Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Quantitative / Stock Indices
4.7 Exempt - QEPs Only

Using quantitative analysis, hundreds of indicators and several dozen models are employed. Many of these indicators have been tested though market cycles dating back to the early 1900's and include both technical and fundamental analysis. Alignments in the groups of indicators at inflection points determine the direction and the potential magnitude of the outcome to stock prices. Categories in which these indicators fall into are numerous and although not exclusive are as follows: the stock market structure, momentum, overbought and oversold, market sentiment and contrarian tools, valuations, monetary environment and macro factors. Each of these categories has different forecasting values and timeliness. Combining groups of indicators into an overlay can enhance the reliability of a signal. The models and indicators are also used to identify in advance the market climate likely to be encountered, whether trending or range bound, enabling the principle objective of GMI which is to profit from all types of markets while using strict control measures to minimize risk. Analysis and research to improve systems and strategies is an ongoing process. There is also a veto power on the indicators and models, which may be implemented during unique circumstances to potentially reduce risk.

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Performance represents both Managed Accounts & the Navigator Fund through September 2017. See Accounting Notes

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2020 -0.19% -8.04% -11.20% 5.89% 2.51% 1.34% 4.14% 5.45% -2.82% -2.03% 8.45% 2.70%

2021 -1.11% 2.40% 3.33% 3.94% 0.49% 1.74% 1.71% 2.25% -3.68% 5.38% -0.53% 3.26%

2022 -5.79% -2.95% 3.70% -6.46% -0.24% -5.45% 5.56% -3.29% -5.75% 4.18% 3.31% -4.36%

2023 4.29% -2.25% 2.36% 0.94% 0.23% 4.61% 2.36% -1.72% -4.29% -1.83% 6.65% 3.55%

2024 0.98% 4.11% 2.35% -3.97% 4.30% 2.26% 0.59% 1.46% 1.31% -1.09% 4.19%

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020	-0.19%	-8.04%	-11.20%	5.89%	2.51%	1.34%	4.14%	5.45%	-2.82%	-2.03%	8.45%	2.70%
2021	-1.11%	2.40%	3.33%	3.94%	0.49%	1.74%	1.71%	2.25%	-3.68%	5.38%	-0.53%	3.26%
2022	-5.79%	-2.95%	3.70%	-6.46%	-0.24%	-5.45%	5.56%	-3.29%	-5.75%	4.18%	3.31%	-4.36%
2023	4.29%	-2.25%	2.36%	0.94%	0.23%	4.61%	2.36%	-1.72%	-4.29%	-1.83%	6.65%	3.55%
2024	0.98%	4.11%	2.35%	-3.97%	4.30%	2.26%	0.59%	1.46%	1.31%	-1.09%	4.19%

	2020	2021	2022	2023	2024
ROR	4.41%	20.60%	-17.14%	15.28%	17.44%
Max DD	-18.49%	-3.68%	-19.51%	-7.66%	-3.97%

Track Record Compiled By: Futures Accounting Compliance

Investment Information

Program Start Date	Jan-2012
Percent Discretionary	100%
Percent Systematic	0%
Minimum Investment	350,000
Management Fee	1.00%
Incentive Fee	20.00%
Margin	4-7%
Round Turns per Million	250
Currency	US Dollar
NFA No:	#0183261

Program Statistics
Peak-to-Valley Drawdown (2) Drawdown Dates: Dec 2021 - Sep 2022	-19.51%
Worst Monthly Return (Mar 2020)	-11.20%
Current Losing Streak	0.00%
Average Monthly Return	0.67%
Monthly Std. Deviation	3.98%
Gain Deviation (37 months gain)	1.85%
Loss Deviation (22 months loss)	2.73%
Gain to Loss Ratio	0.89
Omega Ratio % Threshold	1.28

Annualized Statistics
Compound ROR (1)	7.28%
Standard Deviation	13.77%
Downside Deviation	9.75%
Sharpe Ratio (3)	0.51
Sortino Ratio (4)	0.52
Calmar Ratio (5)	0.26
Sterling Ratio (6)	0.25
Gain Deviation	6.42%
Loss Deviation	9.46%
Profit Loss Ratio	1.50

Trading Strategy	Market Segment

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.

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 COMPLETE DISCUSSION OF FEES AND CHARGES ARE REPORTED IN THE CTA’s DISCLOSURE DOCUMENT. ONE SHOULD RECOGNIZE THAT AN INTRODUCING BROKER MAY CHARGE A FRONT-END START OF 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 INDICIATIVE OF FUTURE SUCCESS.

Park Avenue Asset Management | Manhattan ~ New York City
Toll Free: (877) 611-PAAM | Local: (212) 600-2883 Email: ManagedFutures@ParkAvenueAssetMgt.com | Web Address: http://www.parkavenueassetmgt.com

Time Window Analysis

Length	Best	Average	Worst
1 mo	8.5%	0.7%	-11.2%
3 mo	11.5%	2.1%	-18.5%
6 mo	21.1%	4.9%	-16.3%
12 mo	34%	9.6%	-17.1%
18 mo	42.7%	12.1%	-11.9%
24 mo	46.4%	11.8%	-11.2%
36 mo	33.5%	17.1%	4.3%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Jan-22	-19.51%	9 mo	17 mo	Feb-24
Jan-20	-18.49%	3 mo	8 mo	Nov-20
Apr-24	-3.97%	1 mo	1 mo	May-24
Sep-21	-3.68%	1 mo	1 mo	Oct-21
Oct-24	-1.09%	1 mo	1 mo	Nov-24
Nov-21	-0.53%	1 mo	1 mo	Dec-21

Current Losing Streak = 0.00%

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Select an index or program to add as a benchmark

Statistical Comparisons	Program	AG CTA Index
Annualized Compound ROR (1)	7.28%	5.31%
Cumulative Return	41.25%	28.98%
Cumulative VAMI(7)	1412	1290
Best Monthly Return	8.45%	2.99%
Worst Monthly Return	-11.20%	-1.28%
Annual Standard Deviation	13.77%	3.40%
Profit Loss Ratio	1.50	3.51
Correlation	—	0.204
Last Month	4.19%	0.85%
Last 12 Months	21.61%	5.67%
Last 36 Months	15.84%	12.68%

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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).

+++ Accounting Notes: Performance represents both Managed Accounts & the Navigator Fund through September 2017.

Other Fees: no

An Important Note on the Start Date and End Dates 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.

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 ('QEP') must meet the following two requirements: 1) the investor must first be an accredited investor. The most common ways for this are to either have a net worth of $1,000,000 or more OR an annual income of $200,000 or more for the last two years OR, combined with a spouse, $300,000 per year for two years, 2) the investor must meet an additional portfolio requirement, which is having $2,000,000 in securities holdings OR $200,000 in margin on deposit with a Futures Commission Merchant OR a combination of the two (for example, $1,000,000 in securities and $100,000 in margin).

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

Performance Results reported or amended subsequent to Thursday January 23, 2025 are not reflected in this Report

Please note that the monthly performance numbers, ROR and Drawdowns are based on end of month values and are not reflective of intramonth volatility.

FOOTNOTES

1. The Compound Annual ROR is the average return of an investment over a number of years. It smoothes out returns by assuming constant growth.
2. Peak to Valley Drawdown ("Maximum Drawdown") is the worst drawdown % loss over the period of Jan-2020 to Nov-2024
3. Sharpe Ratio uses a 1% Risk Free ROR
4. Sortino Ratio uses a 2% Minimum Acceptable ROR
5. Calmar Ratio Uses last 36 months of Data
6. Sterling Ratio uses last 36 months of Data
7. The hypothetical growth of $1,000
8. 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.

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 each Trader's Disclosure Document or Fund's Offering Document.

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).