Statistical Analysis Report

J E Moody & Company LLC - JEM Commodity Relative Value 1X

Trading Strategy: Relative Value / Diversified

Investment Restrictions: 4.7 Exempt - Qualified Investors Only

Performance Since January 2021 | Please See Accounting Notes

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2026	3.06%	0.21%	1.10%	–	–	–	–	–	–	–	–	–	4.41%	0.00%
2025	0.57%	0.13%	-0.55%	0.89%	-1.44%	-0.05%	-0.51%	0.34%	2.18%	0.88%	-0.02%	-0.56%	1.84%	-1.99%
2024	-0.26%	-0.27%	-0.12%	0.58%	0.60%	-0.05%	-0.61%	-0.46%	0.18%	-0.22%	0.67%	0.84%	0.86%	-1.16%
2023	0.06%	-0.49%	0.93%	-0.06%	1.35%	-0.09%	0.51%	-0.62%	0.54%	-0.71%	0.55%	1.40%	3.40%	-0.79%
2022	-1.56%	1.20%	3.25%	0.82%	-2.46%	-1.26%	0.09%	0.36%	0.52%	1.65%	-0.10%	0.10%	2.51%	-3.69%
2021	-0.49%	1.17%	0.26%	1.61%	-0.15%	0.31%	-0.10%	0.28%	-0.36%	0.14%	0.87%	-0.53%	3.04%	-0.53%

Program Description: Launched in May 2006, the quantitative JEM CRV Program seeks to profit from price movements in related commodity contracts based on both market and fundamental indicators. The strategy offers a highly diversified portfolio covering the energies, base & precious metals, grains, livestock and softs. CRV’s market- neutral strategies capture forward curve alpha via calendar spreads, while its new basket-neutral strategies capture profits from offsetting long and short positions across commodity markets. CRV is an absolute return program that generates commodity alpha with almost no commodity beta. It has nearly zero correlation to all major asset classes and hedge fund styles, including commodity indices, CTAs and commodity strategies (see table below).<br><br> The Program is open for investment via JEM CRV Fund II, our Cayman and Delaware based Master-Feeder structure. These Funds offer access to our 1X, 2X, and 3X Programs with many of the advantages of a managed account, including top-tier service providers, solid cash management, efficient margin usage, and semi-monthly liquidity. Please contact us for investment information.

Program Statistics
Peak-to-Valley Drawdown (2)	-6.22%
From Feb 2015 to Jun 2016
Worst Month (May 2022)	-2.46%
Current Losing Streak	0%
Average Monthly Return	0.38%

Annualized Performance
Compound ROR (1)	4.56%
Standard Deviation	4.44%
Sharpe Ratio	0.94
Sterling Ratio	0.29
Calmar Ratio (3)	1.67

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 ADVISORS 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.

Investment Information

Program Start Date	May-2006
Currency Denomination	US Dollar
Minimum Investment	$5,000,000
Management Fee	2.00%
Incentive Fee	20.00%
Margin	0%
NFA No:	#0308772

Trading Methodology

Trading Style

Market Segment

Statistical Comparisons	J E Moody JEM Commodity Relative Value 1X	AutumnGold AG CTA Index	S&P 500 SP 500 TR

Annualized Compound ROR (1)	3.06%	5.01%	12.74%
Cumulative Return	17.13%	29.26%	87.69%
Cumulative VAMI(7)	1,171	1,293	1,877
Best Monthly Return	3.25%	2.99%	9.22%
Worst Monthly Return	-2.46%	-1.18%	-9.21%
Annual Standard Deviation	3.33%	3.22%	15.01%
Profit Loss Ratio	2.14	3.52	1.84
Correlation	—	0.52	0.16
Last Month	1.10%	-0.43%	-4.98%
Last 12 Months	6.17%	8.09%	17.80%
Last 24 Months	7.96%	8.54%	27.54%
Last 36 Months	10.34%	17.43%	65.64%

Growth of $1,000 VAMI Comparison

A COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. SPECIFICALLY, ONE SHOULD RECOGNIZE THAT YOU MAY BE CHARGED A FRONT-END START-UP FEE OF UP TO 3% OF THE INITIAL CONTRIBUTION. PLEASE NOTE THAT THIS CHARGE IS NOT REFLECTED IN THE PERFORMANCE OF THE COMMODITY TRADING ADVISOR AND COULD HAVE A SIGNIFICANT IMPACT ON THE CUSTOMER’S ABILITY TO ACHIEVE SIMILAR RETURNS. PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE SUCCESS.

Accounting Notes
Monthly returns from May 16 2006 to October 31 2022 (198 months, 4,231 trading days) are based on a gross composite of representative traded accounts, scaled to reflect their selected exposure level (1X to 3X Programs). Actual commissions are included, as are assumed interest and pro forma fees of 1% annual management and 25% performance. Benchmark interest is the 90-day SOFR rate (as of 4/1/2020, prior to which it was the 90-day Eurodollar rate, capped at 3% during Sept. – Dec. 2008), and is not scaled with exposure level. The trading level of $731M is the aggregate 1X equivalent trading level across all exposure levels and all accounts traded pursuant to the JEM CRV Program, and includes notionally-funded accounts. The Manager believes that the manner in which the trading level and pro forma performance figures have been calculated is reasonable. However, there are other reasonable calculation methods which would have yielded materially different results. Actual interest earned, fees, and expenses vary by account. Each investor’s performance may be better or worse than the figures shown for a variety of reasons, including, but not limited to, the above factors and the timing of their own investment and redemption decisions.

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 Thursday May 14, 2026 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.

Qualified Eligible Persons: THIS PROGRAM IS ONLY OPEN TO INVESTORS FITTING THE DEFINITION OF A QUALIFIED ELIGIBLE PERSON AS THAT TERM IS DEFINED UNDER CFTC REGULATION 4.7(A). A Qualified Eligible Person must meet the following two requirements:

1. Must be an accredited investor (e.g., $1,000,000 net worth or $200,000 individual income / $300,000 joint income for 2 years).
2. Must meet a portfolio test (e.g., $4,000,000 in securities or $400,000 in required margin deposits).

PURSUANT TO AN EXEMPTION FROM THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") IN CONNECTION WITH ACCOUNTS OF QUALIFIED ELIGIBLE PERSONS, THIS INFORMATION IS NOT REQUIRED TO BE, AND HAS NOT BEEN, FILED WITH THE CFTC. THE CCFTC 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 CFTC HAS NOT REVIEWED OR APPROVED THIS TRADING PROGRAM OR THIS DOCUMENT.

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 Jan-2021 and Mar-2026
3) Calmar Ratio uses the last 36 months of data.

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.