Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Systematic / Intraday / E Mini
4.7 Exempt - QEP Investors Only

QTS Tail Reaper Strategy is a fully automated, intraday trading strategy that profits from extreme (tail) movements in the US equity market index. It trades E-mini S&P 500 index futures (ES) and is built with the aim of providing portfolio protection in a crisis market (particularly positive beta portfolios). Strategy was augmented in mid-2022 with a novel AI/ML-based risk management system.

Key Objectives

No overnight positions.
Covex/long volatility/tail hedge
Daily stop loss = <=5% of nominal account value

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Performance Since January 2020 See Accounting Notes

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2020 -0.04% 13.29% 48.96% -0.54% 0.48% 5.70% -4.23% -0.39% -5.15% -8.20% -3.56% -2.47%

2021 -3.46% 0.02% 0.64% -0.63% -4.00% 1.61% -5.51% 0.55% -5.25% -9.26% -2.18% 3.11%

2022 -17.35% 8.27% 4.85% 13.88% -15.02% 14.54% 5.48% 12.60% -2.23% 10.31% 13.47% -14.05%

2023 11.14% -3.81% 5.39% 2.31% -2.22% 0.17% -0.23% 2.13% 1.38% -11.38% 0.28% -0.04%

2024 -2.00% -5.83% -7.40% -6.18% -0.04% -0.04% -0.49% -6.09% 7.09% 0.20% -1.54%

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020	-0.04%	13.29%	48.96%	-0.54%	0.48%	5.70%	-4.23%	-0.39%	-5.15%	-8.20%	-3.56%	-2.47%
2021	-3.46%	0.02%	0.64%	-0.63%	-4.00%	1.61%	-5.51%	0.55%	-5.25%	-9.26%	-2.18%	3.11%
2022	-17.35%	8.27%	4.85%	13.88%	-15.02%	14.54%	5.48%	12.60%	-2.23%	10.31%	13.47%	-14.05%
2023	11.14%	-3.81%	5.39%	2.31%	-2.22%	0.17%	-0.23%	2.13%	1.38%	-11.38%	0.28%	-0.04%
2024	-2.00%	-5.83%	-7.40%	-6.18%	-0.04%	-0.04%	-0.49%	-6.09%	7.09%	0.20%	-1.54%

	2020	2021	2022	2023	2024
ROR	39.23%	-22.39%	29.91%	3.61%	-20.90%
Max DD	-21.87%	-24.73%	-17.35%	-11.38%	-25.14%

Track Record Compiled By: N/A

Investment Information

Program Start Date	Aug-2012
Percent Discretionary	0%
Percent Systematic	100%
Minimum Investment	167,000
Management Fee	0.5%
Incentive Fee	20%
Margin
Round Turns per Million	2,776
Currency	US Dollars
NFA No:	#0431162

Program Statistics
Peak-to-Valley Drawdown (2) Drawdown Dates: Jun 2020 - Jan 2022	-49.89%
Worst Monthly Return (Jan 2022)	-17.35%
Current Losing Streak	-35.44%
Average Monthly Return	0.63%
Monthly Std. Deviation	9.41%
Gain Deviation (26 months gain)	9.90%
Loss Deviation (33 months loss)	4.57%
Gain to Loss Ratio	1.58
Omega Ratio % Threshold	1.11

Annualized Statistics
Compound ROR (1)	2.89%
Standard Deviation	32.61%
Downside Deviation	16.92%
Sharpe Ratio (3)	0.20
Sortino Ratio (4)	0.05
Calmar Ratio (5)	0.09
Sterling Ratio (6)	0.11
Gain Deviation	34.29%
Loss Deviation	15.82%
Profit Loss Ratio	1.25

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	49%	0.6%	-17.4%
3 mo	68.7%	1.9%	-18.2%
6 mo	78.2%	1%	-27.9%
12 mo	74.7%	-0.2%	-33.6%
18 mo	77.1%	2.4%	-47.7%
24 mo	59.6%	4.2%	-41.8%
36 mo	56.1%	2.4%	-13.3%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Jul-20	-49.89%	19 mo	34 mo	n/a
Apr-20	-0.54%	1 mo	2 mo	Jun-20
Jan-20	-0.04%	1 mo	1 mo	Feb-20

Current Losing Streak = -35.44%

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Select an index or program to add as a benchmark

Statistical Comparisons	Program	SP 500 TR
Annualized Compound ROR (1)	2.89%	15.36%
Cumulative Return	15.04%	101.85%
Cumulative VAMI(7)	1150	2018
Best Monthly Return	48.96%	12.82%
Worst Monthly Return	-17.35%	-12.35%
Annual Standard Deviation	32.61%	18.29%
Profit Loss Ratio	1.25	1.84
Correlation	—	-0.225
Last Month	-1.54%	5.87%
Last 12 Months	-20.94%	33.89%
Last 36 Months	9.78%	38.38%

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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: The performance data represents actual results of an account of QTS Partners, LP, which is a commodity pool managed by the CTA, and adjusted to trade a fixed number of contracts in a nominal account. The strategy traded UPRO in 2012, and the returns then were computed as return-on-equity. The results reflect the deduction of transaction fees actually incurred as well as pro forma deductions of a management and incentive fee of 0.5% and 20% respectively, taken monthly (incentive fee subject to a high water mark) Due to the fixed number of contracts, returns are not compounded. No representation is being made that the clients of the CTA will experience results that are the same as the performance of the QTS Partners, LP account, as shown here. All investments involve risk, including the loss of principal. There can be no assurance that the CTA will achieve its objectives or will otherwise meet the CTA's expectations. We currently can only accept clients who are Qualified Eligible Persons defined in CFTC Rule 4.7.

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.

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.

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.

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).