CTA Report

Report Start Date Report End Date

Red Rock Capital, LLC / Commodity Long-Short
Accepting New Investors: Yes Systematic / Trend Following / Diversified

From Sep 2013 - Apr 2014 the returns for this composite are presented pro forma net of 2/20 fees.

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019	-8.76%	4.29%	-3.07%	1.40%	8.12%	-2.44%	-1.15%	4.38%	-6.29%	-3.17%	-0.88%	5.24%
2020	2.23%	8.18%	13.16%	-2.97%	-0.99%	-1.59%	-1.65%	-4.58%	-0.25%	-0.16%	-1.76%	3.49%
2021	2.10%	11.67%	-1.92%	13.18%	2.22%	-3.25%	-0.30%	4.43%	7.09%	3.76%	-2.14%	-0.83%
2022	9.08%	1.23%	7.44%	5.57%	-2.22%	-2.80%	1.81%	1.28%	-7.51%	1.24%	-6.11%	0.75%
2023	-3.13%	2.62%	4.67%	8.63%	3.80%	-0.65%	-1.76%	-1.84%	-0.86%	2.14%	-2.45%	-2.49%
2024	6.23%	5.96%	1.92%	2.19%	-1.14%	2.75%	2.54%	-4.76%	-0.36%	-2.15%

	2019	2020	2021	2022	2023	2024 YTD
ROR	-3.66%	12.42%	40.53%	8.73%	8.27%	13.39%
Max DD	-10.06%	-13.20%	-3.54%	-13.84%	-7.72%	-7.14%

The Notes Below Are An Integral Part of this Report

Program Description: Commodity futures regularly exhibit various degrees of disequilibrium as producers, consumers, and speculators attempt to maximize their gains and limit their risks. Tangible / raw / physical commodities are particularly prone to supply & demand shocks as the post Covid-19 era has demonstrated. From time to time these significant flows of capital produce sustained price trends, either up or down. Our Commodity Long-Short strategy is designed to identify these trends and to signal an opportune time to deploy risk capital in an attempt to exploit them for profit. All positions are taken in the direction of the longer-term trend, whether going long or short. The average holding period of a trade is 9 days and historically the strategy has exhibited very low or even negative correlation to stocks, bonds, hedge funds, CTAs, and long-only commodity indexes.

Investment Information

Program Start Date	Sep-2013
Minimum Investment	500,000
Management Fee	2% (Monthly)
Incentive Fee	20% (monthly)
Margin	10%
Round Turns per Million	2,230
Currency	US Dollar
NFA No:	#0460046

Trading Strategy

Market Segment

Loading chart...

Program Statistics
Peak-to-Valley Drawdown (1) (Apr 2022 - Jan 2023)	-15.91%
Worst Monthly Return (Jan 2019)	-8.76%
Current Losing Streak	-7.14%
Average Monthly Return	1.12%

Annualized Statistics
Annualized Compounded ROR (2)	12.92%
Standard Deviation	15.99%
Sharpe Ratio (4)	0.78
36 Month Calmar Ratio (3)	0.57

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	13.2%	1.1%	-8.8%
3 mo	25.1%	3.8%	-12.1%
6 mo	33.9%	8.2%	-13.1%
12 mo	50.1%	17.2%	-4.6%
18 mo	79%	27.6%	-1.4%
24 mo	74.7%	38.8%	8.3%
36 mo	103.9%	68.7%	29.5%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
May-22	-15.91%	9 mo	4 mo	May-23
Apr-20	-13.20%	8 mo	3 mo	Feb-21
Sep-19	-10.06%	3 mo	3 mo	Feb-20
Jan-19	-8.76%	1 mo	4 mo	May-19
Jun-23	-7.72%	7 mo	2 mo	Feb-24
Aug-24	-7.14%	3 mo	0 mo	n/a

Comparisons	Program	SP 500 TR
Annualized Compound ROR	12.92%	17.06%
Cumulative Return	103.18%	150.68%
Cumulative VAMI (5)	2032	2507
Largest Monthly Gain	13.18%	12.82%
Largest Monthly Loss	-8.76%	-12.35%
Correlation	—	-0.299
Last 12 Months	7.86%	38.01%
Last 36 Months	29.54%	29.81%

Loading chart...

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: From Sep 2013 - Apr 2014 the returns for this composite are presented pro forma net of 2/20 fees. Effective December 2014, the daily compounded method of calculating ROR was used for all accounts in the composite. Before December 2014, accounts that were opened or closed during the month or experienced material additions, withdrawals, or changes in nominal account size during the month were not included in the composite.

** 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 2024-10-31

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