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Advanced Alpha Advisers, LLC - ART S-Term Defensive Proforma

Principal(s): Dennis Rivera
Strategy: S-Term Algorithmic / Short Volatiity Option
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Investment Restrictions: 4.7 Exempt - QEPs Only++

Statistics & Program Information

Dec Return 5.68%	Worst Drawdown ⁽²⁾ -7.29%	Minimum Investment $1,000,000
YTD Return 26.57%	Losing Streak ⁽³⁾ 0.00 %	AUM⁽⁵⁾ $8,200,000
Annualized CROR ⁽¹⁾ 35.20	Sharpe Ratio ⁽⁴⁾ 2.54	Calmar Ratio ⁽⁶⁾ 17.03

Trading Methodology 90% Systematic 10% Discretionary	Style Sub-Categories	Trading Style
Market Sector	Holding Period	Sector Global Contracts Futures

Start Date Jan-2020	Currency US Dollars	Margin ⁽⁷⁾ 15-30%
New Money Yes	AUM ⁽⁵⁾ $8,200,000	Management Fee 1.00%
Min Investment $1,000,000	Annualized CROR ⁽¹⁾ 35.20	Incentive Fee 20.00%
Fund Minimum $100,000	Losing Streak ⁽³⁾ 0.00 %	Other Fees None
Notional Funds No	Worst Drawdown ⁽²⁾ -7.29 %	Avg Comm ⁽⁸⁾ $0.00
NFA Member Yes	Sharpe Ratio ⁽⁴⁾ 2.54	Max Comm ⁽⁹⁾
NFA Number 0505193	Calmar Ratio ⁽⁶⁾ 17.03	Round Turns ⁽¹⁰⁾ 5,900

Starting Date: Jan-2020	Currency: US Dollars
Open to New Investors: Yes	Current Assets: $8,200,000
Open to US Investors: Yes	Annualized CROR: 35.20%
Minimum Fund Investment: $100,000	Worst Monthly Drawdown: -7.29
Minimum Managed Account: $1,000,000	Current Losing Streak: 0.00 %
Domocile: Cayman Islands	Calmar: 17.03
Subscriptions: N/A	Sharpe Ratio: 2.54
Redemptions: N/A	US Attorney: Riveles Wahab LLP
Lock Up: N/A	Offshore Attorney: Ogier (Cayman) LLP
Hurdle Rate: N/A	Administrator: NAV Fund Services (Cayman)
Administraton Fee: 0.25%	Prime Broker: Not Listed
Management Fee: 1.00%	Auditor: Richey May & Co. (Cayman)
Incentive Fee: 20.00%	NFA Member: Yes
Other Fees: None	FINRA Member: No
	Other Memberships: None

Type of Fund: Futures Fund Single Advisor Fund Multi Advisor Fund	Domicile: Cayman Islands	Strategy: Futures Strategies Velocity

Track Record Prepared By: NAV Consulting

Correlations: AG CTA Index: -0.048 AG Systematic CTA Index: -0.043

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:

NFA ID: 0505193
Advanced Alpha Advisers' strategy The strategy is comprised of two components; a short-term (average 2 day), algorithmic, trend following futures trading model, plus, a short volatility option strategy which sells options in order to earn the premium. The trend following model benefits from the documented existence of under and over reactions in futures prices leading to short term price trends. Meanwhile, as an option seller, the strategy benefits from the fact that Implied Volatility is very often higher than Realised Volatility. The strategy constructs weekly, combined trades to profit from these inefficiencies. The trades are applied to currency, equity, commodity and FI listed markets. The strategy is designed to profit from two commonly observed, and negatively correlated, market inefficiencies. These are, the existence of short term price trends in futures markets, and the Volatility Risk Premium1 . These two inefficiencies pair well together because they pay out at different times, i.e. when volatility is high, the trend following futures strategy typically pays out, whereas when volatility is low, the short volatility options strategy typically pays out. This ensures a stable return schedule and mitigates extreme tail events. The model is further refined by proprietary trade timing, allocation and execution procedures, as well as sophisticated, in-house risk management tools. Presented here are the back test results of the defensive version of the strategy, which has lower target volatility and stricter risk management limits. For additional information please inquire at [email protected]

Risk Strategy:

Background:

N/A

Accounting Notes:

Although the ART strategy has been trading live since December 2023. January 2020 through November 2023 represents back tested results of the Defensive version of the strategy. The difference is, lower volatility and tighter risk controls on the options portion of the strategy. The back test results presented above are hypothetical and were derived using optimized futures performance data alongside a historical test of the options strategy. The options portion uses an orderbook reconstruction technique and is an accurate representation of the performance of a hypothetical managed account trading this strategy. The test period intentionally includes the start of the COVID-19 pandemic to demonstrate the performance during a period of significant market volatility. The performance shown includes costs such as bid/ask spreads, broker and exchange fees and manager fees (20% of performance). Profits are assumed to be reinvested. The data is provided by Advanced Alpha Advisers, LLC, a New York based Commodity Trading Advisor. The ART Velocity strategy began live trading as of July 2023. The total AUM for the strategy is currently $3m. The performance of any new accounts managed by Advanced Alpha Advisers, LLC could conceivably differ from the track record shown for the following reasons, trading and platform fees (new accounts could face potentially higher or lower fees than those used to calculate this performance); target volatility (clients can select any target volatility between 5% and 50%) and minimum account size ($1m for all accounts with 16% target volatility). Other accounts that traded different versions of this strategy are not included in these results; these accounts achieved lower returns.

Assets under Management represent the firm's total AUM.

For additional information please inquire at [email protected]

Performance

Performance from Jan 2020 through November 2023 are the results presented her are hypothetical and were derived using the live tested futures component combined with options price and volume tick data. The ART Velocity strategy began live trading as of December 2023. The total AUM for the strategy is currently $3m.

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2024	-0.01%	2.43%	5.12%	0.58%	-2.52%	1.58%	5.37%	4.99%	-2.87%	3.15%	0.77%	5.68%	26.57%	-2.87%
2023	0.55%	8.08%	6.44%	1.24%	9.76%	-0.59%	1.67%	2.25%	1.23%	0.91%	1.26%	5.59%	45.05%	-0.59%
2022	3.02%	9.18%	8.84%	5.78%	3.06%	3.32%	3.15%	4.99%	0.86%	10.29%	2.47%	5.61%	79.76%	0%
2021	4.14%	3.31%	8.69%	1.26%	1.79%	1.31%	1.08%	1.92%	0.01%	4.63%	1.65%	-0.21%	33.49%	-0.21%
2020	0.58%	-7.00%	-0.31%	2.17%	-0.64%	7.14%	-2.06%	0.93%	5.58%	1.93%	-4.10%	-0.91%	2.54%	-7.29%

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	2020	2021	2022	2023	2024
ROR	2.54%	33.49%	79.76%	45.05%	26.57%
Max DD	-7.29%	-0.21%	0.00%	-0.59%	-2.87%

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 $4,000,000 in securities holdings OR the person must have on deposit with a Futures Commission Merchant at least $400,000 in exchange-specified initial margin and option premiums, and required minimum security deposit for retail forex transactions).

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.