Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Volatility / Stock Indices

As fear of market declines ebb and flow, inconsistencies form between current and expected volatility of the S&P 500. Total Volatility captures the inconsistencies between 30-day and expected 30-day volatility. The program also analyzes the troughs and bubbles of the longer term VIX structure. When the troughs are too low or the bubbles too high, Total Volatility seizes on these irregularities as well.

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Proprietary Trading from Jan 2018 to Sept 2018. Customer Trading from Oct 2018. See Accounting Notes

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2020 -3.91% 0.57% 32.08% -1.70% -1.50% -2.72% -2.13% -6.29% 5.98% -3.30% 9.46% -2.03%

2021 -11.75% 7.90% 6.98% -3.05% 3.65% 2.51% -4.41% -0.16% -3.18% 0.01% -7.21% 4.87%

2022 0.92% -3.42% -0.07% -0.11% 10.32% 0.13% -0.39% 2.02% -9.26% 1.77% -8.84% 2.68%

2023 2.58% -0.20% 3.06% 3.64% 0.78% 0.00% 0.00% -2.81% -0.92% 4.14% -0.97% 1.77%

2024 2.03% 1.37% 0.83% -4.15% -0.85% 0.98% 1.24% 4.98% 1.40% -1.24% -4.65% 3.36%

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020	-3.91%	0.57%	32.08%	-1.70%	-1.50%	-2.72%	-2.13%	-6.29%	5.98%	-3.30%	9.46%	-2.03%
2021	-11.75%	7.90%	6.98%	-3.05%	3.65%	2.51%	-4.41%	-0.16%	-3.18%	0.01%	-7.21%	4.87%
2022	0.92%	-3.42%	-0.07%	-0.11%	10.32%	0.13%	-0.39%	2.02%	-9.26%	1.77%	-8.84%	2.68%
2023	2.58%	-0.20%	3.06%	3.64%	0.78%	0.00%	0.00%	-2.81%	-0.92%	4.14%	-0.97%	1.77%
2024	2.03%	1.37%	0.83%	-4.15%	-0.85%	0.98%	1.24%	4.98%	1.40%	-1.24%	-4.65%	3.36%

	2020	2021	2022	2023	2024
ROR	21.19%	-5.65%	-5.60%	11.38%	4.98%
Max DD	-13.61%	-14.26%	-15.82%	-3.71%	-5.83%

Investment Information

Program Start Date	Jan-2018
Percent Discretionary	0%
Percent Systematic	100%
Minimum Investment	200,000
Management Fee	0.00%
Incentive Fee	25.00%
Margin	15-20%
Round Turns per Million	650
Currency	US Dollars
NFA No:	#295798

Program Statistics
Peak-to-Valley Drawdown (2) Drawdown Dates: Mar 2020 - Nov 2022	-17.64%
Worst Monthly Return (Jan 2021)	-11.75%
Current Losing Streak	-2.67%
Average Monthly Return	0.55%
Monthly Std. Deviation	5.90%
Gain Deviation (32 months gain)	5.81%
Loss Deviation (28 months loss)	3.01%
Gain to Loss Ratio	1.19
Omega Ratio % Threshold	1.24

Annualized Statistics
Compound ROR (1)	4.77%
Standard Deviation	20.44%
Downside Deviation	10.71%
Sharpe Ratio (3)	0.27
Sortino Ratio (4)	0.25
Calmar Ratio (5)	0.21
Sterling Ratio (6)	0.18
Gain Deviation	20.14%
Loss Deviation	10.44%
Profit Loss Ratio	1.36

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	32.1%	0.5%	-11.8%
3 mo	30.6%	1.7%	-15.8%
6 mo	22.5%	1.7%	-14.3%
12 mo	21.2%	2.4%	-11.8%
18 mo	27.2%	2.8%	-15.2%
24 mo	20.1%	2.6%	-15%
36 mo	15.2%	3.3%	-10.8%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Apr-20	-17.63%	32 mo	21 mo	Aug-24
Oct-24	-5.83%	2 mo	1 mo	n/a
Jan-20	-3.91%	1 mo	2 mo	Mar-20

Current Losing Streak = -2.67%

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Statistical Comparisons	Program	AG CTA Index	SP 500 TR
Annualized Compound ROR (1)	4.77%	5.36%	14.53%
Cumulative Return	26.22%	29.82%	97.04%
Cumulative VAMI(7)	1262	1298	1970
Best Monthly Return	32.08%	2.99%	12.82%
Worst Monthly Return	-11.75%	-1.28%	-12.35%
Annual Standard Deviation	20.44%	3.37%	18.21%
Profit Loss Ratio	1.36	3.57	1.80
Correlation	—	0.273	-0.159
Last Month	3.36%	0.65%	-2.38%
Last 12 Months	4.98%	4.61%	25.02%
Last 36 Months	10.38%	13.07%	29.30%

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+++ Accounting Notes: Proprietary Trading from Jan 2018 to Sept 2018. Customer Trading from Oct 2018.

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.

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 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.