Autumn Gold Retail Report
Report Start Date: Jan-2020 - Report End Date: May-2024
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Southwest Managed Investments, LLC - Global Diversified Program
Trading Strategy: Trend Following / Diversified
Performance Since January 2020 | Track Record Compiled By: N/A
JanFebMarAprMayJunJulAugSepOctNovDecROR Max DD
2024-2.92%-1.29%-0.56%3.27%-4.75%–––––––-6.27%-6.27%
2023-0.66%-4.11%-2.19%-2.95%-1.03%-0.10%-3.07%-1.18%4.83%-3.50%-4.53%0.71%-16.71%-17.30%
2022-1.04%-5.64%7.13%10.85%-6.56%1.96%-1.73%1.85%6.07%-1.68%-5.40%0.19%4.52%-6.99%
20210.10%10.18%-1.31%-1.78%-3.15%-2.08%1.74%0.50%1.65%1.74%-0.90%-2.08%4.04%-8.07%
2020-6.29%0.65%-4.10%-1.44%3.15%-0.77%24.79%9.65%-8.39%-5.81%2.91%5.36%16.82%-13.71%
Program Description: The general trading strategy of the SWMI program is trend following. No fundamental analysis is used. The strategy is not based on analysis of supply and demand factors, general economic factors or world events. The SWMI model generates its own entry and exit signals and trades both sides of the market (long and short). The SWMI model is very long term in time-frame focus. Approximately 27 domestic and international commodity interests may be traded. All markets are traded with equal parameters.

Program Statistics
Peak-to-Valley Drawdown (2) -32.79%
   From May 2012 to Jan 2014
Worst Month (Mar 2003) -11.65%
Current Losing Streak -27.25%
Average Monthly Return 0.5%
Annualized Performance
Compound ROR (1) 4.06%
Standard Deviation21.13%
Sharpe Ratio0.27
Sterling Ratio-0.28
Calmar Ratio (3)-0.24

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Important Notes Regarding the CTA Universe: Traders are included in a market segment regardless of the percentage of their portfolio trades that particular segment. Choose the "Limit to NFA Members Only" option to see a report that includes only NFA Members. Some traders may have been eliminated from this report at the sole discretion of Autumn Gold. The Autumn Gold Universe of CTAs does not include all CTAs.
Statistial Notes: Compound ROR: The Annualized Compounded Rate of Return represents the compounded rate of return for 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. It smoothes out returns by assuming constant growth.
Maximum Drawdown: Represents the worst drawdown experienced by a CTA from Inception.
Risk Adjusted Statistics: Measure how much risk is involved in producing return. The Sharpe Ratio and Sortino Ratio are both risk adjusted measures.
Sharpe Ratio: Is calculated using a 2% Risk Free Rate of Return. Downside Deviation & Sortino Ratio: Are calculated using a 5% Minimum Acceptable Rate of Return.
2004 - 2025 AutumnGold | Crestview, FL | 719-685-6183 | [email protected]


Autumn Gold Retail Report
Report Start Date: Jan-2020 - Report End Date: May-2024
Print to PDF

Investment Information

Program Start Date Jan-2001
Currency Denomination US Dollars
Minimum Investment $200,000
Management Fee 1.80%
Incentive Fee 20.00%
Margin 11%
Round Turns per Million 685
NFA No: #0412752
Trading Methodology
99% Systematic
1% Discretionary
Trading Style
100% Trend Following
Market Segment
22% Currencies
22% Financials
15% Metals
11% Energies
11% Agriculturals
4% Meats
15% Softs
Statistical Comparisons Southwest Man. Inv.
Global Diversified Program		 AutumnGold
AG CTA Index
Remove		 S&P 500
SP 500 TR
Remove
Annualized Compound ROR (1)-0.19%6.13%13.57%
Cumulative Return-0.83%30.04%75.41%
Cumulative VAMI(7)9921,3001,754
Best Monthly Return24.79%2.99%12.82%
Worst Monthly Return-8.39%-1.27%-12.35%
Annual Standard Deviation18.74%3.40%19.12%
Profit Loss Ratio1.074.411.70
Correlation—0.460.03
Last Month-4.75%0.05%4.96%
Last 12 Months-12.76%7.24%28.19%
Last 24 Months-21.25%7.92%31.94%
Last 36 Months-18.01%14.37%31.59%


Growth of $1,000 VAMI Comparison

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Important Notes Regarding the CTA Universe: Traders are included in a market segment regardless of the percentage of their portfolio trades that particular segment. Choose the "Limit to NFA Members Only" option to see a report that includes only NFA Members. Some traders may have been eliminated from this report at the sole discretion of Autumn Gold. The Autumn Gold Universe of CTAs does not include all CTAs.
Statistial Notes: Compound ROR: The Annualized Compounded Rate of Return represents the compounded rate of return for 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. It smoothes out returns by assuming constant growth.
Maximum Drawdown: Represents the worst drawdown experienced by a CTA from Inception.
Risk Adjusted Statistics: Measure how much risk is involved in producing return. The Sharpe Ratio and Sortino Ratio are both risk adjusted measures.
Sharpe Ratio: Is calculated using a 2% Risk Free Rate of Return. Downside Deviation & Sortino Ratio: Are calculated using a 5% Minimum Acceptable Rate of Return.
2004 - 2025 AutumnGold | Crestview, FL | 719-685-6183 | [email protected]


Autumn Gold Retail Report
Report Start Date: Jan-2020 - Report End Date: May-2024
Print to PDF

An Important Note on the Start Date and End Date 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. Performance Results reported or amended subsequent to Friday December 5, 2025 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.

Historical Drawdowns and Recoveries
The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.

Statistical Footnotes
1) The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for 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. It smooths out the returns by assuming a constant growth.
2) Peak to Valley Drawdown = worst % loss between Jan-2020 and May-2024
3) Calmar Ratio uses the last 36 months of data.

Benchmark Descriptions

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 was prepared from trader-provided information and is believed to be reliable. It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.

PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. TRADING FUTURES AND OPTIONS INVOLVES SUBSTANTIAL RISK OF LOSS AND IS NOT SUITABLE FOR ALL INVESTORS. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

Important Notes Regarding the CTA Universe: Traders are included in a market segment regardless of the percentage of their portfolio trades that particular segment. Choose the "Limit to NFA Members Only" option to see a report that includes only NFA Members. Some traders may have been eliminated from this report at the sole discretion of Autumn Gold. The Autumn Gold Universe of CTAs does not include all CTAs.
Statistial Notes: Compound ROR: The Annualized Compounded Rate of Return represents the compounded rate of return for 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. It smoothes out returns by assuming constant growth.
Maximum Drawdown: Represents the worst drawdown experienced by a CTA from Inception.
Risk Adjusted Statistics: Measure how much risk is involved in producing return. The Sharpe Ratio and Sortino Ratio are both risk adjusted measures.
Sharpe Ratio: Is calculated using a 2% Risk Free Rate of Return. Downside Deviation & Sortino Ratio: Are calculated using a 5% Minimum Acceptable Rate of Return.
2004 - 2025 AutumnGold | Crestview, FL | 719-685-6183 | [email protected]