Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Discretionary / Agricultural

The Program attempts to generate profits through the Advisor's discretionary selection of futures and options trades in agricultural markets. Trades are selected on the basis of fundamental analysis, which is concerned with any factor that would affect the supply and demand, and therefore the price, of a given instrument. The Advisor's market analysis tends to focus on seasonal trends and year-to-year comparisons. The Advisor absorbs and interprets a wide range of research on a daily basis, employing its principals' combined 40+ years of experience in agricultural futures markets. However, there is no assurance the Program will meet its objectives or that clients will avoid substantial losses.

Loading chart...

Performance Since January 2020 See Accounting Notes

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2020 -0.20% 0.41% 10.57% 7.20% 1.38% 3.44% -1.43% -0.42% -0.91% 3.02% -0.06% 4.42%

2021 5.30% -8.35% 1.53% 1.62% -0.92% 0.99% -2.47% -2.70% -1.23% -1.32% 0.53% 0.23%

2022 3.94% 7.45% -5.49% -0.54% -3.13% -4.73% 1.08% -0.14% -0.88% 0.57% -1.45% -0.89%

2023 -1.43% -0.46% -0.92% -0.24% -0.84% 0.10% -0.16% -0.26% -0.85% 0.01% -0.08% -0.38%

2024 0.32% -0.12% -0.54% 2.09% -0.65% -0.30% -0.32% -0.04% 0.00% 0.00% -0.15% 0.55%

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020	-0.20%	0.41%	10.57%	7.20%	1.38%	3.44%	-1.43%	-0.42%	-0.91%	3.02%	-0.06%	4.42%
2021	5.30%	-8.35%	1.53%	1.62%	-0.92%	0.99%	-2.47%	-2.70%	-1.23%	-1.32%	0.53%	0.23%
2022	3.94%	7.45%	-5.49%	-0.54%	-3.13%	-4.73%	1.08%	-0.14%	-0.88%	0.57%	-1.45%	-0.89%
2023	-1.43%	-0.46%	-0.92%	-0.24%	-0.84%	0.10%	-0.16%	-0.26%	-0.85%	0.01%	-0.08%	-0.38%
2024	0.32%	-0.12%	-0.54%	2.09%	-0.65%	-0.30%	-0.32%	-0.04%	0.00%	0.00%	-0.15%	0.55%

	2020	2021	2022	2023	2024
ROR	30.25%	-7.15%	-4.79%	-5.38%	0.81%
Max DD	-2.74%	-12.49%	-14.74%	-5.38%	-1.45%

Track Record Compiled By: Kelly Hollingsworth

Investment Information

Program Start Date	Mar-2010
Percent Discretionary	100%
Percent Systematic	0%
Minimum Investment	50,000
Management Fee	2.00%
Incentive Fee	20.00%
Margin	20%
Round Turns per Million	1,500
Currency	US Dollar
NFA No:	#0410573

Program Statistics
Peak-to-Valley Drawdown (2) Drawdown Dates: Jan 2021 - Mar 2024	-20.83%
Worst Monthly Return (Feb 2021)	-8.35%
Current Losing Streak	-19.91%
Average Monthly Return	0.20%
Monthly Std. Deviation	2.85%
Gain Deviation (24 months gain)	2.83%
Loss Deviation (36 months loss)	1.74%
Gain to Loss Ratio	1.89
Omega Ratio % Threshold	1.10

Annualized Statistics
Compound ROR (1)	1.89%
Standard Deviation	9.86%
Downside Deviation	5.97%
Sharpe Ratio (3)	0.14
Sortino Ratio (4)	-0.02
Calmar Ratio (5)	-0.16
Sterling Ratio (6)	-0.18
Gain Deviation	9.79%
Loss Deviation	6.03%
Profit Loss Ratio	1.26

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.

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	10.6%	0.2%	-8.4%
3 mo	20.2%	0.6%	-8.9%
6 mo	24.6%	0.4%	-12.4%
12 mo	37.4%	-0.8%	-16.3%
18 mo	29.8%	-3.3%	-18.3%
24 mo	34.8%	-5.2%	-19.2%
36 mo	15.2%	-8.3%	-20.3%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Feb-21	-20.83%	38 mo	9 mo	n/a
Jul-20	-2.74%	3 mo	1 mo	Oct-20
Jan-20	-0.20%	1 mo	1 mo	Feb-20
Nov-20	-0.06%	1 mo	1 mo	Dec-20

Current Losing Streak = -19.91%

Loading chart...

Select an index or program to add as a benchmark

Statistical Comparisons	Program	AG CTA Index
Annualized Compound ROR (1)	1.89%	5.36%
Cumulative Return	9.84%	29.82%
Cumulative VAMI(7)	1098	1298
Best Monthly Return	10.57%	2.99%
Worst Monthly Return	-8.35%	-1.28%
Annual Standard Deviation	9.86%	3.37%
Profit Loss Ratio	1.26	3.57
Correlation	—	0.041
Last Month	0.55%	0.65%
Last 12 Months	0.81%	4.61%
Last 36 Months	-9.18%	13.07%

Loading chart...

+++ Accounting Notes: In July 2012 the Assets Under Managed dropped by $2,400,000 due to the closing of Peregrine Financial Group.

Other Fees: None

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.

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 Dec-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.