading Style 1% Absolute Return
Market Sector 100% Currencies	Holding Period 5% Medium Term 95% Short Term	Sector US Global Contracts

Start Date Nov-2022	Currency US Dollar	Margin ⁽⁷⁾ 12-20%
New Money Yes	AUM ⁽⁵⁾ $1,055,000	Management Fee 0.00%
Min Investment $100,000	Annualized CROR ⁽¹⁾ 3.08	Incentive Fee 0.00%
Fund Minimum $0	Losing Streak ⁽³⁾ -7.82 %	Other Fees None
Notional Funds Yes	Worst Drawdown ⁽²⁾ -10.02 %	Avg Comm ⁽⁸⁾
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 0.27	Max Comm ⁽⁹⁾
NFA Number 0508048	Calmar Ratio ⁽⁶⁾ N/A	Round Turns ⁽¹⁰⁾ 3,300

Starting Date: Nov-2022	Currency: US Dollar
Open to New Investors: Yes	Current Assets: $1,055,000
Open to US Investors: Yes	Annualized CROR: 3.08%
Minimum Fund Investment: $0	Worst Monthly Drawdown: -10.02
Minimum Managed Account: $100,000	Current Losing Streak: -7.82 %
Domocile:	Calmar: N/A
Subscriptions: N/A	Sharpe Ratio: 0.27
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: 0.00%	Auditor: Not Listed
Incentive Fee: 0.00%	NFA Member: Yes
Other Fees: None	FINRA Member: No
	Other Memberships: None

Type of Fund:	Domicile:	Strategy:

Track Record Prepared By: Turnkey Trading Partners

Correlations: AG CTA Index: 0.058 AG Systematic CTA Index: 0.003

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 Annualized Compounded Rate of Return ("Annualized 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 Annualized 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:

The strategy approach capitalizes on real money flows from large institutional participants that are not profit-seeking. The program identifies when certain currencies are at statistically significant deviations from other currencies, and places trades to profit when the currencies come back into alignment.

Risk Strategy:

The portfolio has built in stop losses at a position level. Stop loss limits are based on volatility, and are calculated and executed on a daily basis. The program also utilizes diversification to manage risk. Diversified across 6 different currencies/3 different cross pairs, each chosen for its unique movement to the USD compared to the others, while maintaining a USD neutral strategy overall position. The portfolio has between zero and six positions, equally balanced between longs and shorts.

Background:

CHRIS L. CUE is the Trading Principal of Valorem Investments LLC, where he directs the firm’s flagship program, the Currency Futures Alpha Strategy, leveraging over six years of trading expertise. Listed as a principal of Valorem Investments LLC since October 6, 2017, and registered as an associated person of the firm on October 9, 2018, Mr. Cue has been instrumental in the strategy’s design and execution. This systematic-driven program focuses on identifying and capitalizing on market opportunities with a commitment to transparency and risk management.

In addition to his trading expertise, Mr. Cue brings a robust legal and compliance background, having practiced law since 2013 and advised multinational asset management firms on complex regulatory matters. This foundation strengthens his ability to effectively navigate the intricate regulatory environment, ensuring Valorem’s operations align with industry standards. His unique combination of trading acumen and legal expertise enables him to lead Valorem Investments LLC with a balanced approach that prioritizes innovation, regulatory compliance, and strategic leadership in the dynamic and competitive arena of investment strategies.

Accounting Notes:

Returns from November 2021 through June 2023 are based on pro forma adjustments to a proprietary account to reflect fees. Valorem began trading client capital July 2023, performance from July 2023 to present is based on a composite of client accounts traded in like manner with the proprietary pro forma'd account. The track record has not been audited, however, we utilize a third-party to externally validate our track record.

Performance

Returns from November 2021 through June 2023 are based on pro forma adjustments to a proprietary account to reflect fees. Valorem began trading client capital July 2023, performance from July 2023 to present is based on a composite of client accounts traded in like manner with the proprietary pro forma'd account. (A Portion of this Performance is based on Proprietary Trading)

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-1.80%	-1.46%	3.06%	0.52%	1.44%	0.08%	-2.22%	-3.93%	-2.83%	2.45%			-4.83%	-8.72%
2023	0.50%	-2.35%	6.74%	2.32%	-4.95%	-3.49%	2.39%	0.27%	-2.34%	3.06%	3.49%	-1.26%	3.82%	-8.27%
2022	1.90%	2.99%	2.41%	4.08%	-1.77%	-0.75%	0.61%	-1.16%	-2.69%	0.52%	2.48%	0.45%	9.2%	-5.66%
2021											0.73%	0.78%	1.52%	0%

HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

Annual Performance

Years	2021	2022	2023	2024 YTD
ROR	1.52%	9.20%	3.82%	-4.83%
Max DD	0.00%	-5.66%	-8.27%	-8.72%

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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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.