Statistical Analysis Report

Report Start Date Report End Date

Trading Strategy: Systematic / Equity / Volatility / S&P 500

The Hedged Equity Program (HEP) is designed to outperform the S&P 500 on a total and risk adjusted basis. Furthermore, the program minimizes capital requirements. HEP combines a 1.8x leveraged position in the S&P 500 with a 1.8x leveraged allocation to volatility trades expected to profit during times of equity stress.

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Performance Since January 2020 - Performance is Based on Proprietary Trading See Accounting Notes

Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2020 -0.40% -8.28% 62.06% 9.88% 2.25% 3.12% 4.20% 10.24% -5.37% -4.98% 17.64% 4.84%

2021 -1.27% 4.43% 3.58% 7.32% 1.78% 3.06% 3.72% 3.75% -6.22% 7.97% -0.13% 5.11%

2022 -11.59% -5.92% 5.20% -15.61% -2.91% -13.96% 16.25% -8.16% -16.06% 13.70% 7.20% -9.95%

2023 10.59% -4.88% 3.70% 2.09% 0.73% 10.04% 4.97% -3.91% -9.54% -5.54% 7.37% 5.38%

2024 1.83% 8.26% 2.93% -6.74% 3.63% 3.47% 3.83% 1.22% 7.03% -1.85% 0.31% -5.06%

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
2020	-0.40%	-8.28%	62.06%	9.88%	2.25%	3.12%	4.20%	10.24%	-5.37%	-4.98%	17.64%	4.84%
2021	-1.27%	4.43%	3.58%	7.32%	1.78%	3.06%	3.72%	3.75%	-6.22%	7.97%	-0.13%	5.11%
2022	-11.59%	-5.92%	5.20%	-15.61%	-2.91%	-13.96%	16.25%	-8.16%	-16.06%	13.70%	7.20%	-9.95%
2023	10.59%	-4.88%	3.70%	2.09%	0.73%	10.04%	4.97%	-3.91%	-9.54%	-5.54%	7.37%	5.38%
2024	1.83%	8.26%	2.93%	-6.74%	3.63%	3.47%	3.83%	1.22%	7.03%	-1.85%	0.31%	-5.06%

	2020	2021	2022	2023	2024
ROR	118.50%	37.52%	-39.32%	20.37%	19.31%
Max DD	-10.08%	-6.22%	-44.72%	-17.90%	-6.74%

Investment Information

Program Start Date	Jan-2020
Percent Discretionary	0%
Percent Systematic	100%
Minimum Investment	250,000
Management Fee	0.00%
Incentive Fee	25.00%
Margin	10-60%
Round Turns per Million	0
Currency	US Dollar
NFA No:	#295798

Program Statistics
Peak-to-Valley Drawdown (2) Drawdown Dates: Dec 2021 - Sep 2022	-44.72%
Worst Monthly Return (Sep 2022)	-16.06%
Current Losing Streak	-12.86%
Average Monthly Return	2.11%
Monthly Std. Deviation	10.78%
Gain Deviation (38 months gain)	9.99%
Loss Deviation (22 months loss)	4.57%
Gain to Loss Ratio	1.07
Omega Ratio % Threshold	1.64

Annualized Statistics
Compound ROR (1)	21.23%
Standard Deviation	37.33%
Downside Deviation	17.25%
Sharpe Ratio (3)	0.65
Sortino Ratio (4)	1.01
Calmar Ratio (5)	-0.10
Sterling Ratio (6)	-0.14
Gain Deviation	34.61%
Loss Deviation	15.82%
Profit Loss Ratio	1.85

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	62.1%	2.1%	-16.1%
3 mo	82.1%	6.7%	-29.5%
6 mo	115.7%	11.4%	-38.3%
12 mo	146.6%	19.2%	-39.3%
18 mo	209.4%	23.3%	-32.2%
24 mo	200.5%	19.8%	-32.2%
36 mo	109.9%	17.9%	-12.9%

Historical Drawdown and Recoveries***

Start	Depth	Length	Recovery	End
Jan-22	-44.72%	9 mo	27 mo	n/a
Sep-20	-10.08%	2 mo	1 mo	Nov-20
Jan-20	-8.65%	2 mo	1 mo	Mar-20
Sep-21	-6.22%	1 mo	1 mo	Oct-21
Jan-21	-1.27%	1 mo	1 mo	Feb-21
Nov-21	-0.13%	1 mo	1 mo	Dec-21

Current Losing Streak = -12.86%

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Statistical Comparisons	Program	AG CTA Index
Annualized Compound ROR (1)	21.23%	5.36%
Cumulative Return	161.83%	29.82%
Cumulative VAMI(7)	2618	1298
Best Monthly Return	62.06%	2.99%
Worst Monthly Return	-16.06%	-1.28%
Annual Standard Deviation	37.33%	3.37%
Profit Loss Ratio	1.85	3.57
Correlation	—	0.393
Last Month	-5.06%	0.65%
Last 12 Months	19.31%	4.61%
Last 36 Months	-12.86%	13.07%

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+++ Accounting Notes: January through July performance is proprietary

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.