Autumn Gold Retail Report Report Start Date: Jan-2024 - Report End Date: Oct-2025 Print to PDF
ARB Asset Management, LLC - Systematic Behavorial Global Macro
Trading Strategy: Systematic Macro / Diversified
Investment Restrictions: 4.7 Exempt - QEPs Only
Performance Since January 2024 | Please See Accounting Notes
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
ROR
Max DD
2025
-0.25%
0.01%
1.47%
1.63%
-0.75%
-1.10%
0.66%
-0.66%
1.39%
2.15%
–
–
4.58%
-1.85%
2024
-1.40%
1.63%
2.18%
-1.42%
4.38%
-2.03%
6.76%
1.15%
0.80%
-3.39%
-1.01%
1.14%
8.65%
-4.37%
Program Description: The fully systematic strategy targets opportunities in Equity Index, Fixed Income, Energy, Metals, Currency, Agricultural, and Crypto futures contracts. Assets in general exhibit periods of panic buying and selling caused by herd mentality. A multi-dimensional set of proprietary quantitative models are employed to describe and measure the psychological behavior in its early stages. Market neutral signals are aggregated and translated to extract alpha from impending price moves.
Program Statistics
Peak-to-Valley Drawdown (2)
-4.37%
From Sep 2024 to Nov 2024
Worst Month (Oct 2024)
-3.39%
Current Losing Streak
0%
Average Monthly Return
0.61%
Annualized Performance
Compound ROR (1)
7.22%
Standard Deviation
7.64%
Sharpe Ratio
0.9
Sterling Ratio
0
Calmar Ratio (3)
N/A
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.
Autumn Gold Retail Report Report Start Date: Jan-2024 - Report End Date: Oct-2025 Print to PDF
Investment Information
Program Start Date
Jan-2024
Currency Denomination
US Dollars
Minimum Investment
$5,000,000
Management Fee
2.00%
Incentive Fee
20.00%
Margin
10-25%
Round Turns per Million
9,000
NFA No:
#0532191
Trading Methodology
100% Systematic
Trading Style
100% Quantitative
Market Segment
100% Stock Indices 100% Diversified
Statistical Comparisons
ARB Asset Mgt, LLC Systematic Behavorial Global Macro
AutumnGold AG CTA Index
S&P 500 SP 500 TR
Annualized Compound ROR (1)
7.22%
3.70%
23.35%
Cumulative Return
13.63%
6.88%
46.93%
Cumulative VAMI(7)
1,136
1,069
1,469
Best Monthly Return
6.76%
2.17%
6.29%
Worst Monthly Return
-3.39%
-1.17%
-5.63%
Annual Standard Deviation
7.64%
3.10%
10.99%
Profit Loss Ratio
2.11
2.56
3.66
Correlation
—
0.28
0.04
Last Month
2.15%
1.14%
2.34%
Last 12 Months
4.70%
3.46%
21.46%
Last 24 Months
13.63%
8.99%
67.63%
Last 36 Months
13.63%
9.73%
84.63%
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.
Autumn Gold Retail Report Report Start Date: Jan-2024 - Report End Date: Oct-2025 Print to PDF
Accounting Notes
RETURNS FROM JAN 2020 TO DEC 2023 ARE LIVE RETURNS OF THE STRATEGY FOR SMA CLIENTS. THEY REFLECT A PERIOD IN WHICH THE SYSTEMATIC BEHAVIORAL GLOBAL MACRO
STRATEGY WAS DEPLOYED IN VARIOUS LIVE SMA TRACKS BUT TO WHICH NEITHER ARB AM NOR THE STRATEGY'S PM OWN THE RETURNS. RETURNS FROM JAN 2024 TO PRESENT ARE ACTUAL RESULTS OF THE BGSM STRATEGY IN AN ARB TRADING PROP ACCOUNT.
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.
Qualified Eligible Persons: THIS PROGRAM IS ONLY OPEN TO INVESTORS FITTING THE DEFINITION OF A QUALIFIED ELIGIBLE PERSON AS THAT TERM IS DEFINED UNDER CFTC REGULATION 4.7(A). A Qualified Eligible Person must meet the following two requirements:
1. Must be an accredited investor (e.g., $1,000,000 net worth or $200,000 individual income / $300,000 joint income for 2 years).
2. Must meet a portfolio test (e.g., $4,000,000 in securities or $400,000 in required margin deposits).
PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS INFORMATION IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE CFTC. THE CCFTC DOES NOT PASS UPON THE MERITS OF PARTICIPATING IN A TRADING PROGRAM OR UPON THE ADEQUACY OR ACCURACY OF COMMODITY TRADING ADVISOR DISCLOSURE. CONSEQUENTLY, THE CFTC HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS DOCUMENT.
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-2024 and Oct-2025 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.
