CTA Report

Report Start Date Report End Date

Horizon3 Investment Management LLP / CTA Programme
Accepting New Investors: Yes Quantitative with Discretionary Macro Overlay
4.7 Exempt - QEPs Only

Please See Accounting Notes

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019	-6.62%	1.95%	2.22%	2.87%	-0.27%	1.32%	0.18%	4.61%	-8.58%	-2.22%	2.11%	1.35%
2020	1.65%	6.45%	6.05%	-5.66%	-2.44%	-1.33%	6.17%	-0.48%	-2.25%	3.78%	-1.78%	4.43%
2021	-3.89%	7.14%	2.43%	-0.12%	-0.21%	-1.13%	0.41%	-1.15%	4.12%	7.93%	-2.89%	-2.77%
2022	-0.06%	3.16%	5.30%	0.54%	-3.19%	6.30%	-5.67%	4.22%	12.86%	-1.51%	-1.78%	-0.03%
2023	-1.06%	-2.21%	-3.75%	0.99%	3.95%	-2.45%	-5.15%	-4.21%	5.93%	2.87%	-10.45%	6.01%
2024	-5.45%	-0.13%	-1.23%	4.99%	-2.96%	-0.90%	-2.70%	-1.20%	0.42%

	2019	2020	2021	2022	2023	2024 YTD
ROR	-1.93%	14.56%	9.46%	20.52%	-10.38%	-9.08%
Max DD	-10.61%	-9.19%	-5.58%	-5.67%	-15.46%	-9.47%

The Notes Below Are An Integral Part of this Report | Track Record Compiled By: N/A

Program Description:

The Horizon3 Program blends scientific, engineering and behavioural disciplines to capture market behaviour and deliver a robust, skewed risk/return profile.
Unique strategy which uses Linear methods (e.g. Digital Signal Processing) combined with non-linear methods (e.g. Pattern Recognition) in a rigorous, automated and adaptive system to deal with the changeable nature of markets.
A maximization of diversification with adaptive portfolio construction methodology of over 125 liquid markets in financial and commodity futures as well as FX, constantly looking for best diversifying and non-correlated opportunities.
Horizon3 has a long track record of adding diversification to investor portfolios with its low correlation to traditional markets such as stocks and bonds as well as low correlation to other CTA strategies.

Investment Information

Program Start Date	May-2005
Minimum Investment	5,000,000
Management Fee	2.00%
Incentive Fee	20.00%
Margin	15%
Round Turns per Million	1,600
Currency	US Dollars
NFA No:	##0354192

Trading Strategy

Market Segment

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Program Statistics
Peak-to-Valley Drawdown (1) (Sep 2022 - Aug 2024)	-21.53%
Worst Monthly Return (Nov 2023)	-10.45%
Current Losing Streak	-21.20%
Average Monthly Return	0.36%

Annualized Statistics
Annualized Compounded ROR (2)	3.34%
Standard Deviation	14.50%
Sharpe Ratio (4)	0.23
36 Month Calmar Ratio (3)	0.00

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com

Time Window Analysis

Length	Best	Average	Worst
1 mo	12.9%	0.4%	-10.5%
3 mo	15.8%	1.2%	-11.4%
6 mo	16.1%	2.5%	-13.5%
12 mo	27%	5.8%	-15.5%
18 mo	29.3%	10.2%	-19.2%
24 mo	45.2%	16.2%	-21.2%
36 mo	59.3%	26.9%	0.1%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Oct-22	-21.53%	23 mo	1 mo	n/a
Sep-19	-10.61%	2 mo	4 mo	Feb-20
Apr-20	-9.19%	3 mo	8 mo	Feb-21
Jan-19	-6.62%	1 mo	3 mo	Apr-19
Jul-22	-5.67%	1 mo	2 mo	Sep-22
Nov-21	-5.64%	3 mo	2 mo	Mar-22

Comparisons	Program	SP 500 TR
Annualized Compound ROR	3.34%	17.52%
Cumulative Return	20.77%	152.99%
Cumulative VAMI (5)	1208	2530
Largest Monthly Gain	12.86%	12.82%
Largest Monthly Loss	-10.45%	-12.35%
Correlation	—	-0.457
Last 12 Months	-11.22%	36.36%
Last 36 Months	0.08%	40.18%

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Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com

+ NOTES: Prior trading names: Wimmer Horizon LLP (29th Jan 2019 - 20th Jan 2023), Beach Horizon LLP (26 May 2004 - 29 Jan 2019).

The composite monthly net performance results shown in the table above are net of all management fees, incentive fees and brokerage commissions and related transaction fees and expenses. Certain accounts managed by Horizon3 Investment Management LLP and/or its principals have been excluded from the composite table because such accounts had materially differences in rates of return from the accounts included in the composite. In addition, for various reasons including, without limitation, the timing of the commencement or cessation of trading for an account, the size of an account, the levels of fees and expenses charged to account, the degree of leverage employed and other differences, an individual account may have realized more or less favorable results than the composite results indicate.

Total AUM equals the notional value of all accounts traded by Horizon3 Investment Management LLP and its principals.

A Qualified Eligible Person ('QEP') 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).

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

** The drawdown begins in the month listed as start. The length in months of the drawdown is listed under length. The recovery begins in the following month, and the length of the recovery period is listed under recovery. The date listed as end is the month that the program recovered from the drawdown.

Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

Statistical Notes

1. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of 2019-01-31 to 2024-09-30

2. The Annualized Compounded ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.

3. Calmar Ratio Uses last 36 months of Data

ROR = Rate of Return

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 has been prepared from information provided by the Trader and is believed to be reliable. This report should be read in conjunction with the Trader's Disclosure 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. THERE ARE NO GUARANTEES OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THERE IS AN UNLIMITED RISK OF LOSS IN SELLING OPTIONS. YOU SHOULD CAREFULLY CONSIDER WHETHER COMMODITY FUTURES AND OPTIONS IS SUITABLE FOR YOU IN LIGHT OF YOUR FINANCIAL CONDITION. AN INVESTOR MUST READ AND UNDERSTAND THE MANAGER'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING.

Ascent Capital Management
311 S. Wacker Drive - Suite 600 * Chicago, IL 60606
Office: 312-283-3350 Email: [email protected] | Web Address: http://www.ascentcm.com