CTA Report

Report Start Date Report End Date

Cohalo Advisory LLC / Cohalo Dynamic Volatility Strategies - Futures
Accepting New Investors: Yes Systematic & Discretionary / Long Short / VIX

Pro-Forma Proprietary Results from Sept 2020 to Dec 2020 are fully adjusted for a 1% Management Fee and 20% Incentive Fee. Customer Results from Jan 2021.

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020									1.42%	-1.36%	0.21%	0.20%
2021	1.20%	2.99%	4.86%	2.47%	-1.75%	3.45%	-2.81%	2.64%	-5.05%	4.83%	-3.33%	4.65%
2022	-8.73%	-6.95%	2.52%	-2.56%	0.60%	-1.91%	3.67%	-0.40%	-0.18%	-0.86%	3.12%	0.57%
2023	2.64%	-0.76%	-0.30%	3.40%	0.78%	4.12%	1.96%	0.83%	-0.87%	-1.52%	6.03%	1.30%
2024	0.82%	2.29%	0.55%	0.07%	2.97%	0.53%	-1.62%

	2020	2021	2022	2023	2024 YTD
ROR	0.45%	14.33%	-11.28%	18.78%	5.68%
Max DD	-1.36%	-5.29%	-16.28%	-2.38%	-1.62%

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

Program Description: The Cohalo Dynamic Volatility Strategies - Futures program is a futures trading program incorporating elements of systematic and discretionary trading, based on instruments and industry knowledge utilized by the Trading Principal. The program will primarily take long and short positions on the VIX futures curve.

The manager operates a securities (equities)-based implementation of the DVS strategy with an inception of July 2018 that achieved attractive performance through the inception of this futures-based implementation. Tracking error between the implementation methods is expected to be minimal. Please contact the manager for more details.

Investment Information

Program Start Date	Sep-2020
Minimum Investment	100,000
Management Fee	1%
Incentive Fee	20%
Margin	5-25%
Round Turns per Million	3,000
Currency	US Dollar
NFA No:	#0514858

Trading Strategy

Market Segment

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Program Statistics
Peak-to-Valley Drawdown (1) (Dec 2021 - Jun 2022)	-16.28%
Worst Monthly Return (Jan 2022)	-8.73%
Current Losing Streak	-1.62%
Average Monthly Return	0.57%

Annualized Statistics
Annualized Compounded ROR (2)	6.48%
Standard Deviation	10.30%
Sharpe Ratio (4)	0.57
36 Month Calmar Ratio (3)	0.29

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	6%	0.6%	-8.7%
3 mo	10.7%	1.8%	-12.9%
6 mo	13.8%	3.7%	-16.3%
12 mo	21.3%	5.8%	-15.9%
18 mo	27.8%	6.5%	-12.7%
24 mo	35.2%	8.4%	-5.7%
36 mo	20.5%	16%	11.6%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Jan-22	-16.28%	6 mo	14 mo	Aug-23
Jul-21	-5.28%	3 mo	3 mo	Dec-21
Sep-23	-2.38%	2 mo	1 mo	Nov-23
May-21	-1.75%	1 mo	1 mo	Jun-21
Jul-24	-1.62%	1 mo	0 mo	n/a
Oct-20	-1.36%	1 mo	3 mo	Jan-21

Comparisons	Program	SP 500 TR
Annualized Compound ROR	6.48%	14.09%
Cumulative Return	27.89%	67.58%
Cumulative VAMI (5)	1279	1676
Largest Monthly Gain	6.03%	10.95%
Largest Monthly Loss	-8.73%	-9.21%
Correlation	—	0.610
Last 12 Months	11.73%	22.15%
Last 36 Months	15.09%	31.65%

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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: Returns from September 1 2020 to December 31 2020 are fully funded proprietary account results, adjusted to reflect pro forma fees of 1% management and 20% performance. Customer composite began January 2021. All returns shown are net of fees, commissions, and related accruals and represent the composite performance of individual managed accounts using the OAT method of performance accounting. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS

** 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 2020-09-30 to 2024-07-31

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