Statistical Analysis Report

Loblolly Trading LLC - Seasonality Based System

Trading Strategy: Quantitative / Seasonality / Diversified

Performance Since December 2023 | Track Record Compiled By: Turnkey Trading Partners

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	ROR	Max DD
2025	13.14%	5.91%	-2.83%	-1.76%	-0.99%	-5.89%	0.68%	-1.88%	0.38%	-4.75%	6.47%	–	7.16%	-16.00%
2024	-1.62%	3.40%	-0.68%	3.78%	-10.67%	16.51%	-1.50%	-2.01%	-3.09%	8.34%	3.27%	-4.17%	9.44%	-10.67%
2023	–	–	–	–	–	–	–	–	–	–	–	-0.77%	-0.77%	-0.77%

Program Description: Loblolly Trading was founded by Mike Walsh and Patrick Matthews with the goal of providing clients access to a systematic, sea-
sonality-driven trading program.
At its core, the program analyzes long-term seasonal patterns across global futures markets and then applies multiple quantitative
filters to validate or reject each opportunity. This combination of historical seasonality, rule-based confirmation signals, and strict
risk controls forms the backbone of the strategy. The program trades a diversified set of markets, including grains, meats, softs,
metals, energies, interest rates, and currencies. Position sizing and market participation are determined by a proprietary risk mod-
el that ensures exposures remain within predefined constraints. The system is free to allocate capital dynamically across markets,
but it will forgo otherwise attractive trades if the initial risk exceeds acceptable levels. This disciplined approach is designed to
preserve capital, reduce volatility, and capture repeatable seasonal tendencies across asset classes.

Program Statistics
Peak-to-Valley Drawdown (2)	-16.00%
From Feb 2025 to Oct 2025
Worst Month (May 2024)	-10.67%
Current Losing Streak	-10.57%
Average Monthly Return	0.8%

Annualized Performance
Compound ROR (1)	7.88%
Standard Deviation	20.9%
Sharpe Ratio	0.44
Sterling Ratio	0
Calmar Ratio (3)	N/A

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	Dec-2023
Currency Denomination	US Dollars
Minimum Investment	$100,000
Management Fee	2.00%
Incentive Fee	0.00%
Round Turns per Million	1,000
NFA No:	#0571463

Trading Methodology

Trading Style

Market Segment

Statistical Comparisons	Seasonality Based System	AutumnGold AG CTA Index	S&P 500 SP 500 TR

Annualized Compound ROR (1)	7.88%	4.46%	24.09%
Cumulative Return	16.38%	9.12%	53.99%
Cumulative VAMI(7)	1,164	1,091	1,540
Best Monthly Return	16.51%	2.17%	6.29%
Worst Monthly Return	-10.67%	-1.17%	-5.63%
Annual Standard Deviation	20.90%	3.20%	10.74%
Profit Loss Ratio	1.45	3.03	3.98
Correlation	—	-0.18	-0.06
Last Month	6.47%	-0.01%	0.25%
Last 12 Months	2.69%	2.95%	15.01%
Last 24 Months	16.38%	9.12%	53.99%
Last 36 Months	16.38%	11.50%	75.29%

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.

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 Saturday April 4, 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.

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 Dec-2023 and Nov-2025
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.