Statistical Analysis Report

Valorem Investments LLC
Currency Futures Alpha Strategy

Report Start Date: Nov-2021 | End Date: Jun-2025

Print to PDF

Set Risk Thresholds

Set Risk-Free ROR for the Sharpe Ratio: Set Minimum Acceptable ROR for the Sortino: Omega Threshold:

Current Return: +0.44%

YTD Return: -3.95%

Annualized Return: +1.75%

AUM: $ 1,034,000

Trading Strategy

Systematic / Macro / Mean Reversion / Currencies

Program Description

The strategy approach capitalizes on real money flows from large institutional participants that are not profit-seeking. The program identifies when certain currencies are at statistically significant deviations from other currencies, and places trades to profit when the currencies come back into alignment.

Program Statistics
Peak-to-Valley Drawdown (2)	-11.05%
From Apr 2023 to Feb 2025
Worst Month (May 2023)	-4.95%
Current Losing Streak	-10.32%
Average Monthly Return	0.17%
Monthly Std. Deviation	2.44%
Gain Deviation (27 months)	1.54%
Loss Deviation (17 months)	1.04%
Gain to Loss Ratio	0.75
Omega Ratio (5% Threshold)	0.78

Annualized Performance
Compound ROR (1)	1.75%
Standard Deviation	8.44%
Downside Deviation	5.52%
Sharpe Ratio (3) 2% RF ROR	0.2
Sortino Ratio (4) 5% MAR	0.31
Calmar Ratio (5)	-0.11
Sterling Ratio (6)	-0.07
Gain Deviation	5.32%
Loss Deviation	3.61%
Profit Loss Ratio	1.19

Investment Information
Program Start Date	Nov-2022
Percent Discretionary	5%
Percent Systematic	95%
Currency Denomination - US Dollar
Minimum Investment	$100,000
Management Fee	0.00%
Incentive Fee	0.00
Margin	12-20%
Round Turns per Million	3,300
NFA No:	#0508048
None

Performance Since November 2021 | Track Record Compiled By: Turnkey Trading Partners | Please See Accounting Notes | A Portion of this Performance is Based on Proprietary Trading

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2025	-2.99%	-1.80%	1.17%	1.70%	-2.44%	0.44%	–	–	–	–	–	–	-3.95%	-4.74%
2024	-1.80%	-1.46%	3.06%	0.52%	1.73%	0.08%	-2.22%	-3.64%	-2.83%	2.45%	0.70%	0.00%	-3.60%	-8.45%
2023	0.50%	-2.35%	6.74%	2.32%	-4.95%	-3.49%	2.39%	0.27%	-2.34%	3.06%	3.49%	-1.26%	3.82%	-8.27%
2022	1.90%	2.99%	2.41%	4.08%	-1.77%	-0.75%	0.61%	-1.16%	-2.69%	0.52%	2.48%	0.45%	9.20%	-5.66%
2021	–	–	–	–	–	–	–	–	–	–	0.73%	0.78%	1.52%	0.00%

Monthly Return and $1,000 VAMI

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. AN INVESTOR COULD POTENTIALLY LOSE MORE THAN THE INITIAL INVESTMENT. AN INVESTOR MUST READ AND UNDERSTAND THE COMMODITY TRADING ADVISOR'S CURRENT DISCLOSURE DOCUMENT BEFORE INVESTING. SELLING OPTIONS INVOLVES UNLIMITED RISK OF LOSS. THERE IS NO GUARANTEE OF PROFIT NO MATTER WHO IS MANAGING YOUR MONEY. THIS MATTER IS INTENDED AS A SOLICITATION TO INVEST IN MANAGED FUTURES.

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
© 1997 - 2025 AutumnGold.com LLC

Valorem Investments LLC
Currency Futures Alpha Strategy

Report Start Date: Nov-2021 | End Date: Jun-2025

Print to PDF

HYPOTHETICAL PERFORMANCE DISCLAIMER - HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED BELOW. NO REPRESENTATION IS BEING MADE THAT ANY ACCOUNT WILL OR IS LIKELY TO ACHIEVE PROFITS OR LOSSES SIMILAR TO THOSE SHOWN. IN FACT, THERE ARE FREQUENTLY SHARP DIFFERENCES BETWEEN HYPOTHETICAL PERFORMANCE RESULTS AND THE ACTUAL RESULTS SUBSEQUENTLY ACHIEVED BY ANY PARTICULAR TRADING PROGRAM.

Time Window Analysis

Length	Best	Average	Worst
1 mo	6.7%	0.2%	-5%
3 mo	9.8%	0.5%	-8.4%
6 mo	13.6%	0.6%	-6.3%
12 mo	9.6%	0.7%	-9.6%
18 mo	18.8%	1.8%	-9%
24 mo	15.7%	2.4%	-8.5%
36 mo	10.2%	2%	-4.9%

Drawdowns and Recoveries

Start	End	Drawdown	Recovery
May-23	n/a	-11.05%	4 mo
May-22	Mar-23	-5.66%	6 mo

Drawdown Periods Since Nov 2021

Distribution of Monthly Returns

Select a benchmark to add:

Statistical Comparisons	Valorem Investments Currency Futures Alpha Strategy	AutumnGold AG CTA Index	S&P 500 SP 500 TR

Annualized Compound ROR (1)	1.75%	2.97%	10.14%
Cumulative Return	6.56%	11.32%	42.48%
Cumulative VAMI(7)	1,066	1,113	1,425
Best Monthly Return	6.74%	2.99%	9.22%
Worst Monthly Return	-4.95%	-1.18%	-9.21%
Annual Standard Deviation	8.44%	3.04%	16.69%
Profit Loss Ratio	1.19	2.22	1.57
Correlation	—	0.06	0.04
Last Month	0.44%	0.14%	5.09%
Last 12 Months	-9.28%	-0.99%	15.18%
Last 36 Months	-3.75%	7.02%	71.56%

Growth of $1,000 VAMI Comparison

Valorem Investments LLC
Currency Futures Alpha Strategy

Report Start Date: Nov-2021 | End Date: Jun-2025

Print to PDF

Accounting Notes

Returns from November 2021 through June 2023 are based on pro forma adjustments to a proprietary account to reflect fees. Valorem began trading client capital July 2023, performance from July 2023 to present is based on a composite of client accounts traded in like manner with the proprietary pro forma'd account.

The track record has not been audited, however, we utilize a third-party to externally validate our track record.

An Important Note on the Start Date and End Date of this Report

If the Start Date of this Report Predates the Inception of the Program, the Maximum Drawdown from Inception may be larger than indicated in this report. Performance Results reported or amended subsequent to Monday December 8, 2025 are not reflected in this Report. Monthly ROR and drawdowns are based on end-of-month values and do not reflect intramonth volatility.

Historical Drawdowns and Recoveries

The drawdown begins in the month listed as "start." Length is in months. Recovery begins the following month and ends when full recovery is reached.

ONE OF THE LIMITATIONS OF HYPOTHETICAL PERFORMANCE RESULTS IS THAT THEY ARE GENERALLY PREPARED WITH THE BENEFIT OF HINDSIGHT. IN ADDITION, HYPOTHETICAL TRADING DOES NOT INVOLVE FINANCIAL RISK, AND NO HYPOTHETICAL TRADING RECORD CAN COMPLETELY ACCOUNT FOR THE IMPACT OF FINANCIAL RISK IN ACTUAL TRADING. FOR EXAMPLE, THE ABILITY TO WITHSTAND LOSSES OR TO ADHERE TO A PARTICULAR TRADING PROGRAM IN SPITE OF TRADING LOSSES ARE MATERIAL POINTS WHICH CAN ALSO ADVERSELY AFFECT ACTUAL TRADING RESULTS. THERE ARE NUMEROUS OTHER FACTORS RELATED TO THE MARKETS IN GENERAL OR TO THE IMPLEMENTATION OF ANY SPECIFIC TRADING PROGRAM WHICH CANNOT BE FULLY ACCOUNTED FOR IN THE PREPARATION OF HYPOTHETICAL PERFORMANCE RESULTS AND ALL OF WHICH CAN ADVERSELY AFFECT ACTUAL TRADING RESULTS.

Statistical Footnotes

1. The Annualized Compounded Rate of Return (ACROR) represents the compounded rate of return for each year or portion thereof presented. It is computed by applying successively respective monthly rate of return for each month beginning with the first month of that period. It smooths out the returns by assuming a constant growth.
2. Peak to Valley Drawdown = worst % loss between Nov-2021 and Jun-2025
3. Sharpe Ratio is calculated using a Risk-Free ROR
4. Sortino Ratio is calculated using a Minimum Acceptable ROR
5. Calmar Ratio uses the last 36 months of data
6. Sterling Ratio uses the last 36 months of data
7. VAMI = Hypothetical growth of $1,000
8. Drawdown/recovery: start = first loss, recovery = full return to prior peak

Benchmark Descriptions

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.

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 was prepared from trader-provided information and is believed to be reliable. It should be read alongside each Trader’s Disclosure Document or Fund Offering Document.

); ?>