CTA Report

Report Start Date Report End Date

Gregory P. Asset Management / Alternative Multi Strategy
Accepting New Investors: Yes Spread Trading / Mean Reversion / Ags, Meats

Performance from Sept 2009 through Jul 2012 is of Greg Placsintar (Exempt Foreign Advisor) - Performance from Aug 2012 is client performance of Gregory P. Asset Management, LLC.

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2019	-0.30%	-2.39%	3.84%	1.53%	2.90%	0.26%	-0.45%	0.15%	-0.07%	1.86%	0.72%	3.54%
2020	0.95%	1.95%	-3.66%	9.23%	1.51%	1.98%	-4.97%	1.99%	-1.69%	-3.31%	0.45%	-5.94%
2021	0.51%	-0.35%	0.42%	-5.23%	-1.04%	2.27%	0.58%	0.32%	0.41%	0.78%	1.39%	1.10%
2022	-2.28%	-2.89%	-2.61%	-2.13%	-1.09%	0.19%	-0.65%	0.52%	-0.82%	0.31%	-0.01%	0.20%
2023	0.04%	0.35%	0.23%	0.22%	-0.35%	-0.18%	-0.48%	-0.02%	-1.02%	0.38%	-0.12%	0.33%
2024	-0.72%	-0.31%	-0.96%	0.18%	0.08%	0.17%

	2019	2020	2021	2022	2023	2024 YTD
ROR	12.02%	-2.41%	0.97%	-10.77%	-0.63%	-1.56%
Max DD	-2.68%	-12.95%	-6.22%	-11.22%	-2.04%	-1.98%

The Notes Below Are An Integral Part of this Report

Program Description: GPAM aims to deliver superior absolute returns with its new Alternative Multi Strategy programme. We focus mainly on spread trading and create alpha from our understanding of the mean reversion of commodity spreads that occur within seasonal tendencies. The program mainly utilises the quantitive analysis of data but it also considers market fundamentals. Our alternative multi strategies include: Statistical Arbitrage, Spread Trading, Relative Value Long/Short, Volatility Arbitrage, Global Macro and more.

Investment Information

Program Start Date	Nov-2012
Minimum Investment	500,000
Management Fee	0.00%
Incentive Fee	0.00%
Margin	13%
Round Turns per Million	23,000
Currency	US Dollar
NFA No:	#0440470

Trading Strategy

Market Segment

Loading chart...

Program Statistics
Peak-to-Valley Drawdown (1) (Jun 2020 - Mar 2024)	-23.61%
Worst Monthly Return (Dec 2020)	-5.94%
Current Losing Streak	-23.29%
Average Monthly Return	-0.03%

Annualized Statistics
Annualized Compounded ROR (2)	-0.67%
Standard Deviation	7.51%
Sharpe Ratio (4)	-0.19
36 Month Calmar Ratio (3)	-0.23

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	9.2%	-0%	-5.9%
3 mo	13.1%	-0.1%	-8.6%
6 mo	13.8%	-0.3%	-13%
12 mo	18.7%	-1%	-16.3%
18 mo	25.6%	-3%	-15%
24 mo	12.5%	-6.2%	-21.2%
36 mo	10.4%	-9.4%	-21.3%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Jul-20	-23.61%	45 mo	3 mo	n/a
Mar-20	-3.66%	1 mo	1 mo	Apr-20
Jan-19	-2.68%	2 mo	1 mo	Mar-19
Jul-19	-0.45%	1 mo	3 mo	Oct-19

Comparisons	Program	AG CTA Index
Annualized Compound ROR	-0.67%	5.37%
Cumulative Return	-3.65%	33.31%
Cumulative VAMI (5)	964	1333
Largest Monthly Gain	9.23%	2.99%
Largest Monthly Loss	-5.94%	-1.42%
Correlation	—	-0.299
Last 12 Months	-2.47%	5.64%
Last 36 Months	-8.64%	14.01%

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: The Alternative Multi Strategy was designed by Gregory Placsintar with input from one other individual. Mr. Placsintar assisted the individual in the trading of his account, but did not have power-of-attorney. Because neither Mr. Placsintar nor GPAM had power-of-attorney over the account, the performance is not presented as GPAM client performance. The actual trading results of the account presented below do, however, represent the trading history of the Alternative Multi Strategy trading program. Performance has been adjusted to include a management fee of 2% and incentive fee of 20%. GPAM will be assuming the trading of this individual account and intends to use the same trading strategy for all customers trading the Alternative Multi Strategy.

** 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 2024-06-30

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

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