Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Algorithmic / Energies
4.7 Exempt - QEP Investors Only

The Systematic Energy Diversified program comprises of 5 algorithms derived from the advisor's 10 years spent working at JP Morgan. The 5 algorithms focus on the movement of oil products around the world and forecasting future supply and demand. The program will trade futures and options on WTI, BRENT, Heating oil, and Gasoline. The algorithms look at the underlying fundamental data of each respective product and will identify trades within each product. The algorithms look at fundamental data in the energy markets. We are a very unique systematic strategy in that we don't use any technical analysis or standard price based indicators to identify opportunities

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Performance Since January 2020

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2020 7.15% -3.60% 14.94% 10.39% 3.55% 1.03% -1.82% -1.08% 1.72% -8.81% 0.20% -0.28%

2021 3.15% 7.02% -2.67% -7.51% 1.68% 3.75% 3.27% -2.91% -1.35% 4.03% -5.10% -0.51%

2022 5.58% 10.05% 25.16% -5.53% -1.36% 0.86% -7.30% -1.01% 0.30% 4.33% -4.95% 6.03%

2023 0.56% -4.10% 7.27% 7.84% 2.30% 2.74% 6.30% -4.86% -1.25% -5.88% -2.86% -2.07%

2024 2.46% -2.81% -3.72% 0.17% -8.90% -0.14% -1.28% -4.16% -1.01% -3.59% -0.30%

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020	7.15%	-3.60%	14.94%	10.39%	3.55%	1.03%	-1.82%	-1.08%	1.72%	-8.81%	0.20%	-0.28%
2021	3.15%	7.02%	-2.67%	-7.51%	1.68%	3.75%	3.27%	-2.91%	-1.35%	4.03%	-5.10%	-0.51%
2022	5.58%	10.05%	25.16%	-5.53%	-1.36%	0.86%	-7.30%	-1.01%	0.30%	4.33%	-4.95%	6.03%
2023	0.56%	-4.10%	7.27%	7.84%	2.30%	2.74%	6.30%	-4.86%	-1.25%	-5.88%	-2.86%	-2.07%
2024	2.46%	-2.81%	-3.72%	0.17%	-8.90%	-0.14%	-1.28%	-4.16%	-1.01%	-3.59%	-0.30%

	2020	2021	2022	2023	2024
ROR	23.44%	1.86%	32.25%	4.84%	-21.35%
Max DD	-9.98%	-9.98%	-14.23%	-15.88%	-23.23%

Track Record Compiled By: CTA Services

Investment Information

Program Start Date	Jan-2019
Percent Discretionary	0%
Percent Systematic	100%
Minimum Investment	250,000
Management Fee	0-2%
Incentive Fee	15-30%
Margin	10%
Round Turns per Million	6,000
Currency	US Dollar
NFA No:	#0497673

Program Statistics
Peak-to-Valley Drawdown (2) Drawdown Dates: Jul 2023 - Nov 2024	-33.84%
Worst Monthly Return (May 2024)	-8.90%
Current Losing Streak	-33.84%
Average Monthly Return	0.70%
Monthly Std. Deviation	5.87%
Gain Deviation (28 months gain)	5.30%
Loss Deviation (31 months loss)	2.51%
Gain to Loss Ratio	1.55
Omega Ratio % Threshold	1.14

Annualized Statistics
Compound ROR (1)	6.63%
Standard Deviation	20.33%
Downside Deviation	10.71%
Sharpe Ratio (3)	0.36
Sortino Ratio (4)	0.42
Calmar Ratio (5)	0.08
Sterling Ratio (6)	0.10
Gain Deviation	18.35%
Loss Deviation	8.70%
Profit Loss Ratio	1.40

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	25.2%	0.7%	-8.9%
3 mo	45.4%	2.2%	-12.1%
6 mo	42.8%	3.6%	-17.9%
12 mo	40.8%	7.8%	-27.4%
18 mo	56.1%	15.4%	-27.7%
24 mo	55.1%	23.7%	-16.6%
36 mo	66.3%	35.1%	3.3%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Aug-23	-33.84%	16 mo	0 mo	n/a
Apr-22	-14.22%	8 mo	5 mo	Apr-23
Jul-20	-10.55%	10 mo	10 mo	Feb-22
Feb-20	-3.60%	1 mo	1 mo	Mar-20

Current Losing Streak = -33.84%

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Statistical Comparisons	Program	AG CTA Index
Annualized Compound ROR (1)	6.63%	5.31%
Cumulative Return	37.13%	28.98%
Cumulative VAMI(7)	1371	1290
Best Monthly Return	25.16%	2.99%
Worst Monthly Return	-8.90%	-1.28%
Annual Standard Deviation	20.33%	3.40%
Profit Loss Ratio	1.40	3.51
Correlation	—	0.386
Last Month	-0.30%	0.85%
Last 12 Months	-22.97%	5.67%
Last 36 Months	8.50%	12.68%

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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 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.