CTA Report

Report Start Date Report End Date

Vernon Capital Partners, LLC. / Fundamental Volatility
Accepting New Investors: Yes Systematic / Short-Term / VIX

Pro-Forma Performance adjusted for a 2% management and 20% incentive fee. - Performance is Based on Proprietary Trading

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2019 -7.93% 2.55% 0.06% -4.21% 2.17% 2.99% 4.09% -0.11%

2020 -3.39% 2.93% 27.32% 1.49% 5.57% -0.95% 2.40% -1.14% -1.93% -3.72% 5.62% -0.62%

2021 -5.29% 4.41% 3.73% 1.11% 2.28% 1.50% -0.76% 1.53% -1.49% 3.88% -3.29% 2.65%

2022 -7.10% -1.83% -0.76% -1.83% 5.60% -1.54% 2.06% 0.73% -1.71% 1.44% 0.84% 0.71%

2023 1.94% -0.25% -3.60% 0.46% -0.15% -0.15% 1.88% -1.18% 1.14% -2.70% -2.68% -0.07%

2024 -0.22% -0.13% 1.06% -0.83% 0.19% 0.78% -0.47% 1.57%

2019 2020 2021 2022 2023 2024 YTD
ROR -0.99% 34.81% 10.21% -3.83% -5.40% 1.94%
Max DD -9.50% -6.65% -5.29% -11.15% -7.20% -0.83%

The Notes Below Are An Integral Part of this Report | Track Record Compiled By: Internally Prepared

Program Description: Vernon Capital Partners' Fundamental Volatility program is a managed futures product designed to maximize intermediate- and long-term capital appreciation, while providing a diversification benefit to a portfolio of other common asset classes. Our proprietary, algorithmic system generates market-neutral, quantitative signals intended to exploit the relative values of derivative contracts and monetize short-term price divergences. The investment team structures our strategies to generate attractive absolute and risk-adjusted returns in both calm and volatile markets and practices disciplined risk management to limit drawdowns.

Investment Information

Program Start Date May-2019

Minimum Investment 500,000

Management Fee 2.00%

Incentive Fee 20.00%

Margin 10%

Round Turns per Million 1,000

Currency US Dollar

NFA No: #0521163

Trading Strategy Market Segment

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Program Statistics
Peak-to-Valley Drawdown (1) (Oct 2021 - Apr 2022) -11.80%

Worst Monthly Return (May 2019) -7.93%

Current Losing Streak -7.93%

Average Monthly Return 0.57%

Annualized Statistics

Annualized Compounded ROR (2) 6.00%

Standard Deviation 15.16%

Sharpe Ratio (4) 0.39

36 Month Calmar Ratio (3) -0.17

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. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION TO INVEST SOLELY ON THE PAST PERFORMANCE PRESENTED HEREIN.

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

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019		-7.93%	2.55%	0.06%	-4.21%	2.17%	2.99%	4.09%	-0.11%
2020	-3.39%	2.93%	27.32%	1.49%	5.57%	-0.95%	2.40%	-1.14%	-1.93%	-3.72%	5.62%	-0.62%
2021	-5.29%	4.41%	3.73%	1.11%	2.28%	1.50%	-0.76%	1.53%	-1.49%	3.88%	-3.29%	2.65%
2022	-7.10%	-1.83%	-0.76%	-1.83%	5.60%	-1.54%	2.06%	0.73%	-1.71%	1.44%	0.84%	0.71%
2023	1.94%	-0.25%	-3.60%	0.46%	-0.15%	-0.15%	1.88%	-1.18%	1.14%	-2.70%	-2.68%	-0.07%
2024	-0.22%	-0.13%	1.06%	-0.83%	0.19%	0.78%	-0.47%	1.57%

	2019	2020	2021	2022	2023	2024 YTD
ROR	-0.99%	34.81%	10.21%	-3.83%	-5.40%	1.94%
Max DD	-9.50%	-6.65%	-5.29%	-11.15%	-7.20%	-0.83%

Time Window Analysis

Length	Best	Average	Worst
1 mo	27.3%	0.6%	-7.9%
3 mo	36.4%	2%	-9.5%
6 mo	42.4%	4.3%	-11.8%
12 mo	48.8%	8.7%	-7.4%
18 mo	49.1%	10.7%	-6.9%
24 mo	60%	13.8%	-9%
36 mo	54.4%	18.3%	-6.1%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Nov-21	-11.80%	6 mo	28 mo	n/a
May-19	-9.50%	4 mo	7 mo	Mar-20
Aug-20	-7.20%	6 mo	2 mo	Mar-21
Sep-21	-1.49%	1 mo	1 mo	Oct-21
Jun-20	-0.95%	1 mo	1 mo	Jul-20
Jul-21	-0.76%	1 mo	1 mo	Aug-21

Comparisons	Program	AG CTA Index
Annualized Compound ROR	6.00%	5.18%
Cumulative Return	36.42%	30.89%
Cumulative VAMI (5)	1364	1309
Largest Monthly Gain	27.32%	2.99%
Largest Monthly Loss	-7.93%	-1.42%
Correlation	—	0.306
Last 12 Months	-2.44%	5.43%
Last 36 Months	-5.79%	12.73%

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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: Pro-Forma Performance adjusted for a 2% management and 20% incentive fee.

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 2019-05-31 to 2024-08-31

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

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.

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